A Mean Field Game Approach to Optimal Investment and Risk Control for Competitive Insurers, (with S.H. Wang and C. Zhou). To appear in Insurance: Mathematics and Economics
Evaluation Timing with Dynamic Information: Optimization and Heuristic, (with M. Li and T.T. Zhang). To appear in Production and Operations Management
Risk-Sensitive Credit Portfolio Optimization under Partial Information and Contagion Risk, (with H.F. Liao and X. Yu). To appear in The Annals of Applied Probability [arXiv]
Probabilistic Analysis of Replicator-Mutator Equations, (with H.F. Liao). To appear in Advances in Applied Probability
Large Sample Mean-Field Stochastic Optimization, (with A. Capponi and H.F. Liao). [Previous Title: Deep Residual Learning via Large Sample Mean-Field Stochastic Optimization] To appear in SIAM Journal on Control and Optimization [arXiv]
Power Forward Performance in Semimartingale Markets with Stochastic Integrated Factors, (with A. Capponi and Chao Zhou). To appear in Mathematics of Operations Research [arXiv]
Dynamic Analysis on Counterparty Exposures and Netting Efficiency of Central Counterparty Clearing, (with Y.C. Liu and T.T. Zhang). To appear in Quantitative Finan.
Approximating Nash Equilibrium for Optimal Consumption in Stochastic Growth Model with Jumps, (with T.Q. Li). To appear in Acta Mathematica Sinica,English Series
The Cooperative Mean Field Game for Production Control with Sticky Price, (with T.Q. Li). To appear in Communications in Mathematics and Statistics
Mean field game of optimal relative investment with jump risk, (with S.H. Wang and X. Yu). To appear in Science China: Mathematics
Locally Risk-Minimizing Hedging of Counterparty Risk for Portfolio of Credit Derivatives, (with C. Ceci). To appear in Appl. Math. Optim.
Dynamic Pricing under Surging Demand, (with Y.J. Huang). To appear in CSIAM Transactions on Applied Mathematics
Selected Publications
(A full list of journal papers on Google Scholar is here)
Centralized Systemic Risk Control in the Interbank System: Weak Formulation and Gamma-Convergence, (with T.Q. Li and X. Yu). Stochastic Processes and their Applications Vol. 150(3), 622-654, 2022. [arXiv]
Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching, (with H.F. Liao and X. Yu). SIAM Journal on Control and Optimization Vol. 57(1), 366-401, 2019. [arXiv]
Optimal Investment of Variance-Swaps in Jump-Diffusion Market with Regime-Switching, (with D. Tang and Y.J. Wang). Journal of Economic Dynamics and Control Vol. 83, 175-197, 2017.
Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios, (with A. Capponi). Finance and Stochastics Vol. 18(2), 431-482, 2014. [arXiv]
First Passage Times of Reflected O-U Processes with Two-Sided Jumps. Queueing Systems Vol. 73(1), 105-118, 2013.
On the First Passage Times of Reflected OU Processes with Two-Sided Barriers, (with Y. Wang and L. Zhang). Queueing Systems Vol. 54(4), 313-316, 2006.
Markov-Modulated Jump-Diffusions for Currency Option Pricing, (with Y. Wang and X. Yang). Insurance: Mathematics and Economics Vol. 46(3), 461-469, 2010.
An Optimal Portfolio Problem in a Defaultable Market, (with Y. Wang and X. Yang). Advances in Applied Probability Vol. 42(3), 689-705, 2010.
Support Theorem for a Stochastic Cahn-Hilliard Equation, (with K. Shi and Y. Wang). Electronic Journal of Probability Vol. 15(1), 484-525, 2010.
On a Stochastic Wave Equation Driven by a Non-Gaussian Levy Process, (with K. Shi and Y. Wang). Journal of Theoretical Probability Vol. 23(1), 328-343, 2010.
Explosive Solutions of Stochastic Wave Equations with Damping on R^d, (with D. Tang and Y. Wang). Journal of Differential Equations Vol. 244(1), 170-187, 2008.