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Tianyang NIE
Tianyang NIE
Adresă de e-mail confirmată pe sdu.edu.cn
Titlu
Citat de
Citat de
Anul
Fractional backward stochastic differential equations and fractional backward variational inequalities
L Maticiuc, T Nie
Journal of Theoretical Probability 28 (1), 337-395, 2015
472015
Linear-Quadratic-Gaussian Mixed Mean-field Games with Heterogeneous Input Constraints
Y Hu, J Huang, T Nie
SIAM Journal on Control and Optimization 56 (4), 2835-2877, 2018
422018
A BSDE approach to fair bilateral pricing under endogenous collateralization
T Nie, M Rutkowski
Finance and Stochastics, 2016
272016
Generalized Hamilton--Jacobi--Bellman equations with Dirichlet boundary condition and stochastic exit time optimal control problem
R Buckdahn, T Nie
SIAM Journal on Control and Optimization 54 (2), 602-631, 2016
232016
BSDEs driven by a multi-dimensional martingale and their applications to market models with funding costs
T Nie, M Rutkowski
Theory of Probability & Its Applications, 2016
192016
Fair bilateral pricing under funding costs and exogenous collateralization
MR T Nie
Mathematical Finance, 2018
182018
Connection between MP and DPP for Stochastic Recursive Optimal Control Problems: Viscosity Solution Framework in General Case
T Nie, J Shi, Z Wu
SIAM Journal on Control and Optimization 55 (5), 3258-3294, 2017
172017
FAIR BILATERAL PRICES IN BERGMAN'S MODEL WITH EXOGENOUS COLLATERALIZATION
T NIE, M RUTKOWSKI
International Journal of Theoretical and Applied Finance, 1550048, 2015
17*2015
Maximum principle for discrete-time stochastic control problem of mean-field type
B Dong, T Nie, Z Wu
Automatica 144, 110497, 2022
132022
Deterministic characterization of viability for stochastic differential equation driven by fractional Brownian motion∗∗∗
T Nie, A Rășcanu
ESAIM: Control, Optimisation and Calculus of Variations 18 (4), 915-929, 2012
132012
American options in nonlinear markets
E Kim, T Nie, M Rutkowski
Electronic Journal of Probability 26, 1-41, 2021
12*2021
Extended mean-field control problem with partial observation
T Nie, K Yan
ESAIM: Control, Optimisation and Calculus of Variations 28, 17, 2022
102022
Fair and profitable bilateral prices under funding costs and collateralization
T Nie, M Rutkowski
arXiv preprint arXiv:1410.0448, 2014
102014
Connection between MP and DPP for Stochastic Recursive Optimal Control Problems: Viscosity Solution Framework in Local Case
T Nie, J Shi, Z Wu
American Control Conference (ACC), 2016, 2016
92016
A stochastic approach to a new type of parabolic variational inequalities
T Nie
Stochastics An International Journal of Probability and Stochastic Processes …, 2015
82015
Reflected and doubly reflected BSDEs driven by RCLL martingales
T Nie, M Rutkowski
Stochastics and Dynamics 22 (05), 2250012, 2022
72022
Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection
T Nie, M Rutkowski
Stochastic Processes and their Applications 124 (8), 2672-2698, 2014
62014
Linear-quadratic large-population problem with partial information: Hamiltonian approach and Riccati approach
M Li, T Nie, Z Wu
SIAM Journal on Control and Optimization 61 (4), 2114-2139, 2023
52023
Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales
T Nie, M Rutkowski
Probability, Uncertainty and Quantitative Risk 6 (4), 319-342, 2021
5*2021
Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality
TY Nie
Science China Mathematics 58, 729-748, 2015
42015
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