Search Results - "Nie, Tianyang"

Fair bilateral pricing under funding costs and exogenous collateralization by Nie, Tianyang, Rutkowski, Marek

“…Bielecki and Rutkowski introduced and studied a generic nonlinear market model, which includes several risky assets, multiple funding accounts, and margin…”
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Maximum Principle for General Partial Information Nonzero Sum Stochastic Differential Games and Applications by Nie, Tianyang, Wang, Falei, Yu, Zhiyong

“…We study a general kind of partial information nonzero sum two-player stochastic differential games, where the state variable is governed by a stochastic…”
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Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality by Nie, TianYang

“…We study the existence and uniqueness of the solution to a forward-backward stochastic differential equation with subdifferential operator in the backward…”
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Maximum principle for discrete-time stochastic control problem of mean-field type by Dong, Bozhang, Nie, Tianyang, Wu, Zhen

“…In this work, a discrete-time mean-field type stochastic optimal control problem is studied. The goal is to derive the stochastic maximum principle with convex…”
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A maximum principle for discrete-time stochastic optimal control problem with delay by Dong, Bozhang, Nie, Tianyang, Wu, Zhen

“…This paper is devoted to study the maximum principle for discrete-time stochastic optimal control problem with delay. The most difficulty to this problem comes…”
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Fully-coupled mean-field FBSDE and maximum principle for related optimal control problem by Chen, Yanbo, Nie, Tianyang, Wang, Shujun

“…In this paper, motivated by the study of Stackelberg differential game of McKean–Vlasov type, we first investigate the solvability for the mean-field…”
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The stochastic maximum principle for relaxed control problem with regime-switching by Chen, Yinggu, Nie, Tianyang, Wu, Zhen

“…We study a stochastic relaxed control problem with regime-switching, in which the control enters both the drift and the diffusion coefficients. The goal is to…”
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A BSDE approach to fair bilateral pricing under endogenous collateralization by Nie, Tianyang, Rutkowski, Marek

“…Nie and Rutkowski (Int. J. Theor. Appl. Finance 18:1550048, 2015 ; Math. Finance, 2016 , to appear) examined fair bilateral pricing in models with funding…”
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Linear-Quadratic Delayed Mean-Field Social Optimization by Nie, Tianyang, Wang, Shujun, Wu, Zhen

“…A linear quadratic (LQ) stochastic optimization problem with delay involving weakly-coupled large population is investigated in this paper. Different to…”
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Incomplete Information Mean-Field Games and Related Riccati Equations by Li, Min, Nie, Tianyang, Wang, Shujun, Yan, Ke

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Fractional Backward Stochastic Differential Equations and Fractional Backward Variational Inequalities by Maticiuc, Lucian, Nie, Tianyang

“…In the framework of fractional stochastic calculus, we study the existence and the uniqueness of the solution for a backward stochastic differential equation,…”
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A stochastic approach to a new type of parabolic variational inequalities by Nie, Tianyang

“…We study the following quasilinear partial differential equation with two subdifferential operators: where for and The operator (resp. ) is the subdifferential…”
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American options in nonlinear markets by Kim, Edward, Nie, Tianyang, Rutkowski, Marek

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Connection between MP and DPP for stochastic recursive optimal control problems: Viscosity solution framework in local case by Nie, Tianyang, Shi, Jingtao, Wu, Zhen

“…This paper deals with a nonsmooth version of the connection between the maximum principle and dynamic programming principle, for the stochastic recursive…”
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Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection by Nie, Tianyang, Rutkowski, Marek

“…We examine the connections between a novel class of multi-person stopping games with redistribution of payoffs and multi-dimensional reflected BSDEs in…”
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Stochastic Singular Linear Systems and Related Linear-Quadratic Optimal Control Problems under Finite and Infinite Horizons by Li, Mengzhen, Nie, Tianyang, Wu, Zhen

“…In this paper, we study the necessary and sufficient conditions for ensuring the well-posedness of the stochastic singular systems. Moreover, we investigate…”
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Reflected BSDEs and doubly reflected BSDEs driven by RCLL martingales by Nie, Tianyang, Rutkowski, Marek

“…We prove some new results on reflected BSDEs and doubly reflected BSDEs driven by a multi-dimensional RCLL martingale. The goal is to develop a general…”
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Existence, uniqueness and strict comparison theorems for backward stochastic differential equations driven by RCLL martingales by Nie, Tianyang, Rutkowski, Marek

“…Results on the existence, uniqueness and strict comparison for solutions to a BSDE driven by a multi-dimensional RCLL martingale are established. The goal is…”
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Linear-Quadratic Delayed Mean-Field Social Optimization by Nie, Tianyang, Wang, Shujun, Wu, Zhen

“…A linear quadratic (LQ) stochastic optimization problem with delay involving weakly-coupled large population is investigated in this paper. Different to…”
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Linear-Quadratic Large-Population Problem with Partial Information: Hamiltonian Approach and Riccati Approach by Li, Min, Nie, Tianyang, Wu, Zhen

“…This paper studies a class of partial information linear-quadratic mean-field game problems. A general stochastic large-population system is considered, where…”
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