Ying Hu

Publications

Article dans une revue (59)

Stochastic optimal control of homogenous systems Ying Hu,Xiaomin Shi,Zuo Quan SIAM Journal on Control and Optimization, In press Article dans une revue hal-04551761v1
Anticipated Backward Stochastic Differential Equations with Quadratic Growth: Multidimensional Results Ying Hu,Feng Li,Jiaqiang Wen Stochastic Processes and their Applications, 2026, pp.104941. ⟨10.1016/j.spa.2026.104941⟩ Article dans une revue hal-05561891v1
Multi-dimensional backward stochastic differential equations of non-Markovian interactively quadratic generators Shengjun Fan,Ying Hu,Shanjian Tang Electronic Journal of Probability, 2025, 30, Paper No. 169, 57 pp. ⟨10.1214/25-EJP1431⟩ Article dans une revue hal-04701649v1
White noise driven SPDEs with mean reflection Junxia Duan,Ying Hu,Jun Peng Journal of Theoretical Probability, 2025, 38 (3), pp.65. ⟨10.1007/s10959-025-01436-7⟩ Article dans une revue hal-04551686v1
Mean-field backward stochastic differential equations and nonlocal PDEs with quadratic growth Tao Hao,Ying Hu,Shanjian Tang,Jiaqiang Wen The Annals of Applied Probability, 2025, 35 (3), pp.2128-2174. ⟨10.1214/25-AAP2167⟩ Article dans une revue hal-04966579v1
Linear-quadratic Stackelberg differential game: local information versus global information Xinwei Feng,Ying Hu,Jianhui Huang ESAIM: Control, Optimisation and Calculus of Variations, 2024, 30 (Paper No. 47), 41 pp. ⟨10.1051/cocv/2024037⟩ Article dans une revue hal-03812039v1
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
Backward doubly stochastic differential equations and SPDEs with quadratic growth * Ying Hu,Jiaqiang Wen,Jie Xiong Stochastic Processes and their Applications, 2024, 175, pp.104405. ⟨10.1016/j.spa.2024.104405⟩ Article dans une revue hal-04601667v1
Multi-dimensional backward stochastic differential equations of diagonally quadratic generators: the general result Shengjun Fan,Ying Hu,Shanjian Tang Journal of Differential Equations, 2023, 368, pp.105-140. ⟨10.1016/j.jde.2023.05.041⟩ Article dans une revue hal-02893675v1
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
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
L1 solution to scalar BSDEs with logarithmic sub-linear growth generators ✩ Shengjun Fan,Ying Hu,Shanjian Tang Systems and Control Letters, 2023, 177, pp.article n° 105553. ⟨10.1016/j.sysconle.2023.105553⟩ Article dans une revue hal-03681198v1
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
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
Consistent Investment of Sophisticated Rank-Dependent Utility Agents in Continuous Time Ying Hu,Hanqing Jin,Xun Yu Zhou Mathematical Finance, 2021, 31 (3), pp.1056-1095. ⟨10.1111/mafi.12315⟩ Article dans une revue hal-02624308v1
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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 istex hal-00675842v1
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
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
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
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 istex hal-00536262v1
Noncommutative extrapolation theorems and applications Ying Hu Illinois Journal of Mathematics, 2009, 53 (2), pp.463-482 Article dans une revue hal-00772808v1
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
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
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 istex hal-00368765v1
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
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 istex 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 istex hal-00451661v1
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
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 istex hal-00725270v1

Pré-publication, Document de travail (8)

Uniqueness of adapted solutions to scalar BSDEs with Peano-type generators Shengjun Fan,Ying Hu,Shanjian Tang 2025 Pré-publication, Document de travail hal-05327414v1
Particle systems for mean-field backward stochastic Volterra integral equations Tao Hao,Ying Hu,Jiaqiang Wen 2025 Pré-publication, Document de travail hal-05327362v1
Relationship between maximum principle and dynamic programming principle for recursive optimal control problem of stochastic evolution equations Ying Hu,Guomin Liu,Shanjian Tang 2024 Pré-publication, Document de travail hal-04701692v1
Dual Representation of Unbounded Dynamic Concave Utilities ⋆ Shengjun Fan,Ying Hu,Shanjian Tang 2024 Pré-publication, Document de travail hal-04549531v1
Exponential utility maximization and indifference valuation with unbounded payoffs Ying Hu,Gechun Liang,Shanjian Tang 2017 Pré-publication, Document de travail hal-01579137v1
Equilibrium for Time-Inconsistent Stochastic Linear–Quadratic Control under Constraint Ying Hu,Jianhui Huang,Xun Li 2017 Pré-publication, Document de travail hal-01496574v1
Existence of solution to scalar BSDEs with weakly $L^{1+}$-integrable terminal values Ying Hu,Shanjian Tang 2017 Pré-publication, Document de travail hal-01507371v2
Some Estimates for Martingale Representation under G-Expectation Ying Hu,Shige Peng 2010 Pré-publication, Document de travail hal-01258853v1

Communication dans un congrès (2)

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
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 Nuneset al. IEEE International Symposium on Biomedical Imaging (ISBI'12), May 2012, Barcelone, Spain. pp.804-807 Communication dans un congrès hal-00702613v1

Chapitre d'ouvrage (3)

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