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Sheung Chi Phillip Yam
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2020 – today
- 2024
- [j28]Alain Bensoussan
, Ziyu Huang
Maximum Principle for Mean Field Type Control Problems with General Volatility Functions. IGTR 26(2): 2440003:1-2440003:31 (2024) - [j27]Adrian P. Kennedy
Technical Note - The Generalized Sethi Advertising Model. Oper. Res. 72(4): 1526-1535 (2024) - [j26]Jinhui Han
Technical Note - Production Management with General Demands and Lost Sales. Oper. Res. 72(5): 1751-1764 (2024) - 2023
- [j25]Guiyuan Ma, Chi Chung Siu, Sheung Chi Phillip Yam, Zeyu Zhou:
Dynamic trading with Markov liquidity switching. Autom. 155: 111156 (2023) - [j24]Alain Bensoussan, Jiayue Han
Value-Gradient Based Formulation of Optimal Control Problem and Machine Learning Algorithm. SIAM J. Numer. Anal. 61(2): 973-994 (2023) - 2022
- [j23]Ka Chun Cheung, Sheung Chi Phillip Yam, Yiying Zhang
Satisficing credibility for heterogeneous risks. Eur. J. Oper. Res. 298(2): 752-768 (2022) - [j22]Jinhui Han
Relative performance evaluation for dynamic contracts in a large competitive market. Eur. J. Oper. Res. 302(2): 768-780 (2022) - [j21]Jinhui Han
A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management. SIAM J. Control. Optim. 60(3): 1193-1222 (2022) - 2021
- [j20]Xiaolong Li, Yifan Shi, Sheung Chi Phillip Yam, Hailiang Yang:
Fourier-Cosine Method for Finite-Time Gerber-Shiu Functions. SIAM J. Sci. Comput. 43(3): B650-B677 (2021) - 2020
- [j19]Alain Bensoussan, Boualem Djehiche, Hamidou Tembine
Mean-Field-Type Games with Jump and Regime Switching. Dyn. Games Appl. 10(1): 19-57 (2020) - [j18]Alain Bensoussan
Mean Field Games With Parametrized Followers. IEEE Trans. Autom. Control. 65(1): 12-27 (2020) - [i1]Alain Bensoussan, Yiqun Li, Dinh Phan Cao Nguyen, Minh-Binh Tran, Sheung Chi Phillip Yam, Xiang Zhou:
Machine Learning and Control Theory. CoRR abs/2006.05604 (2020)
2010 – 2019
- 2019
- [j17]Alain Bensoussan, Kwok Chuen Wong
A paradox in time-consistency in the mean-variance problem? Finance Stochastics 23(1): 173-207 (2019) - [j16]Alain Bensoussan, Shaokuan Chen, Anshuman Chutani, Suresh P. Sethi
Feedback Stackelberg-Nash Equilibria in Mixed Leadership Games with an Application to Cooperative Advertising. SIAM J. Control. Optim. 57(5): 3413-3444 (2019) - 2018
- [j15]Ka Chun Cheung, Jan Dhaene
Probabilistic solutions for a class of deterministic optimal allocation problems. J. Comput. Appl. Math. 336: 394-407 (2018) - 2017
- [j14]Sheung Chi Phillip Yam
Optimal Liquidation of Child Limit Orders. Math. Oper. Res. 42(2): 517-545 (2017) - [j13]Kwok Chuen Wong
Utility-Deviation-Risk Portfolio Selection. SIAM J. Control. Optim. 55(3): 1819-1861 (2017) - [j12]Alain Bensoussan, Michael Chau, Y. Lai, Sheung Chi Phillip Yam
Linear-Quadratic Mean Field Stackelberg Games with State and Control Delays. SIAM J. Control. Optim. 55(4): 2748-2781 (2017) - [c1]Alain Bensoussan, Boualem Djehiche, Hamidou Tembine
Risk-sensitive mean-field-type control. CDC 2017: 33-38 - 2016
- [j11]Sheung Chi Phillip Yam
Optimal asset allocation: Risk and information uncertainty. Eur. J. Oper. Res. 251(2): 554-561 (2016) - [j10]Alain Bensoussan
Linear-Quadratic Mean Field Games. J. Optim. Theory Appl. 169(2): 496-529 (2016) - [j9]Alain Bensoussan, Laurent Mertz
NonLocal Boundary Value Problems of a Stochastic Variational Inequality Modeling an Elasto-Plastic Oscillator Excited by a Filtered Noise. SIAM J. Math. Anal. 48(4): 2783-2805 (2016) - 2015
- [j8]Kwok-Wing Chau, Sheung Chi Phillip Yam
Fourier-cosine method for ruin probabilities. J. Comput. Appl. Math. 281: 94-106 (2015) - [j7]Alain Bensoussan
Mean Field Stackelberg Games: Aggregation of Delayed Instructions. SIAM J. Control. Optim. 53(4): 2237-2266 (2015) - 2014
- [j6]Alain Bensoussan, Chi Chung Siu, Sheung Chi Phillip Yam
A class of non-zero-sum stochastic differential investment and reinsurance games. Autom. 50(8): 2025-2037 (2014) - [j5]Alain Bensoussan
Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting. SIAM J. Financial Math. 5(1): 153-190 (2014) - 2013
- [j4]Alain Bensoussan
Linear-Quadratic Time-Inconsistent Mean Field Games. Dyn. Games Appl. 3(4): 537-552 (2013) - [j3]Sheung Chi Phillip Yam
A mean-variance portfolio selection problem subject to a benchmark constraint: An existence result. Risk Decis. Anal. 4(1): 25-38 (2013) - 2012
- [j2]Wai Keung Wong, John Alexander Wright
A mixed Sharpe ratio. Risk Decis. Anal. 3(1-2): 37-65 (2012) - 2010
- [j1]Zaiyue Yang, Sheung Chi Phillip Yam, L. K. Li, Yiwen Wang:
Universal Repetitive Learning Control for Nonparametric Uncertainty and Unknown State-Dependent Control Direction Matrix. IEEE Trans. Autom. Control. 55(7): 1710-1715 (2010)
Coauthor Index
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