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1

Connection between MP and DPP for Stochastic Recursive Optimal Control Problems: Viscosity Solution Framework in the General Case

Nie, Tianyang, Shi, Jingtao, Wu, Zhen

Journal:

SIAM Journal on Control and Optimization

Year:

2017

Language:

english

File:

PDF, 351 KB

english, 2017

2

A stochastic approach to a new type of parabolic variational inequalities

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2015

Language:

english

File:

PDF, 451 KB

english, 2015

3

[IEEE 2016 American Control Conference (ACC) - Boston, MA, USA (2016.7.6-2016.7.8)] 2016 American Control Conference (ACC) - Connection between MP and DPP for stochastic recursive optimal control problems: Viscosity solution framework in local case

Nie, Tianyang, Shi, Jingtao, Wu, Zhen

Year:

2016

Language:

english

File:

PDF, 337 KB

english, 2016

4

Linear-Quadratic-Gaussian Mixed Mean-Field Games with Heterogeneous Input Constraints

Hu, Ying, Huang, Jianhui, Nie, Tianyang

Journal:

SIAM Journal on Control and Optimization

Year:

2018

Language:

english

File:

PDF, 536 KB

english, 2018

5

Fractional Backward Stochastic Differential Equations and Fractional Backward Variational Inequalities

Maticiuc, Lucian, Nie, Tianyang

Journal:

Journal of Theoretical Probability

Year:

2015

Language:

english

File:

PDF, 493 KB

english, 2015

6

FAIR BILATERAL PRICES IN BERGMAN’S MODEL WITH EXOGENOUS COLLATERALIZATION

NIE, TIANYANG, RUTKOWSKI, MAREK

Journal:

International Journal of Theoretical and Applied Finance

Year:

2015

Language:

english

File:

PDF, 336 KB

english, 2015

7

Evading by any means? VAT enforcement and payroll tax evasion in China

Li, Lixing, Liu, Kevin Zhengcheng, Nie, Zhuo, Xi, Tianyang

Journal:

Journal of Economic Behavior & Organization

Year:

2020

File:

PDF, 911 KB

2020

8

Deterministic characterization of viability for stochastic differential equation driven by fractional Brownian motion

Nie, Tianyang, Răşcanu, Aurel

Journal:

ESAIM Control Optimisation and Calculus of Variations

Year:

2012

Language:

english

File:

PDF, 250 KB

english, 2012

9

Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection

Nie, Tianyang, Rutkowski, Marek

Journal:

Stochastic Processes and their Applications

Year:

2014

Language:

english

File:

PDF, 329 KB

english, 2014

10

Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality

Journal:

Science China Mathematics

Year:

2015

Language:

english

File:

PDF, 287 KB

english, 2015

11

Generalized Hamilton--Jacobi--Bellman Equations with Dirichlet Boundary Condition and Stochastic Exit Time Optimal Control Problem

Buckdahn, Rainer, Nie, Tianyang

Journal:

SIAM Journal on Control and Optimization

Year:

2016

Language:

english

File:

PDF, 528 KB

english, 2016

12

A BSDE approach to fair bilateral pricing under endogenous collateralization

Nie, Tianyang, Rutkowski, Marek

Journal:

Finance and Stochastics

Year:

2016

Language:

english

File:

PDF, 1.75 MB

english, 2016

13

Fair bilateral pricing under funding costs and exogenous collateralization

Nie, Tianyang, Rutkowski, Marek

Journal:

Mathematical Finance

Year:

2017

Language:

english

File:

PDF, 471 KB

english, 2017