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Author ID: wu.zhen Recent zbMATH articles by "Wu, Zhen"
Published as: Wu, Zhen; Wu, Z.
Homepage: http://www.maths.sdu.edu.cn/~wuzhen/home.html
Documents Indexed: 151 Publications since 1996, including 1 Book
Co-Authors: 78 Co-Authors with 140 Joint Publications
2,778 Co-Co-Authors
all top 5

Serials

9 Journal of Systems Science and Complexity
8 Automatica
8 SIAM Journal on Control and Optimization
6 IEEE Transactions on Automatic Control
6 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
5 Systems & Control Letters
5 Acta Automatica Sinica
5 Mathematical Problems in Engineering
5 Mathematical Control and Related Fields
4 Journal of Mathematical Analysis and Applications
4 Journal of Optimization Theory and Applications
4 Statistics & Probability Letters
4 Applied Mathematics. Series B (English Edition)
4 Advances in Difference Equations
3 International Journal of Control
3 Applied Mathematics and Computation
3 Journal of Differential Equations
3 Optimal Control Applications & Methods
3 Chinese Journal of Applied Probability and Statistics
3 Communications in Statistics. Theory and Methods
3 Abstract and Applied Analysis
3 Acta Mathematica Scientia. Series B. (English Edition)
2 Applied Mathematics and Optimization
2 Chinese Annals of Mathematics. Series A
2 Chinese Annals of Mathematics. Series B
2 Acta Mathematicae Applicatae Sinica. English Series
2 Annals of Operations Research
2 Applied Mathematics. Series A (Chinese Edition)
2 Discrete and Continuous Dynamical Systems
2 Journal of Shandong University. Natural Science
2 Boundary Value Problems
2 Acta Mechanica Sinica
2 Science China. Mathematics
1 Acta Mechanica
1 Journal of Computational and Applied Mathematics
1 Transactions of the American Mathematical Society
1 Journal of Shandong University. Natural Science Edition
1 Insurance Mathematics & Economics
1 Applied Mathematics and Mechanics. (English Edition)
1 Probability and Mathematical Statistics
1 Stochastic Analysis and Applications
1 Journal of Systems Science and Mathematical Sciences
1 Mathematica Applicata
1 Systems Science and Mathematical Sciences
1 The Annals of Applied Probability
1 Stochastic Processes and their Applications
1 Archive of Applied Mechanics
1 Journal of Combinatorial Optimization
1 International Journal of Theoretical and Applied Finance
1 European Journal of Mechanics. A. Solids
1 Acta Mathematica Sinica. English Series
1 Journal of the Australian Mathematical Society
1 Journal of Applied Mathematics
1 Comptes Rendus. Mathématique. Académie des Sciences, Paris
1 Chinese Journal of Contemporary Mathematics
1 Communications in Mathematical Sciences
1 Journal of Industrial and Management Optimization
1 Stochastics
1 Science China. Information Sciences
1 SpringerBriefs in Mathematics
1 Probability, Uncertainty and Quantitative Risk

Publications by Year

Citations contained in zbMATH Open

110 Publications have been cited 1,454 times in 785 Documents Cited by Year
Fully coupled forward-backward stochastic differential equations and applications to optimal control. Zbl 0931.60048
Peng, Shige; Wu, Zhen
207
1999
Maximum principle for the stochastic optimal control problem with delay and application. Zbl 1205.93163
Chen, Li; Wu, Zhen
78
2010
On well-posedness of forward-backward SDEs – a unified approach. Zbl 1319.60132
Ma, Jin; Wu, Zhen; Zhang, Detao; Zhang, Jianfeng
63
2015
The maximum principles for stochastic recursive optimal control problems under partial information. Zbl 1367.93725
Wang, Guangchen; Wu, Zhen
53
2009
Maximum principle for optimal control problem of fully coupled forward-backward stochastic systems. Zbl 0938.93066
Wu, Zhen
53
1998
A general maximum principle for optimal control of forward-backward stochastic systems. Zbl 1321.49041
Wu, Zhen
47
2013
Delay-dependent stability and \(H_\infty\) control for uncertain discrete switched singular systems with time-delay. Zbl 1152.93461
Ma, Shuping; Zhang, Chenghui; Wu, Zhen
37
2008
Maximum principles for forward-backward stochastic control systems with correlated state and observation noises. Zbl 1262.93027
Wang, Guangchen; Wu, Zhen; Xiong, Jie
36
2013
Kalman-Bucy filtering equations of forward and backward stochastic systems and applications to recursive optimal control problems. Zbl 1141.93070
Wang, Guangchen; Wu, Zhen
32
2008
Forward-backward stochastic differential equations, linear quadratic stochastic optimal control and nonzero sum differential games. Zbl 1156.93409
Wu, Zhen
31
2005
Maximum principle for forward-backward stochastic control system with random jumps and applications to finance. Zbl 1197.93165
Shi, Jingtao; Wu, Zhen
31
2010
Maximum principle for backward doubly stochastic control systems with applications. Zbl 1222.49040
Han, Yuecai; Peng, Shige; Wu, Zhen
31
2010
Reliably computing all characteristic roots of delay differential equations in a given right half plane using a spectral method. Zbl 1237.65065
Wu, Zhen; Michiels, Wim
30
2012
A linear-quadratic optimal control problem of forward-backward stochastic differential equations with partial information. Zbl 1360.93787
Wang, Guangchen; Wu, Zhen; Xiong, Jie
29
2015
A maximum principle for partially observed optimal control of forward-backward stochastic control systems. Zbl 1227.93116
Wu, Zhen
28
2010
Dynamic programming principle for one kind of stochastic recursive optimal control problem and Hamilton-Jacobi-Bellman equation. Zbl 1171.49022
Wu, Zhen; Yu, Zhiyong
25
2008
Backward mean-field linear-quadratic-Gaussian (LQG) games: full and partial information. Zbl 1359.91009
Huang, Jianhui; Wang, Shujun; Wu, Zhen
23
2016
Fully coupled FBSDE with Brownian motion and Poisson process in stopping time duration. Zbl 1029.60047
Wu, Zhen
23
2003
Probabilistic interpretation for a system of quasilinear parabolic partial differential equation combined with algebra equations. Zbl 1314.60135
Wu, Zhen; Yu, Zhiyong
21
2014
Infinite horizon reflected backward stochastic differential equations and applications in mixed control and game problems. Zbl 0985.60063
Hamadène, S.; Lepeltier, J.-P.; Wu, Zhen
20
1999
Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems. Zbl 1209.49034
Shi, J. T.; Wu, Z.
19
2010
Forward-backward stochastic differential equations with Brownian motion and Poisson process. Zbl 1009.60050
Wu, Zhen
19
1999
Maximum principle for optimal control problems of forward-backward regime-switching system and applications. Zbl 1271.49018
Tao, Ran; Wu, Zhen
19
2012
An introduction to optimal control of FBSDE with incomplete information. Zbl 1400.49001
Wang, Guangchen; Wu, Zhen; Xiong, Jie
18
2018
The maximum principle for fully coupled forward-backward stochastic control system. Zbl 1498.93786
Shi, Jing-Tao; Wu, Zhen
17
2006
Optimal premium policy of an insurance firm: full and partial information. Zbl 1231.91200
Huang, Jianhui; Wang, Guangchen; Wu, Zhen
15
2010
A type of general forward-backward stochastic differential equations and applications. Zbl 1218.60047
Chen, Li; Wu, Zhen
14
2011
BDSDEs with locally monotone coefficients and Sobolev solutions for SPDEs. Zbl 1221.60089
Wu, Zhen; Zhang, Feng
14
2011
A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications. Zbl 1240.93365
Shi, Jingtao; Wu, Zhen
13
2011
General maximum principles for partially observed risk-sensitive optimal control problems and applications to finance. Zbl 1178.49049
Wang, G. C.; Wu, Z.
13
2009
Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes. Zbl 1178.93148
Tang, Huaibin; Wu, Zhen
13
2009
Delayed stochastic linear-quadratic control problem and related applications. Zbl 1251.93138
Chen, Li; Wu, Zhen; Yu, Zhiyong
13
2012
Linear quadratic nonzero-sum differential games with random jumps. Zbl 1144.91305
Wu, Zhen; Yu, Zhi-Yong
12
2005
Linear quadratic mean-field-game of backward stochastic differential systems. Zbl 1416.93198
Du, Kai; Huang, Jianhui; Wu, Zhen
11
2018
Continuous-time mean-variance portfolio selection with random horizon in an incomplete market. Zbl 1338.93405
Lv, Siyu; Wu, Zhen; Yu, Zhiyong
11
2016
BSDEs with regime switching: weak convergence and applications. Zbl 1306.60080
Tao, Ran; Wu, Zhen; Zhang, Qing
11
2013
Stochastic maximum principle for optimal control problems of forward-backward systems involving impulse controls. Zbl 1368.93793
Wu, Zhen; Zhang, Feng
11
2011
Maximum principle for optimal control of anticipated forward-backward stochastic differential delayed systems with regime switching. Zbl 1333.93261
Lv, Siyu; Tao, Ran; Wu, Zhen
11
2016
Stabilization control for linear continuous-time mean-field systems. Zbl 1482.93679
Qi, Qingyuan; Zhang, Huanshui; Wu, Zhen
10
2019
Linear-quadratic Stackelberg game for mean-field backward stochastic differential system and application. Zbl 1435.91023
Du, Kai; Wu, Zhen
10
2019
A simple model of corporate international investment under incomplete information and taxes. Zbl 1163.91379
Bellalah, Mondher; Wu, Zhen
10
2009
Dynamic programming principle for stochastic recursive optimal control problem with delayed systems. Zbl 1259.49040
Chen, Li; Wu, Zhen
10
2012
Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations. Zbl 1383.93095
Li, Na; Wu, Zhen; Yu, Zhiyong
9
2018
Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions. Zbl 1216.49024
Shi, Jing-Tao; Wu, Zhen
9
2011
Backward-forward linear-quadratic mean-field games with major and minor agents. Zbl 1443.91044
Huang, Jianhui; Wang, Shujun; Wu, Zhen
8
2016
Time-inconsistent optimal control problem with random coefficients and stochastic equilibrium HJB equation. Zbl 1316.93127
Wang, Haiyang; Wu, Zhen
8
2015
Partially observed time-inconsistency recursive optimization problem and application. Zbl 1290.49050
Wang, Haiyang; Wu, Zhen
8
2014
Fully coupled forward-backward stochastic differential equations and related partial differential equation systems. Zbl 1073.60065
Wu, Zhen; Yu, Zhiyong
8
2004
FBSDE with Poisson process and its application to linear quadratic stochastic optimal control problem with random jumps. Zbl 1498.93793
Wu, Zhen; Wang, Xiang-Rong
8
2003
Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information. Zbl 1448.93348
Li, Na; Wang, Guangchen; Wu, Zhen
7
2020
Well-posedness of a class of two-point boundary value problems associated with ordinary differential equations. Zbl 1445.34049
Liu, Ruyi; Wu, Zhen
7
2018
Maximum principle for stochastic recursive optimal control problems involving impulse controls. Zbl 1246.93128
Wu, Zhen; Zhang, Feng
7
2012
Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance. Zbl 1252.49040
Shi, Jingtao; Wu, Zhen
7
2012
Partially observed time-inconsistent stochastic linear-quadratic control with random jumps. Zbl 1390.93875
Wu, Zhen; Zhuang, Yi
6
2018
Stochastic optimal control problem in advertising model with delay. Zbl 1455.93209
Chen, Li; Wu, Zhen
6
2020
Sobolev weak solutions of the Hamilton-Jacobi-Bellman equations. Zbl 1295.93078
Wei, Lifeng; Wu, Zhen; Zhao, Huaizhong
6
2014
The maximum principle for one kind of stochastic optimization problem and application in dynamic measure of risk. Zbl 1136.60340
Ji, Shao Lin; Wu, Zhen
6
2007
Comparison theorems for forward backward SDEs. Zbl 1157.60060
Wu, Zhen; Xu, Mingyu
6
2009
A comparison theorem and uniqueness theorem of backward doubly stochastic differential equations. Zbl 1216.60053
Lin, Qian; Wu, Zhen
6
2011
Connection between MP and DPP for stochastic recursive optimal control problems: viscosity solution framework in the general case. Zbl 1373.93384
Nie, Tianyang; Shi, Jingtao; Wu, Zhen
6
2017
Nash equilibrium point for one kind of stochastic nonzero-sum game problem and BSDEs. Zbl 1173.91310
Lepeltier, Jean-Pierre; Wu, Zhen; Yu, Zhiyong
6
2009
Multi-dimensional reflected backward stochastic differential equations and the comparison theorem. Zbl 1240.60166
Wu, Zhen; Xiao, Hua
6
2010
Linear-quadratic partially observed forward-backward stochastic differential games and its application in finance. Zbl 1427.91028
Wu, Zhen; Zhuang, Yi
5
2018
Stochastic maximum principle for a kind of risk-sensitive optimal control problem and application to portfolio choice. Zbl 1164.91351
Wang, Guangchen; Wu, Zhen
5
2007
Stochastic maximum principle for optimal control problems of forward-backward delay systems involving impulse controls. Zbl 1370.93327
Wang, Shujun; Wu, Zhen
5
2017
The maximum principle for progressive optimal stochastic control problems with random jumps. Zbl 1447.93378
Song, Yuanzhuo; Tang, Shanjian; Wu, Zhen
5
2020
A direct method in optimal portfolio and consumption choice. Zbl 0858.90013
Wu, Zhen; Xu, Wensheng
5
1996
Mean-variance hedging and forward-backward stochastic differential filtering equations. Zbl 1229.91327
Wang, Guangchen; Wu, Zhen
5
2011
Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance. Zbl 1307.93448
Chang, Dejian; Wu, Zhen
5
2015
A model for market closure and international portfolio management within incomplete information. Zbl 1107.91323
Bellalah, Mondher; Wu, Zhen
4
2002
The comparison theorem of FBSDE. Zbl 0939.60054
Wu, Zhen
4
1999
Backward stochastic differential equations with Markov switching driven by Brownian motion and Poisson random measure. Zbl 1319.60135
Shi, Jingtao; Wu, Zhen
3
2015
Maximum principle for anticipated recursive stochastic optimal control problem with delay and Lévy processes. Zbl 1313.93208
Li, Na; Wu, Zhen
3
2014
A stochastic maximum principle for optimal control of jump diffusions and applications to finance. Zbl 1240.93364
Shi, Jingtao; Wu, Zhen
3
2011
Forward-backward stochastic differential equations with stopping time. Zbl 1047.60060
Wu, Zhen
3
2004
The corporate optimal portfolio and consumption choice problem in the real project with borrowing rate higher than deposit rate. Zbl 1131.91350
Wu, Zhen; Zhang, Liyan
3
2006
Optimal switching under a hybrid diffusion model and applications to stock trading. Zbl 1401.93227
Lv, Siyu; Wu, Zhen; Zhang, Qing
3
2018
Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance. Zbl 1401.93226
Lv, Siyu; Wu, Zhen
3
2018
Linear-quadratic mixed Stackelberg-Nash stochastic differential game with major-minor agents. Zbl 1471.91022
Huang, Jianhui; Si, Kehan; Wu, Zhen
3
2021
Adapted solution of generalized forward-backward stochastic differential equations and its dependence on parameters. Zbl 0910.60045
Wu, Zhen
3
1998
One kind of multiple dimensional Markovian BSDEs with stochastic linear growth generators. Zbl 1422.60102
Mu, Rui; Wu, Zhen
3
2015
Reflected forward-backward stochastic differential equations with continuous monotone coefficients. Zbl 1202.60087
Huang, Zongyuan; Lepeltier, Jean-Pierre; Wu, Zhen
3
2010
Eigenvalues of stochastic Hamiltonian systems driven by Poisson process with boundary conditions. Zbl 1382.34026
Wang, Haiyang; Wu, Zhen
3
2017
A new higher-order shear deformation theory and refined beam element of composite laminates. Zbl 1200.74088
Chen, Wanji; Wu, Zhen
3
2005
Maximum principle for optimal control problems of forward-backward regime-switching systems involving impulse controls. Zbl 1394.49020
Wang, Shujun; Wu, Zhen
3
2015
Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses. Zbl 1436.91107
Liu, Ruyi; Wu, Zhen; Zhang, Qing
2
2020
A sufficient stochastic maximum principle for a kind of recursive optimal control problem with obstacle constraint. Zbl 1388.93106
Huang, Jianhui; Wang, Haiyang; Wu, Zhen
2
2018
A \(\mathrm C^0\)-type zig-zag theory and finite element for laminated composite and sandwich plates with general configurations. Zbl 1293.74063
Ren, Xiaohui; Chen, Wanji; Wu, Zhen
2
2012
Backward stochastic viability and related properties on \(Z\) for BSDEs with applications. Zbl 1292.93123
Wu, Zhen; Yu, Zhiyong
2
2012
Mean-field linear-quadratic stochastic differential games. Zbl 1479.91032
Sun, Jingrui; Wang, Hanxiao; Wu, Zhen
2
2021
An indefinite stochastic linear quadratic optimal control problem with delay and related forward-backward stochastic differential equations. Zbl 1402.93268
Li, Na; Wang, Yuan; Wu, Zhen
2
2018
The Dynkin game with regime switching and applications to pricing game options. Zbl 1494.91031
Lv, Siyu; Wu, Zhen; Zhang, Qing
2
2022
A Black-Scholes formula for option pricing with dividends. Zbl 0853.90014
Xu, Wensheng; Wu, Zhen
2
1996
Backward stochastic differential equations with Markov chains and related asymptotic properties. Zbl 1391.60146
Tang, Huaibin; Wu, Zhen
2
2013
Necessary and sufficient conditions for near-optimality of stochastic delay systems. Zbl 1397.93239
Wang, Yuan; Wu, Zhen
2
2018
A maximum principle for mean-field stochastic control system with noisy observation. Zbl 1482.93712
Wang, Guangchen; Wu, Zhen
2
2022
Forward-backward stochastic differential equation and the linear quadratic stochastic optimal control. Zbl 1498.93792
Wang, Xiang-Rong; Gao, Zi-You; Wu, Zhen
2
2003
A Black-Scholes formula for option pricing with dividends and optimal investment problems under partial information. Zbl 1150.91397
Wu, Zhen; Wang, Guangchen
1
2007
Maximum principle for the optimal control problem of a fully coupled stochastic system with state constraints. Zbl 1001.93092
Wu, Zhen; Xu, Aiping
1
2000
Maximum principle for discrete-time stochastic optimal control problem and stochastic game. Zbl 1485.93641
Wu, Zhen; Zhang, Feng
1
2022
Indefinite backward stochastic linear-quadratic optimal control problems. Zbl 07734407
Sun, Jingrui; Wu, Zhen; Xiong, Jie
1
2023
The Dynkin game with regime switching and applications to pricing game options. Zbl 1494.91031
Lv, Siyu; Wu, Zhen; Zhang, Qing
2
2022
A maximum principle for mean-field stochastic control system with noisy observation. Zbl 1482.93712
Wang, Guangchen; Wu, Zhen
2
2022
Maximum principle for discrete-time stochastic optimal control problem and stochastic game. Zbl 1485.93641
Wu, Zhen; Zhang, Feng
1
2022
The maximum principle for stochastic control problem with Markov chain in progressive structure. Zbl 1498.93773
Chen, Tian; Song, Yuanzhuo; Wu, Zhen
1
2022
Robust Stackelberg differential game with model uncertainty. Zbl 07564959
Huang, Jianhui; Wang, Shujun; Wu, Zhen
1
2022
Linear-quadratic mixed Stackelberg-Nash stochastic differential game with major-minor agents. Zbl 1471.91022
Huang, Jianhui; Si, Kehan; Wu, Zhen
3
2021
Mean-field linear-quadratic stochastic differential games. Zbl 1479.91032
Sun, Jingrui; Wang, Hanxiao; Wu, Zhen
2
2021
Linear-quadratic non-zero sum differential game for mean-field stochastic systems with asymmetric information. Zbl 1470.91033
Li, Min; Wu, Zhen
1
2021
Backward-forward linear-quadratic mean-field Stackelberg games. Zbl 1487.91021
Si, Kehan; Wu, Zhen
1
2021
Dynkin game for callable-puttable convertible bonds: the valuation and sensitivity analysis. Zbl 1475.91355
Du, Kai; Wu, Zhen; Zhan, Detao
1
2021
Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information. Zbl 1448.93348
Li, Na; Wang, Guangchen; Wu, Zhen
7
2020
Stochastic optimal control problem in advertising model with delay. Zbl 1455.93209
Chen, Li; Wu, Zhen
6
2020
The maximum principle for progressive optimal stochastic control problems with random jumps. Zbl 1447.93378
Song, Yuanzhuo; Tang, Shanjian; Wu, Zhen
5
2020
Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses. Zbl 1436.91107
Liu, Ruyi; Wu, Zhen; Zhang, Qing
2
2020
Stabilization control for linear continuous-time mean-field systems. Zbl 1482.93679
Qi, Qingyuan; Zhang, Huanshui; Wu, Zhen
10
2019
Linear-quadratic Stackelberg game for mean-field backward stochastic differential system and application. Zbl 1435.91023
Du, Kai; Wu, Zhen
10
2019
Probabilistic interpretation for Sobolev solutions of McKean-Vlasov partial differential equations. Zbl 1406.60101
Wu, Zhen; Xu, Ruimin
1
2019
An introduction to optimal control of FBSDE with incomplete information. Zbl 1400.49001
Wang, Guangchen; Wu, Zhen; Xiong, Jie
18
2018
Linear quadratic mean-field-game of backward stochastic differential systems. Zbl 1416.93198
Du, Kai; Huang, Jianhui; Wu, Zhen
11
2018
Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations. Zbl 1383.93095
Li, Na; Wu, Zhen; Yu, Zhiyong
9
2018
Well-posedness of a class of two-point boundary value problems associated with ordinary differential equations. Zbl 1445.34049
Liu, Ruyi; Wu, Zhen
7
2018
Partially observed time-inconsistent stochastic linear-quadratic control with random jumps. Zbl 1390.93875
Wu, Zhen; Zhuang, Yi
6
2018
Linear-quadratic partially observed forward-backward stochastic differential games and its application in finance. Zbl 1427.91028
Wu, Zhen; Zhuang, Yi
5
2018
Optimal switching under a hybrid diffusion model and applications to stock trading. Zbl 1401.93227
Lv, Siyu; Wu, Zhen; Zhang, Qing
3
2018
Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance. Zbl 1401.93226
Lv, Siyu; Wu, Zhen
3
2018
A sufficient stochastic maximum principle for a kind of recursive optimal control problem with obstacle constraint. Zbl 1388.93106
Huang, Jianhui; Wang, Haiyang; Wu, Zhen
2
2018
An indefinite stochastic linear quadratic optimal control problem with delay and related forward-backward stochastic differential equations. Zbl 1402.93268
Li, Na; Wang, Yuan; Wu, Zhen
2
2018
Necessary and sufficient conditions for near-optimality of stochastic delay systems. Zbl 1397.93239
Wang, Yuan; Wu, Zhen
2
2018
Connection between MP and DPP for stochastic recursive optimal control problems: viscosity solution framework in the general case. Zbl 1373.93384
Nie, Tianyang; Shi, Jingtao; Wu, Zhen
6
2017
Stochastic maximum principle for optimal control problems of forward-backward delay systems involving impulse controls. Zbl 1370.93327
Wang, Shujun; Wu, Zhen
5
2017
Eigenvalues of stochastic Hamiltonian systems driven by Poisson process with boundary conditions. Zbl 1382.34026
Wang, Haiyang; Wu, Zhen
3
2017
Backward mean-field linear-quadratic-Gaussian (LQG) games: full and partial information. Zbl 1359.91009
Huang, Jianhui; Wang, Shujun; Wu, Zhen
23
2016
Continuous-time mean-variance portfolio selection with random horizon in an incomplete market. Zbl 1338.93405
Lv, Siyu; Wu, Zhen; Yu, Zhiyong
11
2016
Maximum principle for optimal control of anticipated forward-backward stochastic differential delayed systems with regime switching. Zbl 1333.93261
Lv, Siyu; Tao, Ran; Wu, Zhen
11
2016
Backward-forward linear-quadratic mean-field games with major and minor agents. Zbl 1443.91044
Huang, Jianhui; Wang, Shujun; Wu, Zhen
8
2016
On well-posedness of forward-backward SDEs – a unified approach. Zbl 1319.60132
Ma, Jin; Wu, Zhen; Zhang, Detao; Zhang, Jianfeng
63
2015
A linear-quadratic optimal control problem of forward-backward stochastic differential equations with partial information. Zbl 1360.93787
Wang, Guangchen; Wu, Zhen; Xiong, Jie
29
2015
Time-inconsistent optimal control problem with random coefficients and stochastic equilibrium HJB equation. Zbl 1316.93127
Wang, Haiyang; Wu, Zhen
8
2015
Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance. Zbl 1307.93448
Chang, Dejian; Wu, Zhen
5
2015
Backward stochastic differential equations with Markov switching driven by Brownian motion and Poisson random measure. Zbl 1319.60135
Shi, Jingtao; Wu, Zhen
3
2015
One kind of multiple dimensional Markovian BSDEs with stochastic linear growth generators. Zbl 1422.60102
Mu, Rui; Wu, Zhen
3
2015
Maximum principle for optimal control problems of forward-backward regime-switching systems involving impulse controls. Zbl 1394.49020
Wang, Shujun; Wu, Zhen
3
2015
Stochastic transforms for jump diffusion processes combined with related backward stochastic differential equations. Zbl 1322.60164
Li, Na; Wu, Zhen
1
2015
Probabilistic interpretation for a system of quasilinear parabolic partial differential equation combined with algebra equations. Zbl 1314.60135
Wu, Zhen; Yu, Zhiyong
21
2014
Partially observed time-inconsistency recursive optimization problem and application. Zbl 1290.49050
Wang, Haiyang; Wu, Zhen
8
2014
Sobolev weak solutions of the Hamilton-Jacobi-Bellman equations. Zbl 1295.93078
Wei, Lifeng; Wu, Zhen; Zhao, Huaizhong
6
2014
Maximum principle for anticipated recursive stochastic optimal control problem with delay and Lévy processes. Zbl 1313.93208
Li, Na; Wu, Zhen
3
2014
Convertible bonds with higher loan rate: model, valuation, and optimal strategy. Zbl 1406.91456
Wang, Haiyang; Wu, Zhen
1
2014
A general maximum principle for optimal control of forward-backward stochastic systems. Zbl 1321.49041
Wu, Zhen
47
2013
Maximum principles for forward-backward stochastic control systems with correlated state and observation noises. Zbl 1262.93027
Wang, Guangchen; Wu, Zhen; Xiong, Jie
36
2013
BSDEs with regime switching: weak convergence and applications. Zbl 1306.60080
Tao, Ran; Wu, Zhen; Zhang, Qing
11
2013
Backward stochastic differential equations with Markov chains and related asymptotic properties. Zbl 1391.60146
Tang, Huaibin; Wu, Zhen
2
2013
Reliably computing all characteristic roots of delay differential equations in a given right half plane using a spectral method. Zbl 1237.65065
Wu, Zhen; Michiels, Wim
30
2012
Maximum principle for optimal control problems of forward-backward regime-switching system and applications. Zbl 1271.49018
Tao, Ran; Wu, Zhen
19
2012
Delayed stochastic linear-quadratic control problem and related applications. Zbl 1251.93138
Chen, Li; Wu, Zhen; Yu, Zhiyong
13
2012
Dynamic programming principle for stochastic recursive optimal control problem with delayed systems. Zbl 1259.49040
Chen, Li; Wu, Zhen
10
2012
Maximum principle for stochastic recursive optimal control problems involving impulse controls. Zbl 1246.93128
Wu, Zhen; Zhang, Feng
7
2012
Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance. Zbl 1252.49040
Shi, Jingtao; Wu, Zhen
7
2012
A \(\mathrm C^0\)-type zig-zag theory and finite element for laminated composite and sandwich plates with general configurations. Zbl 1293.74063
Ren, Xiaohui; Chen, Wanji; Wu, Zhen
2
2012
Backward stochastic viability and related properties on \(Z\) for BSDEs with applications. Zbl 1292.93123
Wu, Zhen; Yu, Zhiyong
2
2012
Stochastic recursive zero-sum differential game and mixed zero-sum differential game problem. Zbl 1264.91023
Wei, Lifeng; Wu, Zhen
1
2012
A type of general forward-backward stochastic differential equations and applications. Zbl 1218.60047
Chen, Li; Wu, Zhen
14
2011
BDSDEs with locally monotone coefficients and Sobolev solutions for SPDEs. Zbl 1221.60089
Wu, Zhen; Zhang, Feng
14
2011
A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications. Zbl 1240.93365
Shi, Jingtao; Wu, Zhen
13
2011
Stochastic maximum principle for optimal control problems of forward-backward systems involving impulse controls. Zbl 1368.93793
Wu, Zhen; Zhang, Feng
11
2011
Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions. Zbl 1216.49024
Shi, Jing-Tao; Wu, Zhen
9
2011
A comparison theorem and uniqueness theorem of backward doubly stochastic differential equations. Zbl 1216.60053
Lin, Qian; Wu, Zhen
6
2011
Mean-variance hedging and forward-backward stochastic differential filtering equations. Zbl 1229.91327
Wang, Guangchen; Wu, Zhen
5
2011
A stochastic maximum principle for optimal control of jump diffusions and applications to finance. Zbl 1240.93364
Shi, Jingtao; Wu, Zhen
3
2011
Maximum principle for the stochastic optimal control problem with delay and application. Zbl 1205.93163
Chen, Li; Wu, Zhen
78
2010
Maximum principle for forward-backward stochastic control system with random jumps and applications to finance. Zbl 1197.93165
Shi, Jingtao; Wu, Zhen
31
2010
Maximum principle for backward doubly stochastic control systems with applications. Zbl 1222.49040
Han, Yuecai; Peng, Shige; Wu, Zhen
31
2010
A maximum principle for partially observed optimal control of forward-backward stochastic control systems. Zbl 1227.93116
Wu, Zhen
28
2010
Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems. Zbl 1209.49034
Shi, J. T.; Wu, Z.
19
2010
Optimal premium policy of an insurance firm: full and partial information. Zbl 1231.91200
Huang, Jianhui; Wang, Guangchen; Wu, Zhen
15
2010
Multi-dimensional reflected backward stochastic differential equations and the comparison theorem. Zbl 1240.60166
Wu, Zhen; Xiao, Hua
6
2010
Reflected forward-backward stochastic differential equations with continuous monotone coefficients. Zbl 1202.60087
Huang, Zongyuan; Lepeltier, Jean-Pierre; Wu, Zhen
3
2010
The maximum principles for stochastic recursive optimal control problems under partial information. Zbl 1367.93725
Wang, Guangchen; Wu, Zhen
53
2009
General maximum principles for partially observed risk-sensitive optimal control problems and applications to finance. Zbl 1178.49049
Wang, G. C.; Wu, Z.
13
2009
Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes. Zbl 1178.93148
Tang, Huaibin; Wu, Zhen
13
2009
A simple model of corporate international investment under incomplete information and taxes. Zbl 1163.91379
Bellalah, Mondher; Wu, Zhen
10
2009
Comparison theorems for forward backward SDEs. Zbl 1157.60060
Wu, Zhen; Xu, Mingyu
6
2009
Nash equilibrium point for one kind of stochastic nonzero-sum game problem and BSDEs. Zbl 1173.91310
Lepeltier, Jean-Pierre; Wu, Zhen; Yu, Zhiyong
6
2009
Delay-dependent stability and \(H_\infty\) control for uncertain discrete switched singular systems with time-delay. Zbl 1152.93461
Ma, Shuping; Zhang, Chenghui; Wu, Zhen
37
2008
Kalman-Bucy filtering equations of forward and backward stochastic systems and applications to recursive optimal control problems. Zbl 1141.93070
Wang, Guangchen; Wu, Zhen
32
2008
Dynamic programming principle for one kind of stochastic recursive optimal control problem and Hamilton-Jacobi-Bellman equation. Zbl 1171.49022
Wu, Zhen; Yu, Zhiyong
25
2008
The maximum principle for one kind of stochastic optimization problem and application in dynamic measure of risk. Zbl 1136.60340
Ji, Shao Lin; Wu, Zhen
6
2007
Stochastic maximum principle for a kind of risk-sensitive optimal control problem and application to portfolio choice. Zbl 1164.91351
Wang, Guangchen; Wu, Zhen
5
2007
A Black-Scholes formula for option pricing with dividends and optimal investment problems under partial information. Zbl 1150.91397
Wu, Zhen; Wang, Guangchen
1
2007
The maximum principle for fully coupled forward-backward stochastic control system. Zbl 1498.93786
Shi, Jing-Tao; Wu, Zhen
17
2006
The corporate optimal portfolio and consumption choice problem in the real project with borrowing rate higher than deposit rate. Zbl 1131.91350
Wu, Zhen; Zhang, Liyan
3
2006
Forward-backward stochastic differential equations, linear quadratic stochastic optimal control and nonzero sum differential games. Zbl 1156.93409
Wu, Zhen
31
2005
Linear quadratic nonzero-sum differential games with random jumps. Zbl 1144.91305
Wu, Zhen; Yu, Zhi-Yong
12
2005
A new higher-order shear deformation theory and refined beam element of composite laminates. Zbl 1200.74088
Chen, Wanji; Wu, Zhen
3
2005
Fully coupled forward-backward stochastic differential equations and related partial differential equation systems. Zbl 1073.60065
Wu, Zhen; Yu, Zhiyong
8
2004
Forward-backward stochastic differential equations with stopping time. Zbl 1047.60060
Wu, Zhen
3
2004
Fully coupled FBSDE with Brownian motion and Poisson process in stopping time duration. Zbl 1029.60047
Wu, Zhen
23
2003
FBSDE with Poisson process and its application to linear quadratic stochastic optimal control problem with random jumps. Zbl 1498.93793
Wu, Zhen; Wang, Xiang-Rong
8
2003
Forward-backward stochastic differential equation and the linear quadratic stochastic optimal control. Zbl 1498.93792
Wang, Xiang-Rong; Gao, Zi-You; Wu, Zhen
2
2003
...and 10 more Documents
all top 5

Cited by 863 Authors

78 Wu, Zhen
25 Shi, Jingtao
23 Wang, Guangchen
23 Yu, Zhiyong
22 Huang, Jianhui
18 Ji, Shaolin
17 Yong, Jiongmin
16 Shi, Yufeng
16 Xiong, Jie
16 Zhang, Huanshui
15 Li, Xun
14 Meng, Qingxin
12 Zhang, Liangquan
11 Nie, Tianyang
10 Delarue, François
10 Lv, Siyu
10 Wen, Jiaqiang
10 Yang, Shuzhen
10 Zhang, Feng
9 Bahlali, Khaled
9 Hu, Mingshang
9 Lin, Jinxing
9 Liu, Bin
9 Michiels, Wim
9 Wang, Tianxiao
9 Xu, Juanjuan
9 Zhu, Qingfeng
8 Chala, Adel
8 Li, Na
8 Mezerdi, Brahim
8 Wang, Haiyang
8 Zhao, Weidong
7 Bellalah, Mondher
7 Feng, Xinwei
7 Gherbal, Boulakhras
7 Li, Juan
7 Menoukeu Pamen, Olivier
7 Sun, Zhongyang
7 Tang, Maoning
7 Wang, Xiangrong
7 Wei, Qingmeng
7 Xiao, Hua
7 Zhang, Qixia
6 Carmona, René A.
6 Hafayed, Mokhtar
6 Hao, Tao
6 Khelfallah, Nabil
6 Peng, Shige
6 Ren, Yong
6 Shen, Yang
6 Vermiglio, Rossana
6 Wang, Shujun
6 Xu, Ruimin
6 Zheng, Yueyang
5 Bensoussan, Alain
5 Chen, Li
5 Gao, Zhifeng
5 Huang, Hong
5 Iftar, Altuǧ
5 Ji, Zhijian
5 Ma, Jin
5 Sun, Jingrui
5 Tian, Dejian
5 Wang, Yan
5 Wu, Shuang
5 Xue, Xiaole
5 Yam, Sheung Chi Phillip
5 Zhang, Detao
5 Zhang, Shuaiqi
5 Zhang, Xin
5 Zhou, Jianjun
4 Agram, Nacira
4 Ankirchner, Stefan
4 Breda, Dimitri
4 Du, Kai
4 Fei, Shumin
4 Fromm, Alexander
4 Fujii, Masaaki
4 Guatteri, Giuseppina
4 Hamadene, Saïd
4 Horst, Ulrich
4 Hu, Ying
4 Huang, Minyi
4 Li, Min
4 Li, Ruijing
4 Liang, Gechun
4 Ma, Heping
4 Peng, Ying
4 Shaikin, M. E.
4 Si, Kehan
4 Song, Aimin
4 Song, Yuanzhuo
4 Tembine, Hamidou
4 Wang, Wencan
4 Wei, Jiaqin
4 Zhang, Jianfeng
4 Zhang, Qing
4 Zhong, Shou-Ming
4 Zhu, Yuanguo
3 Abbas, Syed
...and 763 more Authors
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Cited in 155 Serials

39 SIAM Journal on Control and Optimization
36 Automatica
35 International Journal of Control
35 Systems & Control Letters
29 Journal of Systems Science and Complexity
28 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
27 Journal of Mathematical Analysis and Applications
25 Mathematical Problems in Engineering
23 Stochastic Processes and their Applications
21 Applied Mathematics and Optimization
19 Applied Mathematics and Computation
19 Journal of Optimization Theory and Applications
19 Mathematical Control and Related Fields
16 Stochastic Analysis and Applications
16 Advances in Difference Equations
16 Asian Journal of Control
14 Statistics & Probability Letters
13 Stochastics
12 Optimal Control Applications & Methods
11 Random Operators and Stochastic Equations
11 Abstract and Applied Analysis
10 Stochastics and Dynamics
9 Journal of the Franklin Institute
9 Annals of Operations Research
8 Journal of Industrial and Management Optimization
7 Journal of Differential Equations
7 Acta Mathematicae Applicatae Sinica. English Series
7 The Annals of Applied Probability
6 Communications in Statistics. Theory and Methods
6 Comptes Rendus. Mathématique. Académie des Sciences, Paris
6 Science China. Mathematics
6 Probability, Uncertainty and Quantitative Risk
5 Journal of Computational and Applied Mathematics
5 Mathematics of Operations Research
5 European Journal of Control
5 Journal of Inequalities and Applications
5 Boundary Value Problems
5 Dynamic Games and Applications
4 Chinese Annals of Mathematics. Series B
4 Automation and Remote Control
4 Applied Mathematics. Series B (English Edition)
4 Complexity
4 European Journal of Mechanics. A. Solids
3 International Journal of Systems Science
3 The Annals of Probability
3 Insurance Mathematics & Economics
3 Probability Theory and Related Fields
3 Journal of Scientific Computing
3 Applied Mathematical Modelling
3 International Journal of Robust and Nonlinear Control
3 Electronic Journal of Probability
3 Acta Mathematica Sinica. English Series
3 Acta Mathematica Scientia. Series B. (English Edition)
3 Nonlinear Analysis. Hybrid Systems
3 Discrete and Continuous Dynamical Systems. Series S
3 Afrika Matematika
3 Numerical Algebra, Control and Optimization
3 Communications in Mathematics and Statistics
3 Control Theory and Technology
3 International Journal of Systems Science. Principles and Applications of Systems and Integration
2 Advances in Applied Probability
2 Chaos, Solitons and Fractals
2 Circuits, Systems, and Signal Processing
2 Applied Mathematics and Mechanics. (English Edition)
2 Optimization
2 Journal of Theoretical Probability
2 SIAM Journal on Matrix Analysis and Applications
2 Journal of Applied Mathematics and Stochastic Analysis
2 Applications of Mathematics
2 European Journal of Operational Research
2 Filomat
2 Bulletin des Sciences Mathématiques
2 Finance and Stochastics
2 Mathematical Finance
2 Discrete Dynamics in Nature and Society
2 International Journal of Theoretical and Applied Finance
2 Journal of Dynamical and Control Systems
2 Methodology and Computing in Applied Probability
2 Discrete and Continuous Dynamical Systems. Series B
2 Journal of Applied Mathematics
2 Journal of the Korean Statistical Society
2 Journal of Biological Dynamics
2 Frontiers of Mathematics in China
2 Mathematics and Financial Economics
2 Optimization Letters
2 SIAM Journal on Financial Mathematics
2 International Journal of Stochastic Analysis
2 Games
2 East Asian Journal on Applied Mathematics
2 Journal of Function Spaces
2 AIMS Mathematics
1 Computers & Mathematics with Applications
1 Lithuanian Mathematical Journal
1 Studia Mathematica
1 Journal of Mathematical Economics
1 Kybernetika
1 Memoirs of the American Mathematical Society
1 SIAM Journal on Numerical Analysis
1 Transactions of the American Mathematical Society
1 Bulletin of the Korean Mathematical Society
...and 55 more Serials

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