Ying Hu - Univ Rennes

Univ Rennes, CNRS, IRMAR - UMR 6625, F-35000 Rennes, France

Bâtiment: 22

Bureau: 314

Téléphone: 02 23 23 58 20

Thèmes de recherche

Probabilités et processus stochastiques
Equations différentielles stochastiques et équations différentielles stochastiques rétrogrades
Controle et optimisation
Mathématiques financières
Méthodes probabilistes pour les EDP
Théorie du potentiel

Publications récentes

Y. Hu and S. Tang, Multi-dimensional BSDE with oblique reflection and optimal switching. Probab. Theory Related Fields. 147 (2010), 89-121.

R. Buckdahn and Y. Hu, Probabilistic interpretation of a coupled system of Hamilton-Jacobi-Bellman equations. J. Evol. Equ. 10 (2010), 529-549.

X. Bao, F. Delbaen and Y. Hu, Existence and Non-uniqueness of Solutions for BSDE. Contemporary quantitative finance, 123-134, Springer, Berlin, 2010.

F. Delbaen, Y. Hu and X. Bao, Backward SDEs with superquadratic growth. Probab. Theory Related Fields. 150 (2011), 145-192.

F. Delbaen, Y. Hu and A. Richou, On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions. Ann. Inst. Henri Poincaré Probab. Stat. 47 (2011), 559–574,

A. Debussche, Y. Hu and G. Tessitore, Ergodic BSDEs under weak dissipative assumptions. Stochastic Process. Appl. 121 (2011), 407–426.

P. Cheridito and Y. Hu, Optimal consumption and investment in incomplete markets with general constraints. Stoch. Dyn. 11 (2011), 283-299.

Y. Hu and M. Schweizer, Some new BSDE results for an infinite-horizon stochastic control problem. Advanced mathematical methods for finance, 367-395, Springer, Berlin, 2011.

R. Buckdahn, Y. Hu and J. Li, Stochastic representation for solutions of Isaacs' type integral-partial differential equations. Stochastic Process. Appl. 121 (2011), 2715-2750.

Y. Hu, H. Jin and X. Y. Zhou, Time-inconsistent stochastic linear--quadratic control. SIAM J. Control Optim. 50 (2012), 1548-1572.

M. Fuhrman, Y. Hu and G. Tessitore, Stochastic maximum principle for optimal control of SPDEs. C. R. Math. Acad. Sci. Paris 350 (2012), 683–688.

M. Fuhrman, Y. Hu and G. Tessitore, Stochastic maximum principle for optimal control of SPDEs. Appl. Math. Optim. 68 (2013), 181–217.

S. Cohen and Y. Hu, Ergodic BSDEs driven by Markov chains. SIAM J. Control Optim. 51 (2013), 4138–4168.

U. Horst, Y. Hu, P. Imkeller, A. Réveillac and J. Zhang, Forward-backward systems for expected utility maximization. Stochastic Process. Appl. 124 (2014), 1813-1848.

F. Delbaen, Y. Hu and A. Richou, On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case. Discrete Contin. Dyn. Syst. 35 (2015), 5273--5283.

Y. Hu and S. Tang, Switching games of backward stochastic differential equations. Discrete Contin. Dyn. Syst. 35 (2015), 5447--5465.

Y. Hu, Stochastic maximum principle. Encyclopedia of Systems and Control, Springer, 2015.

Y. Hu, P. Y. Madec and A. Richou, A probabilistic approach to large time behavior of mild solutions of HJB equations in infinite dimension. SIAM J. Control Optim. 53 (2015), 378--398.

Y. Hu and Z. Qian, BMO martingales and positive solutions of heat equations. Math. Control Relat. Fields 5 (2015), 453--473.

Y. Hu, A. Matoussi and T. Zhang, Wong–Zakai approximations of backward doubly stochastic differential equations. Stochastic Process. Appl. 125 (2015), 4375--4404.

Y.Hu and S. Tang, Multi-dimensional backward stochastic differential equations of diagonally quadratic generators. Stochastic Process. Appl. 126 (2016), 1066–-1086.

Y. Hu and P. Y. Madec, A probabilistic approach to large time behaviour of viscosity solutions of parabolic equations with Neumann boundary conditions. Appl. Math. Optim. 74 (2016), 345--374.

Y. Hu and S. Tang, Non-zero sum quadratic differential game of BSDEs and multi-dimensional diagonally quadratic BSDE. IFAC-PapersOnLine 49 (2016), Issue 18, 308–-309.

Y. Hu, H. Jin and X. Y. Zhou Time-Inconsistent stochastic linear--quadratic control: characterization and uniqueness of equilibrium. SIAM J. Control Optim. 55 (2017), 1261--1279.

Y. Hu, Z. Qian and Z. Zhang, Gradient estimates for porous medium and fast diffusion equations by martingale method. Ann. Inst. Henri Poincare Probab. Stat. 53 (2017), 1793–-1820.

P. Briand, R. Elie and Y. Hu, BSDEs with mean reflection. Ann. Appl. Probab. 28 (2018), 482--510.

Y. Hu and S. Tang, Existence of solution to scalar BSDEs with $L\exp{\left(\!\!\sqrt{{2\over \lambda}\log{(1+L)}}\,\right)}$-integrable terminal values. Electron. Commun. Probab. 23 (2018), Paper No. 27, 11 pp.

Y. Hu, J. Huang and X. Li, Linear quadratic mean field game with control input constraint. ESAIM Control Optim. Calc. Var. 24 (2018), 901--919.

M. Fuhrman, Y. Hu and G. Tessitore, Stochastic maximum principle for optimal control of partial differential equations driven by white noise. Stoch. Partial Differ. Equ. Anal. Comput. 6 (2018), 255--285.

Y. Hu, J. Huang and T. Nie, Linear-Quadratic-Gaussian mixed mean-field games with heterogeneous input constraints. SIAM J. Control Optim. 56 (2018), 2835--2877.

H. Hibon, Y. Hu, Y. Lin, P. Luo and F. Wang, Quadratic BSDEs with mean reflection. Math. Control Relat. Fields 8 (2018), 721--738.

Y. Hu, Y. Lin and A. Soumana Hima, Quadratic backward stochastic differential equations driven by $G$-Brownian motion: discrete solutions and approximation. Stochastic Process. Appl. 128 (2018), 3724--3750.

Y. Hu and S. Tang, Nonlinear backward stochastic evolutionary equations driven by a space-time white noise. Math. Control Relat. Fields 8 (2018), 739--751.

R. Buckdahn, Y. Hu and S. Tang, Uniqueness of solution to scalar BSDEs with -integrable terminal values. Electron. Commun. Probab. 23 (2018), Paper No. 59, 8 pp

Y. Hu and S. Tang, Mixed deterministic and random optimal control of linear stochastic systems with quadratic costs. Probab. Uncertain. Quant. Risk 4 (2019), Paper No. 1, 15 pp.

W. F. Chong, Y. Hu, G. Liang and T. Zariphopoulou, An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior. Finance Stoch. 23 (2019), 239--273

Y. Hu, Y. Jiang and Z. Qian, Stochastic partial differential equations driven by space-time fractional noises. Stoch. Dyn. 19 (2019), 1950012, 34 pp.

Y. Hu and F. Lemonnier, Ergodic BSDE with an unbounded and multiplicative underlying diffusion and application to large time behavior of viscosity solution of HJB equation. Stochastic Process. Appl. 129 (2019), 4009--4050.

S. Fan and Y. Hu, Existence and uniqueness of solution to scalar BSDEs with $L\exp{\left(\mu \sqrt{2\log{(1+L)}}\,\right)}$-integrable terminal values: the critical case. Electron. Commun. Probab. 24 (2019), Paper No. 49, 10 pp.