Adapted solution of a backward stochastic differential equation

A generalized stochastic differential utility

Mathematics of Operations Research

Valuation of boundary-linked assets by stochastic boundary value problems solved with a wavelet-collocation algorithm

Computers & Mathematics with Applications

Two comparison theorems of BSDES

Journal of Applied Mathematics and Computing

Continuous dependence properties on solutions of backward stochastic differential equation

Journal of Applied Mathematics and Computing

Stochastic PDIEs and backward doubly stochastic differential equations driven by Lévy processes

Journal of Computational and Applied Mathematics

Stochastic PDIEs with nonlinear Neumann boundary conditions and generalized backward doubly stochastic differential equations driven by Lévy processes

Journal of Computational and Applied Mathematics

Technical communique: Risk-sensitive control for a class of homing problems

Automatica (Journal of IFAC)

Generalized reflected BSDEs driven by a Lévy process and an obstacle problem for PDIEs with a nonlinear Neumann boundary condition

Journal of Computational and Applied Mathematics

The equivalence between uniqueness and continuous dependence of solutions for FBSDEs with continuous monotone coefficients

Journal of Computational and Applied Mathematics

Brief paper: Maximum principle for the stochastic optimal control problem with delay and application

Automatica (Journal of IFAC)

A representation theorem for generators of BSDEs with continuous linear-growth generators in the space of processes

Journal of Computational and Applied Mathematics

Stochastic Equations with Delay: Optimal Control via BSDEs and Regular Solutions of Hamilton-Jacobi-Bellman Equations

SIAM Journal on Control and Optimization

A Stable Multistep Scheme for Solving Backward Stochastic Differential Equations

SIAM Journal on Numerical Analysis

On solutions to backward stochastic partial differential equations for Lévy processes

Journal of Computational and Applied Mathematics

Numerical algorithms and simulations for reflected backward stochastic differential equations with two continuous barriers

Journal of Computational and Applied Mathematics

Review: How to value risk

Expert Systems with Applications: An International Journal

A partial information non-zero sum differential game of backward stochastic differential equations with applications

Automatica (Journal of IFAC)

Brief Infinite horizon backward stochastic differential equation and exponential convergence index assignment of stochastic control systems

Automatica (Journal of IFAC)

Optimal Control for Stochastic Volterra Equations with Completely Monotone Kernels

SIAM Journal on Control and Optimization

A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance

SIAM Journal on Control and Optimization

Optimal Switching of One-Dimensional Reflected BSDEs and Associated Multidimensional BSDEs with Oblique Reflection

SIAM Journal on Control and Optimization

The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls

Automatica (Journal of IFAC)

Maximal (Minimal) Conditional Expectation and European Option Pricing with Ambiguous Return Rate and Volatility

International Journal of Approximate Reasoning

Controllability of linear impulsive stochastic systems in Hilbert spaces

Automatica (Journal of IFAC)

Infinite horizon optimal control of forward-backward stochastic differential equations with delay

Journal of Computational and Applied Mathematics