Edit Profile (opens in new tab) Wu, Zhen Co-Author Distance Author ID: 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 Co-Authors 9 single-authored 14 Wang, Guangchen 12 Yu, Zhiyong 10 Shi, Jingtao 8 Huang, Jianhui 7 Wang, Haiyang 6 Chen, Li 6 Li, Min 6 Li, Na 6 Liu, Ruyi 6 Lv, Siyu 5 Du, Kai 5 Wang, Shujun 5 Zhang, Qing 4 Huang, Zongyuan 4 Nie, Tianyang 4 Song, Yuanzhuo 4 Xiong, Jie 4 Zhang, Feng 3 Chen, Tian 3 Chen, Wanji 3 Lepeltier, Jean-Pierre 3 Xu, Wensheng 2 Bellalah, Mondher 2 Ma, Ning 2 Mu, Rui 2 Peng, Shige 2 Si, Kehan 2 Sun, Jingrui 2 Tang, Huaibin 2 Wang, Xiangrong 2 Wei, Lifeng 2 Zhang, Detao 2 Zhao, Huaizhong 2 Zhuang, Yi 1 Chang, Dejian 1 Chen, Yinggu 1 Deng, Wei 1 Dong, Bozhang 1 Fu, Yu 1 Gao, Gengjun 1 Gao, Ziyou 1 Gu, Yanling 1 Hamadene, Saïd 1 Han, Yuecai 1 Ji, Shaolin 1 Jin, Qilin 1 Li, Juan 1 Lin, Qian 1 Liu, Zhengliang 1 Ma, Jin 1 Ma, Rui 1 Ma, Shuping 1 Michiels, Wim 1 Mou, Chenchen 1 Qi, Qingyuan 1 Ren, Xiaohui 1 Sun, Yanyan 1 Tang, Shanjian 1 Tie, Jingzhi 1 Wang, Hanxiao 1 Wang, Shuyun 1 Wei, Gang 1 Xiao, Hua 1 Xie, Bing 1 Xu, Aiping 1 Xu, Mingyu 1 Xu, Ruimin 1 Xu, Zhenda 1 Zhan, Detao 1 Zhang, Chenghui 1 Zhang, Huanshui 1 Zhang, Jianfeng 1 Zhang, Liyan 1 Zhang, Qixia 1 Zhong, Zheng 1 Zhou, Chao 1 Zhu, Hong 1 Zhuang, Ling 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 all top 5 Fields 102 Probability theory and stochastic processes (60-XX) 86 Systems theory; control (93-XX) 56 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 52 Calculus of variations and optimal control; optimization (49-XX) 12 Partial differential equations (35-XX) 9 Ordinary differential equations (34-XX) 6 Operations research, mathematical programming (90-XX) 4 Mechanics of deformable solids (74-XX) 3 Statistics (62-XX) 2 Dynamical systems and ergodic theory (37-XX) 2 Difference and functional equations (39-XX) 2 Numerical analysis (65-XX) 1 Fluid mechanics (76-XX) 1 Biology and other natural sciences (92-XX) Publications by Year all cited Publications top 5 cited Publications 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 0931.60048Peng, Shige; Wu, Zhen 207 1999 Maximum principle for the stochastic optimal control problem with delay and application. Zbl 1205.93163Chen, Li; Wu, Zhen 78 2010 On well-posedness of forward-backward SDEs – a unified approach. Zbl 1319.60132Ma, Jin; Wu, Zhen; Zhang, Detao; Zhang, Jianfeng 63 2015 The maximum principles for stochastic recursive optimal control problems under partial information. Zbl 1367.93725Wang, Guangchen; Wu, Zhen 53 2009 Maximum principle for optimal control problem of fully coupled forward-backward stochastic systems. Zbl 0938.93066Wu, Zhen 53 1998 A general maximum principle for optimal control of forward-backward stochastic systems. Zbl 1321.49041Wu, Zhen 47 2013 Delay-dependent stability and \(H_\infty\) control for uncertain discrete switched singular systems with time-delay. Zbl 1152.93461Ma, Shuping; Zhang, Chenghui; Wu, Zhen 37 2008 Maximum principles for forward-backward stochastic control systems with correlated state and observation noises. Zbl 1262.93027Wang, 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 1141.93070Wang, Guangchen; Wu, Zhen 32 2008 Forward-backward stochastic differential equations, linear quadratic stochastic optimal control and nonzero sum differential games. Zbl 1156.93409Wu, Zhen 31 2005 Maximum principle for forward-backward stochastic control system with random jumps and applications to finance. Zbl 1197.93165Shi, Jingtao; Wu, Zhen 31 2010 Maximum principle for backward doubly stochastic control systems with applications. Zbl 1222.49040Han, 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 1237.65065Wu, Zhen; Michiels, Wim 30 2012 A linear-quadratic optimal control problem of forward-backward stochastic differential equations with partial information. Zbl 1360.93787Wang, Guangchen; Wu, Zhen; Xiong, Jie 29 2015 A maximum principle for partially observed optimal control of forward-backward stochastic control systems. Zbl 1227.93116Wu, Zhen 28 2010 Dynamic programming principle for one kind of stochastic recursive optimal control problem and Hamilton-Jacobi-Bellman equation. Zbl 1171.49022Wu, Zhen; Yu, Zhiyong 25 2008 Backward mean-field linear-quadratic-Gaussian (LQG) games: full and partial information. Zbl 1359.91009Huang, Jianhui; Wang, Shujun; Wu, Zhen 23 2016 Fully coupled FBSDE with Brownian motion and Poisson process in stopping time duration. Zbl 1029.60047Wu, Zhen 23 2003 Probabilistic interpretation for a system of quasilinear parabolic partial differential equation combined with algebra equations. Zbl 1314.60135Wu, Zhen; Yu, Zhiyong 21 2014 Infinite horizon reflected backward stochastic differential equations and applications in mixed control and game problems. Zbl 0985.60063Hamadène, S.; Lepeltier, J.-P.; Wu, Zhen 20 1999 Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems. Zbl 1209.49034Shi, J. T.; Wu, Z. 19 2010 Forward-backward stochastic differential equations with Brownian motion and Poisson process. Zbl 1009.60050Wu, Zhen 19 1999 Maximum principle for optimal control problems of forward-backward regime-switching system and applications. Zbl 1271.49018Tao, Ran; Wu, Zhen 19 2012 An introduction to optimal control of FBSDE with incomplete information. Zbl 1400.49001Wang, Guangchen; Wu, Zhen; Xiong, Jie 18 2018 The maximum principle for fully coupled forward-backward stochastic control system. Zbl 1498.93786Shi, Jing-Tao; Wu, Zhen 17 2006 Optimal premium policy of an insurance firm: full and partial information. Zbl 1231.91200Huang, Jianhui; Wang, Guangchen; Wu, Zhen 15 2010 A type of general forward-backward stochastic differential equations and applications. Zbl 1218.60047Chen, Li; Wu, Zhen 14 2011 BDSDEs with locally monotone coefficients and Sobolev solutions for SPDEs. Zbl 1221.60089Wu, Zhen; Zhang, Feng 14 2011 A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications. Zbl 1240.93365Shi, Jingtao; Wu, Zhen 13 2011 General maximum principles for partially observed risk-sensitive optimal control problems and applications to finance. Zbl 1178.49049Wang, G. C.; Wu, Z. 13 2009 Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes. Zbl 1178.93148Tang, Huaibin; Wu, Zhen 13 2009 Delayed stochastic linear-quadratic control problem and related applications. Zbl 1251.93138Chen, Li; Wu, Zhen; Yu, Zhiyong 13 2012 Linear quadratic nonzero-sum differential games with random jumps. Zbl 1144.91305Wu, Zhen; Yu, Zhi-Yong 12 2005 Linear quadratic mean-field-game of backward stochastic differential systems. Zbl 1416.93198Du, Kai; Huang, Jianhui; Wu, Zhen 11 2018 Continuous-time mean-variance portfolio selection with random horizon in an incomplete market. Zbl 1338.93405Lv, Siyu; Wu, Zhen; Yu, Zhiyong 11 2016 BSDEs with regime switching: weak convergence and applications. Zbl 1306.60080Tao, Ran; Wu, Zhen; Zhang, Qing 11 2013 Stochastic maximum principle for optimal control problems of forward-backward systems involving impulse controls. Zbl 1368.93793Wu, Zhen; Zhang, Feng 11 2011 Maximum principle for optimal control of anticipated forward-backward stochastic differential delayed systems with regime switching. Zbl 1333.93261Lv, Siyu; Tao, Ran; Wu, Zhen 11 2016 Stabilization control for linear continuous-time mean-field systems. Zbl 1482.93679Qi, Qingyuan; Zhang, Huanshui; Wu, Zhen 10 2019 Linear-quadratic Stackelberg game for mean-field backward stochastic differential system and application. Zbl 1435.91023Du, Kai; Wu, Zhen 10 2019 A simple model of corporate international investment under incomplete information and taxes. Zbl 1163.91379Bellalah, Mondher; Wu, Zhen 10 2009 Dynamic programming principle for stochastic recursive optimal control problem with delayed systems. Zbl 1259.49040Chen, Li; Wu, Zhen 10 2012 Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations. Zbl 1383.93095Li, Na; Wu, Zhen; Yu, Zhiyong 9 2018 Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions. Zbl 1216.49024Shi, Jing-Tao; Wu, Zhen 9 2011 Backward-forward linear-quadratic mean-field games with major and minor agents. Zbl 1443.91044Huang, Jianhui; Wang, Shujun; Wu, Zhen 8 2016 Time-inconsistent optimal control problem with random coefficients and stochastic equilibrium HJB equation. Zbl 1316.93127Wang, Haiyang; Wu, Zhen 8 2015 Partially observed time-inconsistency recursive optimization problem and application. Zbl 1290.49050Wang, Haiyang; Wu, Zhen 8 2014 Fully coupled forward-backward stochastic differential equations and related partial differential equation systems. Zbl 1073.60065Wu, Zhen; Yu, Zhiyong 8 2004 FBSDE with Poisson process and its application to linear quadratic stochastic optimal control problem with random jumps. Zbl 1498.93793Wu, Zhen; Wang, Xiang-Rong 8 2003 Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information. Zbl 1448.93348Li, Na; Wang, Guangchen; Wu, Zhen 7 2020 Well-posedness of a class of two-point boundary value problems associated with ordinary differential equations. Zbl 1445.34049Liu, Ruyi; Wu, Zhen 7 2018 Maximum principle for stochastic recursive optimal control problems involving impulse controls. Zbl 1246.93128Wu, Zhen; Zhang, Feng 7 2012 Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance. Zbl 1252.49040Shi, Jingtao; Wu, Zhen 7 2012 Partially observed time-inconsistent stochastic linear-quadratic control with random jumps. Zbl 1390.93875Wu, Zhen; Zhuang, Yi 6 2018 Stochastic optimal control problem in advertising model with delay. Zbl 1455.93209Chen, Li; Wu, Zhen 6 2020 Sobolev weak solutions of the Hamilton-Jacobi-Bellman equations. Zbl 1295.93078Wei, 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 1136.60340Ji, Shao Lin; Wu, Zhen 6 2007 Comparison theorems for forward backward SDEs. Zbl 1157.60060Wu, Zhen; Xu, Mingyu 6 2009 A comparison theorem and uniqueness theorem of backward doubly stochastic differential equations. Zbl 1216.60053Lin, Qian; Wu, Zhen 6 2011 Connection between MP and DPP for stochastic recursive optimal control problems: viscosity solution framework in the general case. Zbl 1373.93384Nie, Tianyang; Shi, Jingtao; Wu, Zhen 6 2017 Nash equilibrium point for one kind of stochastic nonzero-sum game problem and BSDEs. Zbl 1173.91310Lepeltier, Jean-Pierre; Wu, Zhen; Yu, Zhiyong 6 2009 Multi-dimensional reflected backward stochastic differential equations and the comparison theorem. Zbl 1240.60166Wu, Zhen; Xiao, Hua 6 2010 Linear-quadratic partially observed forward-backward stochastic differential games and its application in finance. Zbl 1427.91028Wu, Zhen; Zhuang, Yi 5 2018 Stochastic maximum principle for a kind of risk-sensitive optimal control problem and application to portfolio choice. Zbl 1164.91351Wang, Guangchen; Wu, Zhen 5 2007 Stochastic maximum principle for optimal control problems of forward-backward delay systems involving impulse controls. Zbl 1370.93327Wang, Shujun; Wu, Zhen 5 2017 The maximum principle for progressive optimal stochastic control problems with random jumps. Zbl 1447.93378Song, Yuanzhuo; Tang, Shanjian; Wu, Zhen 5 2020 A direct method in optimal portfolio and consumption choice. Zbl 0858.90013Wu, Zhen; Xu, Wensheng 5 1996 Mean-variance hedging and forward-backward stochastic differential filtering equations. Zbl 1229.91327Wang, 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 1307.93448Chang, Dejian; Wu, Zhen 5 2015 A model for market closure and international portfolio management within incomplete information. Zbl 1107.91323Bellalah, Mondher; Wu, Zhen 4 2002 The comparison theorem of FBSDE. Zbl 0939.60054Wu, Zhen 4 1999 Backward stochastic differential equations with Markov switching driven by Brownian motion and Poisson random measure. Zbl 1319.60135Shi, Jingtao; Wu, Zhen 3 2015 Maximum principle for anticipated recursive stochastic optimal control problem with delay and Lévy processes. Zbl 1313.93208Li, Na; Wu, Zhen 3 2014 A stochastic maximum principle for optimal control of jump diffusions and applications to finance. Zbl 1240.93364Shi, Jingtao; Wu, Zhen 3 2011 Forward-backward stochastic differential equations with stopping time. Zbl 1047.60060Wu, Zhen 3 2004 The corporate optimal portfolio and consumption choice problem in the real project with borrowing rate higher than deposit rate. Zbl 1131.91350Wu, Zhen; Zhang, Liyan 3 2006 Optimal switching under a hybrid diffusion model and applications to stock trading. Zbl 1401.93227Lv, Siyu; Wu, Zhen; Zhang, Qing 3 2018 Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance. Zbl 1401.93226Lv, Siyu; Wu, Zhen 3 2018 Linear-quadratic mixed Stackelberg-Nash stochastic differential game with major-minor agents. Zbl 1471.91022Huang, Jianhui; Si, Kehan; Wu, Zhen 3 2021 Adapted solution of generalized forward-backward stochastic differential equations and its dependence on parameters. Zbl 0910.60045Wu, Zhen 3 1998 One kind of multiple dimensional Markovian BSDEs with stochastic linear growth generators. Zbl 1422.60102Mu, Rui; Wu, Zhen 3 2015 Reflected forward-backward stochastic differential equations with continuous monotone coefficients. Zbl 1202.60087Huang, Zongyuan; Lepeltier, Jean-Pierre; Wu, Zhen 3 2010 Eigenvalues of stochastic Hamiltonian systems driven by Poisson process with boundary conditions. Zbl 1382.34026Wang, Haiyang; Wu, Zhen 3 2017 A new higher-order shear deformation theory and refined beam element of composite laminates. Zbl 1200.74088Chen, Wanji; Wu, Zhen 3 2005 Maximum principle for optimal control problems of forward-backward regime-switching systems involving impulse controls. Zbl 1394.49020Wang, Shujun; Wu, Zhen 3 2015 Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses. Zbl 1436.91107Liu, Ruyi; Wu, Zhen; Zhang, Qing 2 2020 A sufficient stochastic maximum principle for a kind of recursive optimal control problem with obstacle constraint. Zbl 1388.93106Huang, 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 1293.74063Ren, Xiaohui; Chen, Wanji; Wu, Zhen 2 2012 Backward stochastic viability and related properties on \(Z\) for BSDEs with applications. Zbl 1292.93123Wu, Zhen; Yu, Zhiyong 2 2012 Mean-field linear-quadratic stochastic differential games. Zbl 1479.91032Sun, 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 1402.93268Li, Na; Wang, Yuan; Wu, Zhen 2 2018 The Dynkin game with regime switching and applications to pricing game options. Zbl 1494.91031Lv, Siyu; Wu, Zhen; Zhang, Qing 2 2022 A Black-Scholes formula for option pricing with dividends. Zbl 0853.90014Xu, Wensheng; Wu, Zhen 2 1996 Backward stochastic differential equations with Markov chains and related asymptotic properties. Zbl 1391.60146Tang, Huaibin; Wu, Zhen 2 2013 Necessary and sufficient conditions for near-optimality of stochastic delay systems. Zbl 1397.93239Wang, Yuan; Wu, Zhen 2 2018 A maximum principle for mean-field stochastic control system with noisy observation. Zbl 1482.93712Wang, Guangchen; Wu, Zhen 2 2022 Forward-backward stochastic differential equation and the linear quadratic stochastic optimal control. Zbl 1498.93792Wang, 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 1150.91397Wu, Zhen; Wang, Guangchen 1 2007 Maximum principle for the optimal control problem of a fully coupled stochastic system with state constraints. Zbl 1001.93092Wu, Zhen; Xu, Aiping 1 2000 Maximum principle for discrete-time stochastic optimal control problem and stochastic game. Zbl 1485.93641Wu, Zhen; Zhang, Feng 1 2022 Indefinite backward stochastic linear-quadratic optimal control problems. Zbl 07734407Sun, Jingrui; Wu, Zhen; Xiong, Jie 1 2023 The Dynkin game with regime switching and applications to pricing game options. Zbl 1494.91031Lv, Siyu; Wu, Zhen; Zhang, Qing 2 2022 A maximum principle for mean-field stochastic control system with noisy observation. Zbl 1482.93712Wang, Guangchen; Wu, Zhen 2 2022 Maximum principle for discrete-time stochastic optimal control problem and stochastic game. Zbl 1485.93641Wu, Zhen; Zhang, Feng 1 2022 The maximum principle for stochastic control problem with Markov chain in progressive structure. Zbl 1498.93773Chen, Tian; Song, Yuanzhuo; Wu, Zhen 1 2022 Robust Stackelberg differential game with model uncertainty. Zbl 07564959Huang, Jianhui; Wang, Shujun; Wu, Zhen 1 2022 Linear-quadratic mixed Stackelberg-Nash stochastic differential game with major-minor agents. Zbl 1471.91022Huang, Jianhui; Si, Kehan; Wu, Zhen 3 2021 Mean-field linear-quadratic stochastic differential games. Zbl 1479.91032Sun, Jingrui; Wang, Hanxiao; Wu, Zhen 2 2021 Linear-quadratic non-zero sum differential game for mean-field stochastic systems with asymmetric information. Zbl 1470.91033Li, Min; Wu, Zhen 1 2021 Backward-forward linear-quadratic mean-field Stackelberg games. Zbl 1487.91021Si, Kehan; Wu, Zhen 1 2021 Dynkin game for callable-puttable convertible bonds: the valuation and sensitivity analysis. Zbl 1475.91355Du, 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 1448.93348Li, Na; Wang, Guangchen; Wu, Zhen 7 2020 Stochastic optimal control problem in advertising model with delay. Zbl 1455.93209Chen, Li; Wu, Zhen 6 2020 The maximum principle for progressive optimal stochastic control problems with random jumps. Zbl 1447.93378Song, Yuanzhuo; Tang, Shanjian; Wu, Zhen 5 2020 Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses. Zbl 1436.91107Liu, Ruyi; Wu, Zhen; Zhang, Qing 2 2020 Stabilization control for linear continuous-time mean-field systems. Zbl 1482.93679Qi, Qingyuan; Zhang, Huanshui; Wu, Zhen 10 2019 Linear-quadratic Stackelberg game for mean-field backward stochastic differential system and application. Zbl 1435.91023Du, Kai; Wu, Zhen 10 2019 Probabilistic interpretation for Sobolev solutions of McKean-Vlasov partial differential equations. Zbl 1406.60101Wu, Zhen; Xu, Ruimin 1 2019 An introduction to optimal control of FBSDE with incomplete information. Zbl 1400.49001Wang, Guangchen; Wu, Zhen; Xiong, Jie 18 2018 Linear quadratic mean-field-game of backward stochastic differential systems. Zbl 1416.93198Du, Kai; Huang, Jianhui; Wu, Zhen 11 2018 Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations. Zbl 1383.93095Li, Na; Wu, Zhen; Yu, Zhiyong 9 2018 Well-posedness of a class of two-point boundary value problems associated with ordinary differential equations. Zbl 1445.34049Liu, Ruyi; Wu, Zhen 7 2018 Partially observed time-inconsistent stochastic linear-quadratic control with random jumps. Zbl 1390.93875Wu, Zhen; Zhuang, Yi 6 2018 Linear-quadratic partially observed forward-backward stochastic differential games and its application in finance. Zbl 1427.91028Wu, Zhen; Zhuang, Yi 5 2018 Optimal switching under a hybrid diffusion model and applications to stock trading. Zbl 1401.93227Lv, Siyu; Wu, Zhen; Zhang, Qing 3 2018 Stochastic maximum principle for forward-backward regime switching jump diffusion systems and applications to finance. Zbl 1401.93226Lv, Siyu; Wu, Zhen 3 2018 A sufficient stochastic maximum principle for a kind of recursive optimal control problem with obstacle constraint. Zbl 1388.93106Huang, 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 1402.93268Li, Na; Wang, Yuan; Wu, Zhen 2 2018 Necessary and sufficient conditions for near-optimality of stochastic delay systems. Zbl 1397.93239Wang, Yuan; Wu, Zhen 2 2018 Connection between MP and DPP for stochastic recursive optimal control problems: viscosity solution framework in the general case. Zbl 1373.93384Nie, Tianyang; Shi, Jingtao; Wu, Zhen 6 2017 Stochastic maximum principle for optimal control problems of forward-backward delay systems involving impulse controls. Zbl 1370.93327Wang, Shujun; Wu, Zhen 5 2017 Eigenvalues of stochastic Hamiltonian systems driven by Poisson process with boundary conditions. Zbl 1382.34026Wang, Haiyang; Wu, Zhen 3 2017 Backward mean-field linear-quadratic-Gaussian (LQG) games: full and partial information. Zbl 1359.91009Huang, Jianhui; Wang, Shujun; Wu, Zhen 23 2016 Continuous-time mean-variance portfolio selection with random horizon in an incomplete market. Zbl 1338.93405Lv, Siyu; Wu, Zhen; Yu, Zhiyong 11 2016 Maximum principle for optimal control of anticipated forward-backward stochastic differential delayed systems with regime switching. Zbl 1333.93261Lv, Siyu; Tao, Ran; Wu, Zhen 11 2016 Backward-forward linear-quadratic mean-field games with major and minor agents. Zbl 1443.91044Huang, Jianhui; Wang, Shujun; Wu, Zhen 8 2016 On well-posedness of forward-backward SDEs – a unified approach. Zbl 1319.60132Ma, 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 1360.93787Wang, Guangchen; Wu, Zhen; Xiong, Jie 29 2015 Time-inconsistent optimal control problem with random coefficients and stochastic equilibrium HJB equation. Zbl 1316.93127Wang, 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 1307.93448Chang, Dejian; Wu, Zhen 5 2015 Backward stochastic differential equations with Markov switching driven by Brownian motion and Poisson random measure. Zbl 1319.60135Shi, Jingtao; Wu, Zhen 3 2015 One kind of multiple dimensional Markovian BSDEs with stochastic linear growth generators. Zbl 1422.60102Mu, Rui; Wu, Zhen 3 2015 Maximum principle for optimal control problems of forward-backward regime-switching systems involving impulse controls. Zbl 1394.49020Wang, Shujun; Wu, Zhen 3 2015 Stochastic transforms for jump diffusion processes combined with related backward stochastic differential equations. Zbl 1322.60164Li, Na; Wu, Zhen 1 2015 Probabilistic interpretation for a system of quasilinear parabolic partial differential equation combined with algebra equations. Zbl 1314.60135Wu, Zhen; Yu, Zhiyong 21 2014 Partially observed time-inconsistency recursive optimization problem and application. Zbl 1290.49050Wang, Haiyang; Wu, Zhen 8 2014 Sobolev weak solutions of the Hamilton-Jacobi-Bellman equations. Zbl 1295.93078Wei, Lifeng; Wu, Zhen; Zhao, Huaizhong 6 2014 Maximum principle for anticipated recursive stochastic optimal control problem with delay and Lévy processes. Zbl 1313.93208Li, Na; Wu, Zhen 3 2014 Convertible bonds with higher loan rate: model, valuation, and optimal strategy. Zbl 1406.91456Wang, Haiyang; Wu, Zhen 1 2014 A general maximum principle for optimal control of forward-backward stochastic systems. Zbl 1321.49041Wu, Zhen 47 2013 Maximum principles for forward-backward stochastic control systems with correlated state and observation noises. Zbl 1262.93027Wang, Guangchen; Wu, Zhen; Xiong, Jie 36 2013 BSDEs with regime switching: weak convergence and applications. Zbl 1306.60080Tao, Ran; Wu, Zhen; Zhang, Qing 11 2013 Backward stochastic differential equations with Markov chains and related asymptotic properties. Zbl 1391.60146Tang, 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 1237.65065Wu, Zhen; Michiels, Wim 30 2012 Maximum principle for optimal control problems of forward-backward regime-switching system and applications. Zbl 1271.49018Tao, Ran; Wu, Zhen 19 2012 Delayed stochastic linear-quadratic control problem and related applications. Zbl 1251.93138Chen, Li; Wu, Zhen; Yu, Zhiyong 13 2012 Dynamic programming principle for stochastic recursive optimal control problem with delayed systems. Zbl 1259.49040Chen, Li; Wu, Zhen 10 2012 Maximum principle for stochastic recursive optimal control problems involving impulse controls. Zbl 1246.93128Wu, Zhen; Zhang, Feng 7 2012 Maximum principle for risk-sensitive stochastic optimal control problem and applications to finance. Zbl 1252.49040Shi, 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 1293.74063Ren, Xiaohui; Chen, Wanji; Wu, Zhen 2 2012 Backward stochastic viability and related properties on \(Z\) for BSDEs with applications. Zbl 1292.93123Wu, Zhen; Yu, Zhiyong 2 2012 Stochastic recursive zero-sum differential game and mixed zero-sum differential game problem. Zbl 1264.91023Wei, Lifeng; Wu, Zhen 1 2012 A type of general forward-backward stochastic differential equations and applications. Zbl 1218.60047Chen, Li; Wu, Zhen 14 2011 BDSDEs with locally monotone coefficients and Sobolev solutions for SPDEs. Zbl 1221.60089Wu, Zhen; Zhang, Feng 14 2011 A risk-sensitive stochastic maximum principle for optimal control of jump diffusions and its applications. Zbl 1240.93365Shi, Jingtao; Wu, Zhen 13 2011 Stochastic maximum principle for optimal control problems of forward-backward systems involving impulse controls. Zbl 1368.93793Wu, Zhen; Zhang, Feng 11 2011 Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions. Zbl 1216.49024Shi, Jing-Tao; Wu, Zhen 9 2011 A comparison theorem and uniqueness theorem of backward doubly stochastic differential equations. Zbl 1216.60053Lin, Qian; Wu, Zhen 6 2011 Mean-variance hedging and forward-backward stochastic differential filtering equations. Zbl 1229.91327Wang, Guangchen; Wu, Zhen 5 2011 A stochastic maximum principle for optimal control of jump diffusions and applications to finance. Zbl 1240.93364Shi, Jingtao; Wu, Zhen 3 2011 Maximum principle for the stochastic optimal control problem with delay and application. Zbl 1205.93163Chen, Li; Wu, Zhen 78 2010 Maximum principle for forward-backward stochastic control system with random jumps and applications to finance. Zbl 1197.93165Shi, Jingtao; Wu, Zhen 31 2010 Maximum principle for backward doubly stochastic control systems with applications. Zbl 1222.49040Han, Yuecai; Peng, Shige; Wu, Zhen 31 2010 A maximum principle for partially observed optimal control of forward-backward stochastic control systems. Zbl 1227.93116Wu, Zhen 28 2010 Maximum principle for partially-observed optimal control of fully-coupled forward-backward stochastic systems. Zbl 1209.49034Shi, J. T.; Wu, Z. 19 2010 Optimal premium policy of an insurance firm: full and partial information. Zbl 1231.91200Huang, Jianhui; Wang, Guangchen; Wu, Zhen 15 2010 Multi-dimensional reflected backward stochastic differential equations and the comparison theorem. Zbl 1240.60166Wu, Zhen; Xiao, Hua 6 2010 Reflected forward-backward stochastic differential equations with continuous monotone coefficients. Zbl 1202.60087Huang, Zongyuan; Lepeltier, Jean-Pierre; Wu, Zhen 3 2010 The maximum principles for stochastic recursive optimal control problems under partial information. Zbl 1367.93725Wang, Guangchen; Wu, Zhen 53 2009 General maximum principles for partially observed risk-sensitive optimal control problems and applications to finance. Zbl 1178.49049Wang, G. C.; Wu, Z. 13 2009 Stochastic differential equations and stochastic linear quadratic optimal control problem with Lévy processes. Zbl 1178.93148Tang, Huaibin; Wu, Zhen 13 2009 A simple model of corporate international investment under incomplete information and taxes. Zbl 1163.91379Bellalah, Mondher; Wu, Zhen 10 2009 Comparison theorems for forward backward SDEs. Zbl 1157.60060Wu, Zhen; Xu, Mingyu 6 2009 Nash equilibrium point for one kind of stochastic nonzero-sum game problem and BSDEs. Zbl 1173.91310Lepeltier, 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 1152.93461Ma, 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 1141.93070Wang, Guangchen; Wu, Zhen 32 2008 Dynamic programming principle for one kind of stochastic recursive optimal control problem and Hamilton-Jacobi-Bellman equation. Zbl 1171.49022Wu, Zhen; Yu, Zhiyong 25 2008 The maximum principle for one kind of stochastic optimization problem and application in dynamic measure of risk. Zbl 1136.60340Ji, Shao Lin; Wu, Zhen 6 2007 Stochastic maximum principle for a kind of risk-sensitive optimal control problem and application to portfolio choice. Zbl 1164.91351Wang, Guangchen; Wu, Zhen 5 2007 A Black-Scholes formula for option pricing with dividends and optimal investment problems under partial information. Zbl 1150.91397Wu, Zhen; Wang, Guangchen 1 2007 The maximum principle for fully coupled forward-backward stochastic control system. Zbl 1498.93786Shi, 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 1131.91350Wu, Zhen; Zhang, Liyan 3 2006 Forward-backward stochastic differential equations, linear quadratic stochastic optimal control and nonzero sum differential games. Zbl 1156.93409Wu, Zhen 31 2005 Linear quadratic nonzero-sum differential games with random jumps. Zbl 1144.91305Wu, Zhen; Yu, Zhi-Yong 12 2005 A new higher-order shear deformation theory and refined beam element of composite laminates. Zbl 1200.74088Chen, Wanji; Wu, Zhen 3 2005 Fully coupled forward-backward stochastic differential equations and related partial differential equation systems. Zbl 1073.60065Wu, Zhen; Yu, Zhiyong 8 2004 Forward-backward stochastic differential equations with stopping time. Zbl 1047.60060Wu, Zhen 3 2004 Fully coupled FBSDE with Brownian motion and Poisson process in stopping time duration. Zbl 1029.60047Wu, Zhen 23 2003 FBSDE with Poisson process and its application to linear quadratic stochastic optimal control problem with random jumps. Zbl 1498.93793Wu, Zhen; Wang, Xiang-Rong 8 2003 Forward-backward stochastic differential equation and the linear quadratic stochastic optimal control. Zbl 1498.93792Wang, Xiang-Rong; Gao, Zi-You; Wu, Zhen 2 2003 ...and 10 more Documents all cited Publications top 5 cited Publications 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 all top 5 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 all top 5 Cited in 29 Fields 479 Probability theory and stochastic processes (60-XX) 475 Systems theory; control (93-XX) 309 Calculus of variations and optimal control; optimization (49-XX) 244 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 65 Partial differential equations (35-XX) 64 Ordinary differential equations (34-XX) 39 Operations research, mathematical programming (90-XX) 29 Numerical analysis (65-XX) 12 Statistics (62-XX) 10 Difference and functional equations (39-XX) 7 Integral equations (45-XX) 6 Operator theory (47-XX) 6 Biology and other natural sciences (92-XX) 5 Dynamical systems and ergodic theory (37-XX) 5 Mechanics of deformable solids (74-XX) 4 Linear and multilinear algebra; matrix theory (15-XX) 4 Real functions (26-XX) 3 Global analysis, analysis on manifolds (58-XX) 2 Functions of a complex variable (30-XX) 2 Approximations and expansions (41-XX) 1 Combinatorics (05-XX) 1 Special functions (33-XX) 1 Integral transforms, operational calculus (44-XX) 1 Functional analysis (46-XX) 1 Computer science (68-XX) 1 Mechanics of particles and systems (70-XX) 1 Fluid mechanics (76-XX) 1 Quantum theory (81-XX) 1 Information and communication theory, circuits (94-XX) Citations by Year