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Ying Hu

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Linear-quadratic Stackelberg differential game: local information versus global information

Xinwei Feng , Ying Hu , Jianhui Huang
ESAIM: Control, Optimisation and Calculus of Variations, In press, ⟨10.1051/cocv/2024037⟩
Article dans une revue hal-03812039v1
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Scalar BSDEs of iterated-logarithmically sublinear generators with integrable terminal values ⋆

Shengjun Fan , Ying Hu , Shanjian Tang
Systems and Control Letters, 2024, 188, pp.105805. ⟨10.1016/j.sysconle.2024.105805⟩
Article dans une revue hal-04168784v1
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Constrained Monotone Mean-Variance Problem with Random Coefficients

Ying Hu , Xiaomin Shi , Zuo Quan Xu
SIAM Journal on Financial Mathematics, 2023, 14 (3), pp.838-854. ⟨10.1137/22M154418X⟩
Article dans une revue hal-04364587v1
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Mean-field type Quadratic BSDEs

Hélène Hibon , Ying Hu , Shanjian Tang
Numerical Algebra, Control and Optimization, 2023, 13 (3-4), pp.392-412. ⟨10.3934/naco.2022009⟩
Article dans une revue hal-01512453v2
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L1 solution to scalar BSDEs with logarithmic sub-linear growth generators ✩

Shengjun Fan , Ying Hu , Shanjian Tang
Systems & Control Letters, 2023, 177, pp.article n° 105553. ⟨10.1016/j.sysconle.2023.105553⟩
Article dans une revue hal-03681198v1
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Stochastic LQ and Associated Riccati equation of PDEs Driven by State-and Control-Dependent White Noise

Ying Hu , Shanjian Tang
SIAM Journal on Control and Optimization, 2022, 60 (1), pp.435-457. ⟨10.1137/20M1351904⟩
Article dans une revue hal-01872354v1
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Constrained stochastic LQ control with regime switching and application to portfolio selection

Ying Hu , Xiaomin Shi , Zuo Quan Xu
The Annals of Applied Probability, 2022, 32 (1), ⟨10.1214/21-AAP1684⟩
Article dans une revue hal-04366941v1
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Consistent Investment of Sophisticated Rank-Dependent Utility Agents in Continuous Time

Ying Hu , Hanqing Jin , Xun Yu Zhou
Mathematical Finance, 2021
Article dans une revue hal-02624308v1
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Forward and Backward Stochastic Differential Equations with normal constraint in law

Philippe Briand , Pierre Cardaliaguet , Paul-Eric Chaudru de Raynal , Ying Hu
Stochastic Processes and their Applications, 2020, 130 (12), pp.7021-7097. ⟨10.1016/j.spa.2020.07.007⟩
Article dans une revue hal-02053777v1
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Mixed Deterministic and Random Optimal Control of Linear Stochastic Systems with Quadratic Costs

Ying Hu , Shanjian Tang
Probability, Uncertainty and Quantitative Risk, 2019, 4 (1), ⟨10.1186/s41546-018-0035-x⟩
Article dans une revue hal-01576070v1
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Stochastic partial differential equations driven by space-time fractional noises

Ying Hu , Yiming Jiang , Zhongmin Qian
Stochastics and Dynamics, 2019, 19 (2), ⟨10.1142/S0219493719500126⟩
Article dans une revue hal-01064283v1

An ergodic BSDE approach to entropic risk measure and its large time behavior

Wing Fung Chong , Ying Hu , Gechun Liang , Thaleia Zariphopoulou
Finance and Stochastics, 2019, 23 (1), pp.239-273. ⟨10.1007/s00780-018-0377-3⟩
Article dans une revue hal-01361585v1

Existence and uniqueness of solution to scalar BSDEs with $L\exp (\mu \sqrt{2\log (1+L)} )$-integrable terminal values: the critical case

Shengjun Fan , Ying Hu
Electronic Communications in Probability, 2019, 24, ⟨10.1214/19-ECP254⟩
Article dans une revue hal-02304841v1

Existence of solution to scalar BSDEs with $L\exp{\left (\!\!\sqrt {{2\over \lambda }\log {(1+L)}}\,\right )} $-integrable terminal values

Ying Hu , Shanjian Tang
Electronic Communications in Probability, 2018, 23 (none), paper n°27, 11 pp. ⟨10.1214/18-ECP127⟩
Article dans une revue hal-02363154v1
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Nonlinear Backward Stochastic Evolutionary Equations Driven by a Space-Time White Noise

Ying Hu , Shanjian Tang
Stochastic Processes and their Applications, 2018, 128 (11), pp.3724-3750
Article dans une revue hal-01570868v1
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Linear-Quadratic-Gaussian Mixed Mean-field Games with Heterogeneous Input Constraints

Ying Hu , Jianhui Huang , Tianyang Nie
SIAM Journal on Control and Optimization, 2018, 56 (4), pp.2835-2877. ⟨10.1137/17M1151420⟩
Article dans une revue hal-01590971v2

Quadratic backward stochastic differential equations driven by $G$-Brownian motion: discrete solutions and approximation

Ying Hu , Yiqing Lin , Abdoulaye Soumana-Hima
Stochastic Processes and their Applications, 2018, 128 (11), pp.3724-3750. ⟨10.1016/j.spa.2017.12.004⟩
Article dans une revue hal-01299263v1
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BSDEs with mean reflection

Philippe Briand , Romuald Elie , Ying Hu
The Annals of Applied Probability, 2018, 28 (1), pp.482-510. ⟨10.1214/17-AAP1310⟩
Article dans une revue hal-01318649v1
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Uniqueness of solution to scalar BSDEs with $L\exp{\left(\mu \sqrt{2\log{(1+L)}}\,\right)}$-integrable terminal values

Rainer Buckdahn , Ying Hu , Shanjian Tang
Electronic Communications in Probability, 2018, 23 (paper n°59), 8p. ⟨10.1214/18-ECP166⟩
Article dans une revue hal-01793086v1

Quadratic BSDEs with mean reflection

Hélène Hibon , Ying Hu , Yiqing Lin , Peng Luo , Falei Wang
Mathematical Control and Related Fields, 2018, 8 (3 & 4), pp.721-738. ⟨10.3934/mcrf.2018031⟩
Article dans une revue hal-01535660v1
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Stochastic Maximum Principle for Optimal Control ofPartial Differential Equations Driven by White Noise

Marco Fuhrman , Ying Hu , Gianmario Tessitore
Stochastics and Partial Differential Equations: Analysis and Computations, 2018, 6 (2), pp.255-285. ⟨10.1007/s40072-017-0108-3⟩
Article dans une revue hal-01064475v2
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Time-Inconsistent Stochastic Linear--Quadratic Control: Characterization and Uniqueness of Equilibrium

Ying Hu , Hanqing Jin , Xun Yu Zhou
SIAM Journal on Control and Optimization, 2017, 55 (2), pp.1261-1279. ⟨10.1137/15M1019040⟩
Article dans une revue hal-01139343v2
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Gradient estimates for porous medium and fast diffusion equations by martingale method

Ying Hu , Zhongmin Qian , Zichen Zhang
Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2017, 53 (4), pp.1793-1820. ⟨10.1214/16-AIHP771⟩
Article dans une revue hal-00705097v2

Multi-Dimensional Backward Stochastic Differential Equations of Diagonally Quadratic generators

Ying Hu , Shanjian Tang
Stochastic Processes and their Applications, 2016, 126 (4), pp.1066-1086. ⟨10.1016/j.spa.2015.10.011⟩
Article dans une revue hal-01058817v1
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A probabilistic approach to large time behaviour of viscosity solutions of parabolic equations with Neumann boundary conditions

Ying Hu , Pierre-Yves Madec
Applied Mathematics and Optimization, 2016, 74 (2), pp.345-374. ⟨10.1007/s00245-015-9318-0⟩
Article dans une revue hal-01135840v3

Wong-Zakai Approximations of Backward Doubly Stochastic Doubly Backward Differential Equations

Ying Hu , Anis Matoussi , Tusheng Zhang
Stochastic Processes and their Applications, 2015, 125 (12), pp.4375-4404. ⟨10.1016/j.spa.2015.07.003⟩
Article dans une revue hal-01058778v1
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Switching Game of Backward Stochastic Differential Equations and Associated System of Obliquely Reflected Backward Stochastic Differential Equations

Ying Hu , Shanjian Tang
Discrete and Continuous Dynamical Systems - Series A, 2015, 35 (11), pp.5447-5465. ⟨10.3934/dcds.2015.35.5447⟩
Article dans une revue hal-00287645v2
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BMO Martingales and Positive Solutions of Heat Equations

Ying Hu , Zhongmin Qian
Mathematical Control and Related Fields, 2015, 5 (3), pp.453-473. ⟨10.3934/mcrf.2015.5.453⟩
Article dans une revue hal-00662973v2
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On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions: the critical case

Freddy Delbaen , Ying Hu , Adrien Richou
Discrete and Continuous Dynamical Systems - Series A, 2015, 35 (11), pp.5273-5283. ⟨10.3934/dcds.2015.35.5273⟩
Article dans une revue hal-00802330v2
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Forward-backward systems for expected utility maximization

Ulrich Horst , Ying Hu , Peter Imkeller , Anthony Réveillac , Jianing Zhang
Stochastic Processes and their Applications, 2014, 124 (5), pp.1813-1848. ⟨10.1016/j.spa.2014.01.004⟩
Article dans une revue hal-00631727v1
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Stochastic maximum principle for optimal control of SPDEs

Marco Fuhrman , Ying Hu , Gianmario Tessitore
Applied Mathematics and Optimization, 2013, 68 (2), pp.181-217. ⟨10.1007/s00245-013-9203-7⟩
Article dans une revue hal-00783615v1

Ergodic BSDEs driven by Markov Chains

Samuel N. Cohen , Ying Hu
SIAM Journal on Control and Optimization, 2013, 51 (5), pp.4138-4168. ⟨10.1137/120885875⟩
Article dans une revue hal-00743975v1
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Stochastic maximum principle for optimal control of SPDEs

Marco Fuhrman , Ying Hu , Gianmario Tessitore
Comptes Rendus. Mathématique, 2012, 350 (13-14), pp.683-688. ⟨10.1016/j.crma.2012.07.009⟩
Article dans une revue hal-00706554v1

Time-Inconsistent Stochastic Linear--Quadratic Control

Ying Hu , Hanqing Jin , Xun Yu Zhou
SIAM Journal on Control and Optimization, 2012, 50 (3), pp.1548-1572. ⟨10.1137/110853960⟩
Article dans une revue hal-00691816v1
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Optimal consumption and investment in incomplete markets with general constraints

Patrick Cheridito , Ying Hu
Stochastics and Dynamics, 2011, 11 (2-3), pp.283-299. ⟨10.1142/S0219493711003280⟩
Article dans une revue hal-00522563v2
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Ergodic BSDEs under weak dissipative assumptions

Arnaud Debussche , Ying Hu , Gianmario Tessitore
Stochastic Processes and their Applications, 2011, 121 (3), pp.407-426. ⟨10.1016/j.spa.2010.11.009⟩
Article dans une revue hal-00472146v1

Stochastic representation for solutions of Isaacs' type integral-partial differential equations

Rainer Buckdahn , Ying Hu , Juan Li
Stochastic Processes and their Applications, 2011, 121 (12), pp.2715-2750. ⟨10.1016/j.spa.2011.07.011⟩
Article dans une revue hal-00675842v1
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Backward SDEs with superquadratic growth

Freddy Delbaen , Ying Hu , Xiaobo Bao
Probability Theory and Related Fields, 2011, 150 (1-2), pp.145-192. ⟨10.1007/s00440-010-0271-1⟩
Article dans une revue hal-00362685v1
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On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions

Freddy Delbaen , Ying Hu , Adrien Richou
Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2011, 47 (2), pp.559-574. ⟨10.1214/10-AIHP372⟩
Article dans une revue hal-00391112v1
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Multi-dimensional BSDE with Oblique Reflection and Optimal Switching

Ying Hu , Shanjian Tang
Probability Theory and Related Fields, 2010, 147 (1-2), pp.89-121. ⟨10.1007/s00440-009-0202-1⟩
Article dans une revue hal-00158569v2

Probabilistic interpretation of a coupled system of Hamilton-Jacobi-Bellman equations

Rainer Buckdahn , Ying Hu
Journal of Evolution Equations, 2010, 10 (3), pp.529-549. ⟨10.1007/s00028-010-0060-4⟩
Article dans une revue hal-00536262v1
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Ergodic BSDEs and Optimal Ergodic Control in Banach Spaces

Marco Fuhrman , Ying Hu , Gianmario Tessitore
SIAM Journal on Control and Optimization, 2009, 48 (3), pp.1542-1566. ⟨10.1137/07069849x⟩
Article dans une revue hal-00165835v1

Noncommutative extrapolation theorems and applications

Ying Hu
Illinois Journal of Mathematics, 2009, 53 (2), pp.463-482
Article dans une revue hal-00772808v1

Maximal ergodic theorems for some group actions

Ying Hu
Journal of Functional Analysis, 2008, 254 (5), pp.1282-1306. ⟨10.1016/j.jfa.2007.12.004⟩
Article dans une revue hal-00772766v1
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Representation Theorems for Quadratic ${\cal F}$-Consistent Nonlinear Expectations

Ying Hu , Jin Ma , Shige Peng , Song Yao
Stochastic Processes and their Applications, 2008, 118 (9), pp.1518-1551. ⟨10.1016/j.spa.2007.10.002⟩
Article dans une revue hal-00141537v1

BSDE on an infinite horizon and elliptic PDEs in infinite dimension

Ying Hu , Gianmario Tessitore
Nonlinear Differential Equations and Applications, 2007, 14 (5-6), pp.825-846. ⟨10.1007/s00030-007-6029-5⟩
Article dans une revue hal-00368765v1
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Backward stochastic differential equations in infinite dimensions with continuous driver and applications

Marco Fuhrman , Ying Hu
Applied Mathematics and Optimization, 2007, 56 (2), pp.265-302. ⟨10.1007/s00245-007-0897-2⟩
Article dans une revue hal-00364758v1
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BSDE with quadratic growth and unbounded terminal value

Philippe Briand , Ying Hu
Probability Theory and Related Fields, 2006, 136 (4), pp.604-618. ⟨10.1007/s00440-006-0497-0⟩
Article dans une revue hal-00004619v1
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On a class of stochastic optimal control problems related to BSDEs with quadratic growth

Marco Fuhrman , Ying Hu , Gianmario Tessitore
SIAM Journal on Control and Optimization, 2006, 45 (4), pp.1279-1296. ⟨10.1137/050633548⟩
Article dans une revue hal-00451623v1

Infinite horizon BSDEs in infinite dimensions with continuous driver and applications

Marco Fuhrman , Ying Hu
Journal of Evolution Equations, 2006, 6 (3), pp.459-484. ⟨10.1007/s00028-006-0263-x⟩
Article dans une revue hal-00451614v1

On the comparison theorem for multidimensional BSDEs

Ying Hu , Shige Peng
Comptes Rendus. Mathématique, 2006, 343 (2), pp.135-140. ⟨10.1016/j.crma.2006.05.019⟩
Article dans une revue hal-00451661v1

On Jensen's inequality for g-expectation and for nonlinear expectation

Ying Hu
Arkiv der Mathematik, 2005, 85 (6), pp.572-580. ⟨10.1007/s00013-005-1440-9⟩
Article dans une revue hal-00725270v1

Stochastic Maximum Principle

Ying Hu
John Baillieul, Tariq Samad. Encyclopedia of Systems and Control, XXIV, Springer, pp.1347-1350, 2015, 978-1-4471-5057-2. ⟨10.1007/978-1-4471-5102-9_229-1⟩
Chapitre d'ouvrage hal-01105071v1

Some new BSDE results for an infinite-horizon stochastic control problem.

Ying Hu , Martin Schweizer
Di Nunno, Giulia; Øksendal, Bernt. Advanced mathematical methods for finance, Springer, pp.367-395, 2011, 978-3-642-18411-6
Chapitre d'ouvrage hal-00691649v1

Existence and Non-uniqueness of Solutions for BSDE

Xiaobo Bao , Freddy Delbaen , Ying Hu
Contemporary quantitative finance, Springer, pp.123-124, 2010
Chapitre d'ouvrage hal-00560922v1

Non-zero sum quadratic differential game of BSDEs and multi-dimensional diagonally quadratic BSDE

Ying Hu , Shanjian Tang
10th IFAC Symposium on Nonlinear Control Systems NOLCOS 2016, Aug 2016, Monterey, United States. pp.308-309, ⟨10.1016/j.ifacol.2016.10.182⟩
Communication dans un congrès hal-01467478v1
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Sparse reconstruction from a limited projection number of the coronary artery tree in X-ray rotational imaging

Ying Hu , Mi Youn Jung , Ahmed Oukili , Guanyu Yang , Jean-Claude Nunes
IEEE International Symposium on Biomedical Imaging (ISBI'12), May 2012, Barcelone, Spain. pp.804-807
Communication dans un congrès hal-00702613v1