Research

My research interests are mainly focused on Stochastic analysis and Mathematical Finance.

Publications/Preprints

  • Probabilistic approach to quasilinear PDEs with measurable coefficients (with L. Tangpi and O. Menoukeu-Pamen)

preprint 01/2020.

  • An FBSDE approach to market impact games with stochastic parameters (with S. Drapeau, A. Schied and D. Xiong)

preprint 01/2020.

  • Mean-field backward stochastic differential equations with mean reflection and nonlinear resistance

preprint 11/2019.

  • A type of globally solvable BSDEs with triangularly quadratic generators

preprint 04/2019.

  • Characterization of fully coupled FBSDE in terms of portfolio optimization (with S. Drapeau and D. Xiong)

Forthcoming in Electronic Journal of Probability, 2020.

  • Equilibrium strategies for the alpha-maxmin expected utility maximization (with B. Li and D. Xiong)

SIAM Journal on Financial Mathematics, 10(2): 394-429, 2019.

  • Multidimensional Markovian FBSDEs with super-quadratic growth (with M. Kupper and L. Tangpi)

Stochastic Processes and their Applications, 129(3): 902-923, 2019.

  • Viability for stochastic differential equations driven by G-Brownian motion (with F. Wang)

Journal of Theoretical Probability, 32(1): 395–416, 2019.

  • BSDEs on finite and infinite horizon with time-delayed generators (with L. Tangpi)

Communications on Stochastic Analysis, 12(1): 59-72. 2018.

  • Asymptotic estimates for the solution of stochastic differential equations driven by G Brownian motion (with W. Wei and M. Zhang)

Applicable Analysis, 97(12): 2025-2036, 2018.

  • Quadratic BSDEs with mean reflection (with H. Hibon, Y. Hu, Y. Lin and F. Wang)

Mathematical Control & Related Fields, 8 (3&4) : 721-738, 2018.

  • Multidimensional quadratic BSDEs with separated generators (with A. Jamneshan and M. Kupper)

Electronic Communications in Probability, 22, paper no. 58, 1-10, 2017.

  • Solvability of coupled FBSDEs with diagonally quadratic generators (with L. Tangpi)

Stochastics and Dynamcis, 17 (6), 1750043, 2017.

  • Utility maximization under g*-expectation (with Y. Jiang, L. Wang and D. Xiong)

Stochastic Analysis and Applications, 34(4): 644-661, 2016.

  • Reflected stochastic differential equations driven by G-Brownian motion with nonlinear resistance

Frontiers of Mathematics in China, 11(1): 123-140, 2016.

  • On the comparison theorem for multidimensional G-SDEs (with F. Wang)

Statistics & Probability Letters, 96: 38-44, 2015.

  • On monotonicity and order-preservation for multidimensional G-diffusion processes (with G. Jia)

Stochastic Analysis and Applications, 33(1): 67-90, 2015.

  • Stochastic differential equations driven by G-Brownian motion and ordinary differential equations (with F. Wang)

Stochastic Processes and their Applications, 124(11): 3869-3885, 2014.