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Yam, Sheung Chi Phillip

Author ID: yam.sheung-chi-phillip Recent zbMATH articles by "Yam, Sheung Chi Phillip"
Published as: Yam, Sheung Chi Phillip; Yam, S. C. P.; Phillip Yam, Sheung Chi
Further Spellings: Yam, Phillip Sheung Chi
Homepage: http://www.sta.cuhk.edu.hk/scpy/
External Links: MGP · ORCID · Google Scholar · dblp
all top 5

Serials

12 Insurance Mathematics & Economics
5 SIAM Journal on Control and Optimization
4 Stochastic Processes and their Applications
4 Scandinavian Actuarial Journal
3 European Journal of Operational Research
3 ASTIN Bulletin
2 Applied Mathematics and Optimization
2 Automatica
2 IEEE Transactions on Automatic Control
2 Journal of Computational and Applied Mathematics
2 Journal de Mathématiques Pures et Appliquées. Neuvième Série
2 Finance and Stochastics
2 Mathematical Finance
2 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
2 AMRX. Applied Mathematics Research eXpress
2 Electronic Journal of Statistics
2 Risk and Decision Analysis
2 Dynamic Games and Applications
1 Theory of Probability and its Applications
1 The Annals of Statistics
1 Journal of Applied Probability
1 Journal of Optimization Theory and Applications
1 Mathematics of Operations Research
1 SIAM Journal on Numerical Analysis
1 Statistics & Probability Letters
1 Acta Mathematicae Applicatae Sinica. English Series
1 Statistical Science
1 SIAM Journal on Mathematical Analysis
1 International Journal of Robust and Nonlinear Control
1 SIAM Journal on Scientific Computing
1 Journal of the Royal Statistical Society. Series B. Statistical Methodology
1 Comptes Rendus. Mathématique. Académie des Sciences, Paris
1 Computational Methods and Function Theory
1 Stochastics
1 SIAM Journal on Financial Mathematics
1 Annals of Mathematical Sciences and Applications

Publications by Year

Citations contained in zbMATH Open

69 Publications have been cited 883 times in 663 Documents Cited by Year
Linear-quadratic mean field games. Zbl 1343.91010
Bensoussan, A.; Sung, K. C. J.; Yam, S. C. P.; Yung, S. P.
87
2016
A class of non-zero-sum stochastic differential investment and reinsurance games. Zbl 1297.93180
Bensoussan, Alain; Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang
63
2014
The master equation in mean field theory. Zbl 1325.35232
Bensoussan, Alain; Frehse, Jens; Yam, Sheung Chi Phillip
55
2015
Markowitz’s mean-variance asset-liability management with regime switching: a time-consistent approach. Zbl 1284.91533
Wei, Jiaqin; Wong, K. C.; Yam, S. C. P.; Yung, S. P.
47
2013
Optimal reinsurance under general law-invariant risk measures. Zbl 1401.91110
Cheung, K. C.; Sung, K. C. J.; Yam, S. C. P.; Yung, S. P.
46
2014
Time-consistent portfolio selection under short-selling prohibition: from discrete to continuous setting. Zbl 1348.60096
Bensoussan, A.; Wong, K. C.; Yam, S. C. P.; Yung, S. P.
42
2014
On the interpretation of the master equation. Zbl 1379.60063
Bensoussan, A.; Frehse, J.; Yam, S. C. P.
40
2017
Well-posedness of mean-field type forward-backward stochastic differential equations. Zbl 1327.60114
Bensoussan, A.; Yam, S. C. P.; Zhang, Z.
33
2015
Mean field games with a dominating player. Zbl 1348.49031
Bensoussan, A.; Chau, M. H. M.; Yam, S. C. P.
31
2016
Valuing equity-linked death benefits in a regime-switching framework. Zbl 1390.91211
Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang
30
2015
Globally efficient non-parametric inference of average treatment effects by empirical balancing calibration weighting. Zbl 1414.62107
Chan, Kwun Chuen Gary; Yam, Sheung Chi Phillip; Zhang, Zheng
29
2016
Mean field Stackelberg games: aggregation of delayed instructions. Zbl 1320.91028
Bensoussan, A.; Chau, M. H. M.; Yam, S. C. P.
26
2015
Behavioral optimal insurance. Zbl 1229.91167
Sung, K. C. J.; Yam, S. C. P.; Yung, S. P.; Zhou, J. H.
24
2011
Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers. Zbl 1290.91079
Chen, Ping; Yam, S. C. P.
24
2013
Fourier-cosine method for Gerber-Shiu functions. Zbl 1314.91235
Chau, K. W.; Yam, S. C. P.; Yang, H.
21
2015
Linear-quadratic mean field Stackelberg games with state and control delays. Zbl 1372.91021
Bensoussan, A.; Chau, M. H. M.; Lai, Y.; Yam, S. C. P.
20
2017
Fourier-cosine method for ruin probabilities. Zbl 1305.91163
Chau, K. W.; Yam, S. C. P.; Yang, H.
17
2015
Risk-adjusted bowley reinsurance under distorted probabilities. Zbl 1411.91272
Cheung, Ka Chun; Yam, Sheung Chi Phillip; Zhang, Yiying
17
2019
Oracle, multiple robust and multipurpose calibration in a missing response problem. Zbl 1331.62070
Chan, Kwun Chuen Gary; Yam, Sheung Chi Phillip
15
2014
Linear-quadratic time-inconsistent mean field games. Zbl 1314.91040
Bensoussan, A.; Sung, K. C. J.; Yam, S. C. P.
15
2013
The optimal insurance under disappointment theories. Zbl 1348.91133
Cheung, K. C.; Chong, W. F.; Yam, S. C. P.
15
2015
A paradox in time-consistency in the mean-variance problem? Zbl 1426.91240
Bensoussan, Alain; Wong, Kwok Chuen; Yam, Sheung Chi Phillip
13
2019
Average value-at-risk minimizing reinsurance under Wang’s premium principle with constraints. Zbl 1277.91076
Cheung, K. C.; Liu, F.; Yam, S. C. P.
12
2012
Universal repetitive learning control for nonparametric uncertainty and unknown state-dependent control direction matrix. Zbl 1368.93232
Yang, Zaiyue; Yam, S. C. P.; Li, L. K.; Wang, Yiwen
10
2010
Control problem on space of random variables and master equation. Zbl 1450.35305
Bensoussan, Alain; Yam, Sheung Chi Phillip
10
2019
A class of nonzero-sum investment and reinsurance games subject to systematic risks. Zbl 1402.91215
Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang; Zhao, Hui
10
2017
Game call options revisited. Zbl 1304.91228
Yam, S. C. P.; Yung, S. P.; Zhou, W.
9
2014
Utility-deviation-risk portfolio selection. Zbl 1366.91147
Wong, K. C.; Yam, S. C. P.; Zheng, H.
7
2017
Convex ordering for insurance preferences. Zbl 1348.91134
Cheung, K. C.; Chong, W. F.; Yam, S. C. P.
7
2015
Optimal asset allocation: risk and information uncertainty. Zbl 1346.91223
Yam, Sheung Chi Phillip; Yang, Hailiang; Yuen, Fei Lung
6
2016
Concave distortion risk minimizing reinsurance design under adverse selection. Zbl 1435.91142
Cheung, Ka Chun; Phillip Yam, Sheung Chi; Yuen, Fei Lung; Zhang, Yiying
6
2020
Mean-field-type games with jump and regime switching. Zbl 1437.91050
Bensoussan, Alain; Djehiche, Boualem; Tembine, Hamidou; Yam, Sheung Chi Phillip
6
2020
A Fourier-cosine method for finite-time ruin probabilities. Zbl 1467.91144
Lee, Wing Yan; Li, Xiaolong; Liu, Fangda; Shi, Yifan; Yam, Sheung Chi Phillip
6
2021
Probabilistic solutions for a class of deterministic optimal allocation problems. Zbl 1384.90058
Cheung, Ka Chun; Dhaene, Jan; Rong, Yian; Yam, Sheung Chi Phillip
5
2018
Borch’s theorem from the perspective of comonotonicity. Zbl 1403.91191
Cheung, K. C.; Rong, Yian; Yam, S. C. P.
5
2014
Fourier-cosine method for finite-time Gerber-Shiu functions. Zbl 1512.91042
Li, Xiaolong; Shi, Yifan; Phillip Yam, Sheung Chi; Yang, Hailiang
5
2021
Two rationales behind the ‘buy-and-hold or sell-at-once’ strategy. Zbl 1186.60039
Yam, S. C. P.; Yung, S. P.; Zhou, W.
4
2009
Feedback Stackelberg-Nash equilibria in mixed leadership games with an application to cooperative advertising. Zbl 1427.49045
Bensoussan, Alain; Chen, Shaokuan; Chutani, Anshuman; Sethi, Suresh P.; Siu, Chi Chung; Phillip Yam, Sheung Chi
4
2019
On additivity of tail comonotonic risks. Zbl 1426.91210
Cheung, Ka Chun; Ling, Hok Kan; Tang, Qihe; Yam, Sheung Chi Phillip; Yuen, Fei Lung
4
2019
Relative performance evaluation for dynamic contracts in a large competitive market. Zbl 1507.91201
Han, Jinhui; Ma, Guiyuan; Yam, Sheung Chi Phillip
4
2022
Robust control for uncertain nonlinear systems with state-dependent control direction. Zbl 1207.93031
Yang, Zaiyue; Yam, S. C. P.; Li, L. K.; Wang, Yiwen
3
2011
Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities. Zbl 1381.37063
Bensoussan, Alain; Li, Yiqun; Yam, Sheung Chi Phillip
3
2018
Mean-variance pre-commitment policies revisited via a mean-field technique. Zbl 1314.91189
Bensoussan, A.; Wong, K. C.; Yam, S. C. P.
3
2014
Long cycle behavior of the plastic deformation of an elasto-perfectly-plastic oscillator with noise. Zbl 1310.74011
Bensoussan, Alain; Mertz, Laurent; Yam, S. C. P.
3
2012
Reinsurance contract design with adverse selection. Zbl 1426.91211
Cheung, K. C.; Yam, S. C. P.; Yuen, F. L.
3
2019
Mean field games with parametrized followers. Zbl 1483.91031
Bensoussan, Alain; Cass, Thomas; Chau, Man Ho Michael; Yam, Sheung Chi Phillip
3
2020
Nonlocal boundary value problems of a stochastic variational inequality modeling an elasto-plastic oscillator excited by a filtered noise. Zbl 1456.74061
Bensoussan, A.; Mertz, L.; Yam, S. C. P.
3
2016
Dynamic mean-variance problem with frictions. Zbl 1484.91414
Bensoussan, Alain; Ma, Guiyuan; Siu, Chi Chung; Yam, Sheung Chi Phillip
3
2022
Disappointment aversion premium principle. Zbl 1390.91131
Cheung, Ka Chun; Chong, Wing Fung; Elliott, Robert; Yam, Sheung Chi Phillip
2
2015
An analytical approach for the growth rate of the variance of the deformation related to an elasto-plastic oscillator excited by a white noise. Zbl 1337.60148
Bensoussan, Alain; Feau, Cyril; Mertz, Laurent; Yam, Sheung Chi Phillip
2
2015
Mean-risk portfolio management with bankruptcy prohibition. Zbl 1419.91596
Wong, K. C.; Yam, S. C. P.; Zeng, J.
2
2019
A probabilistic method for a class of non-Lipschitz BSDEs with application to fund management. Zbl 1490.60162
Han, Jinhui; Phillip Yam, Sheung Chi
2
2022
Critical points of random finite Blaschke products with independent and identically distributed zeros. Zbl 1350.30074
Cheung, Pak-Leong; Ng, Tuen Wai; Yam, S. C. P.
2
2014
Mean field approach to stochastic control with partial information. Zbl 1476.93156
Bensoussan, Alain; Yam, Sheung Chi Phillip
2
2021
Value-gradient based formulation of optimal control problem and machine learning algorithm. Zbl 1523.49031
Bensoussan, Alain; Han, Jiayue; Yam, Sheung Chi Phillip; Zhou, Xiang
2
2023
Estimation of a monotone density in \(s\)-sample biased sampling models. Zbl 1407.62117
Chan, Kwun Chuen Gary; Ling, Hok Kan; Sit, Tony; Yam, Sheung Chi Phillip
2
2018
Discrete-time mean field partially observable controlled systems subject to common noise. Zbl 1378.49013
Chau, M. H. M.; Lai, Y.; Yam, S. C. P.
1
2017
Higher-order, polar and Sz.-Nagy’s generalized derivatives of random polynomials with independent and identically distributed zeros on the unit circle. Zbl 1311.30001
Cheung, Pak-Leong; Ng, Tuen Wai; Tsai, Jonathan; Yam, S. C. P.
1
2015
Dynamic trading with Markov liquidity switching. Zbl 1520.91373
Ma, Guiyuan; Siu, Chi Chung; Yam, Sheung Chi Phillip; Zhou, Zeyu
1
2023
Evolutionary credibility risk premium. Zbl 1446.91057
Chen, Yongzhao; Cheung, Ka Chun; Choi, Hugo Ming Cheung; Yam, Sheung Chi Phillip
1
2020
Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates. Zbl 1479.60108
Privault, N.; Yam, S. C. P.; Zhang, Z.
1
2019
A unified “bang-bang” principle with respect to \({\mathcal R}\)-invariant performance benchmarks. Zbl 1273.91432
Yam, S. C. P.; Yung, S. P.; Zhou, W.
1
2013
Optimal selling time in stock market over a finite time horizon. Zbl 1254.91730
Yam, S. C. P.; Yung, Siu Pang; Zhou, Wei
1
2012
Control in Hilbert space and first-order mean field type problem. Zbl 1502.93005
Bensoussan, Alain; Cheung, Hang; Yam, Sheung Chi Phillip
1
2022
Machine learning and control theory. Zbl 1493.68292
Bensoussan, Alain; Li, Yiqun; Dinh Phan Cao Nguyen; Minh-Binh Tran; Yam, Sheung Chi Phillip; Zhou, Xiang
1
2022
Satisficing credibility for heterogeneous risks. Zbl 1490.91168
Cheung, Ka Chun; Yam, Sheung Chi Phillip; Zhang, Yiying
1
2022
A mean-variance portfolio selection problem subject to a benchmark constraint: an existence result. Zbl 1263.91049
Yam, S. C. P.; Yung, S. P.; Zhou, J. H.
1
2013
Approximate solutions of a stochastic variational inequality modeling an elasto-plastic problem with noise. Zbl 1295.93074
Jasso-Fuentes, Héctor; Mertz, Laurent; Yam, Sheung Chi Phillip
1
2014
Inter-temporal mutual-fund management. Zbl 1522.91208
Bensoussan, Alain; Cheung, Ka Chun; Li, Yiqun; Yam, Sheung Chi Phillip
1
2022
Value-gradient based formulation of optimal control problem and machine learning algorithm. Zbl 1523.49031
Bensoussan, Alain; Han, Jiayue; Yam, Sheung Chi Phillip; Zhou, Xiang
2
2023
Dynamic trading with Markov liquidity switching. Zbl 1520.91373
Ma, Guiyuan; Siu, Chi Chung; Yam, Sheung Chi Phillip; Zhou, Zeyu
1
2023
Relative performance evaluation for dynamic contracts in a large competitive market. Zbl 1507.91201
Han, Jinhui; Ma, Guiyuan; Yam, Sheung Chi Phillip
4
2022
Dynamic mean-variance problem with frictions. Zbl 1484.91414
Bensoussan, Alain; Ma, Guiyuan; Siu, Chi Chung; Yam, Sheung Chi Phillip
3
2022
A probabilistic method for a class of non-Lipschitz BSDEs with application to fund management. Zbl 1490.60162
Han, Jinhui; Phillip Yam, Sheung Chi
2
2022
Control in Hilbert space and first-order mean field type problem. Zbl 1502.93005
Bensoussan, Alain; Cheung, Hang; Yam, Sheung Chi Phillip
1
2022
Machine learning and control theory. Zbl 1493.68292
Bensoussan, Alain; Li, Yiqun; Dinh Phan Cao Nguyen; Minh-Binh Tran; Yam, Sheung Chi Phillip; Zhou, Xiang
1
2022
Satisficing credibility for heterogeneous risks. Zbl 1490.91168
Cheung, Ka Chun; Yam, Sheung Chi Phillip; Zhang, Yiying
1
2022
Inter-temporal mutual-fund management. Zbl 1522.91208
Bensoussan, Alain; Cheung, Ka Chun; Li, Yiqun; Yam, Sheung Chi Phillip
1
2022
A Fourier-cosine method for finite-time ruin probabilities. Zbl 1467.91144
Lee, Wing Yan; Li, Xiaolong; Liu, Fangda; Shi, Yifan; Yam, Sheung Chi Phillip
6
2021
Fourier-cosine method for finite-time Gerber-Shiu functions. Zbl 1512.91042
Li, Xiaolong; Shi, Yifan; Phillip Yam, Sheung Chi; Yang, Hailiang
5
2021
Mean field approach to stochastic control with partial information. Zbl 1476.93156
Bensoussan, Alain; Yam, Sheung Chi Phillip
2
2021
Concave distortion risk minimizing reinsurance design under adverse selection. Zbl 1435.91142
Cheung, Ka Chun; Phillip Yam, Sheung Chi; Yuen, Fei Lung; Zhang, Yiying
6
2020
Mean-field-type games with jump and regime switching. Zbl 1437.91050
Bensoussan, Alain; Djehiche, Boualem; Tembine, Hamidou; Yam, Sheung Chi Phillip
6
2020
Mean field games with parametrized followers. Zbl 1483.91031
Bensoussan, Alain; Cass, Thomas; Chau, Man Ho Michael; Yam, Sheung Chi Phillip
3
2020
Evolutionary credibility risk premium. Zbl 1446.91057
Chen, Yongzhao; Cheung, Ka Chun; Choi, Hugo Ming Cheung; Yam, Sheung Chi Phillip
1
2020
Risk-adjusted bowley reinsurance under distorted probabilities. Zbl 1411.91272
Cheung, Ka Chun; Yam, Sheung Chi Phillip; Zhang, Yiying
17
2019
A paradox in time-consistency in the mean-variance problem? Zbl 1426.91240
Bensoussan, Alain; Wong, Kwok Chuen; Yam, Sheung Chi Phillip
13
2019
Control problem on space of random variables and master equation. Zbl 1450.35305
Bensoussan, Alain; Yam, Sheung Chi Phillip
10
2019
Feedback Stackelberg-Nash equilibria in mixed leadership games with an application to cooperative advertising. Zbl 1427.49045
Bensoussan, Alain; Chen, Shaokuan; Chutani, Anshuman; Sethi, Suresh P.; Siu, Chi Chung; Phillip Yam, Sheung Chi
4
2019
On additivity of tail comonotonic risks. Zbl 1426.91210
Cheung, Ka Chun; Ling, Hok Kan; Tang, Qihe; Yam, Sheung Chi Phillip; Yuen, Fei Lung
4
2019
Reinsurance contract design with adverse selection. Zbl 1426.91211
Cheung, K. C.; Yam, S. C. P.; Yuen, F. L.
3
2019
Mean-risk portfolio management with bankruptcy prohibition. Zbl 1419.91596
Wong, K. C.; Yam, S. C. P.; Zeng, J.
2
2019
Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates. Zbl 1479.60108
Privault, N.; Yam, S. C. P.; Zhang, Z.
1
2019
Probabilistic solutions for a class of deterministic optimal allocation problems. Zbl 1384.90058
Cheung, Ka Chun; Dhaene, Jan; Rong, Yian; Yam, Sheung Chi Phillip
5
2018
Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities. Zbl 1381.37063
Bensoussan, Alain; Li, Yiqun; Yam, Sheung Chi Phillip
3
2018
Estimation of a monotone density in \(s\)-sample biased sampling models. Zbl 1407.62117
Chan, Kwun Chuen Gary; Ling, Hok Kan; Sit, Tony; Yam, Sheung Chi Phillip
2
2018
On the interpretation of the master equation. Zbl 1379.60063
Bensoussan, A.; Frehse, J.; Yam, S. C. P.
40
2017
Linear-quadratic mean field Stackelberg games with state and control delays. Zbl 1372.91021
Bensoussan, A.; Chau, M. H. M.; Lai, Y.; Yam, S. C. P.
20
2017
A class of nonzero-sum investment and reinsurance games subject to systematic risks. Zbl 1402.91215
Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang; Zhao, Hui
10
2017
Utility-deviation-risk portfolio selection. Zbl 1366.91147
Wong, K. C.; Yam, S. C. P.; Zheng, H.
7
2017
Discrete-time mean field partially observable controlled systems subject to common noise. Zbl 1378.49013
Chau, M. H. M.; Lai, Y.; Yam, S. C. P.
1
2017
Linear-quadratic mean field games. Zbl 1343.91010
Bensoussan, A.; Sung, K. C. J.; Yam, S. C. P.; Yung, S. P.
87
2016
Mean field games with a dominating player. Zbl 1348.49031
Bensoussan, A.; Chau, M. H. M.; Yam, S. C. P.
31
2016
Globally efficient non-parametric inference of average treatment effects by empirical balancing calibration weighting. Zbl 1414.62107
Chan, Kwun Chuen Gary; Yam, Sheung Chi Phillip; Zhang, Zheng
29
2016
Optimal asset allocation: risk and information uncertainty. Zbl 1346.91223
Yam, Sheung Chi Phillip; Yang, Hailiang; Yuen, Fei Lung
6
2016
Nonlocal boundary value problems of a stochastic variational inequality modeling an elasto-plastic oscillator excited by a filtered noise. Zbl 1456.74061
Bensoussan, A.; Mertz, L.; Yam, S. C. P.
3
2016
The master equation in mean field theory. Zbl 1325.35232
Bensoussan, Alain; Frehse, Jens; Yam, Sheung Chi Phillip
55
2015
Well-posedness of mean-field type forward-backward stochastic differential equations. Zbl 1327.60114
Bensoussan, A.; Yam, S. C. P.; Zhang, Z.
33
2015
Valuing equity-linked death benefits in a regime-switching framework. Zbl 1390.91211
Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang
30
2015
Mean field Stackelberg games: aggregation of delayed instructions. Zbl 1320.91028
Bensoussan, A.; Chau, M. H. M.; Yam, S. C. P.
26
2015
Fourier-cosine method for Gerber-Shiu functions. Zbl 1314.91235
Chau, K. W.; Yam, S. C. P.; Yang, H.
21
2015
Fourier-cosine method for ruin probabilities. Zbl 1305.91163
Chau, K. W.; Yam, S. C. P.; Yang, H.
17
2015
The optimal insurance under disappointment theories. Zbl 1348.91133
Cheung, K. C.; Chong, W. F.; Yam, S. C. P.
15
2015
Convex ordering for insurance preferences. Zbl 1348.91134
Cheung, K. C.; Chong, W. F.; Yam, S. C. P.
7
2015
Disappointment aversion premium principle. Zbl 1390.91131
Cheung, Ka Chun; Chong, Wing Fung; Elliott, Robert; Yam, Sheung Chi Phillip
2
2015
An analytical approach for the growth rate of the variance of the deformation related to an elasto-plastic oscillator excited by a white noise. Zbl 1337.60148
Bensoussan, Alain; Feau, Cyril; Mertz, Laurent; Yam, Sheung Chi Phillip
2
2015
Higher-order, polar and Sz.-Nagy’s generalized derivatives of random polynomials with independent and identically distributed zeros on the unit circle. Zbl 1311.30001
Cheung, Pak-Leong; Ng, Tuen Wai; Tsai, Jonathan; Yam, S. C. P.
1
2015
A class of non-zero-sum stochastic differential investment and reinsurance games. Zbl 1297.93180
Bensoussan, Alain; Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang
63
2014
Optimal reinsurance under general law-invariant risk measures. Zbl 1401.91110
Cheung, K. C.; Sung, K. C. J.; Yam, S. C. P.; Yung, S. P.
46
2014
Time-consistent portfolio selection under short-selling prohibition: from discrete to continuous setting. Zbl 1348.60096
Bensoussan, A.; Wong, K. C.; Yam, S. C. P.; Yung, S. P.
42
2014
Oracle, multiple robust and multipurpose calibration in a missing response problem. Zbl 1331.62070
Chan, Kwun Chuen Gary; Yam, Sheung Chi Phillip
15
2014
Game call options revisited. Zbl 1304.91228
Yam, S. C. P.; Yung, S. P.; Zhou, W.
9
2014
Borch’s theorem from the perspective of comonotonicity. Zbl 1403.91191
Cheung, K. C.; Rong, Yian; Yam, S. C. P.
5
2014
Mean-variance pre-commitment policies revisited via a mean-field technique. Zbl 1314.91189
Bensoussan, A.; Wong, K. C.; Yam, S. C. P.
3
2014
Critical points of random finite Blaschke products with independent and identically distributed zeros. Zbl 1350.30074
Cheung, Pak-Leong; Ng, Tuen Wai; Yam, S. C. P.
2
2014
Approximate solutions of a stochastic variational inequality modeling an elasto-plastic problem with noise. Zbl 1295.93074
Jasso-Fuentes, Héctor; Mertz, Laurent; Yam, Sheung Chi Phillip
1
2014
Markowitz’s mean-variance asset-liability management with regime switching: a time-consistent approach. Zbl 1284.91533
Wei, Jiaqin; Wong, K. C.; Yam, S. C. P.; Yung, S. P.
47
2013
Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers. Zbl 1290.91079
Chen, Ping; Yam, S. C. P.
24
2013
Linear-quadratic time-inconsistent mean field games. Zbl 1314.91040
Bensoussan, A.; Sung, K. C. J.; Yam, S. C. P.
15
2013
A unified “bang-bang” principle with respect to \({\mathcal R}\)-invariant performance benchmarks. Zbl 1273.91432
Yam, S. C. P.; Yung, S. P.; Zhou, W.
1
2013
A mean-variance portfolio selection problem subject to a benchmark constraint: an existence result. Zbl 1263.91049
Yam, S. C. P.; Yung, S. P.; Zhou, J. H.
1
2013
Average value-at-risk minimizing reinsurance under Wang’s premium principle with constraints. Zbl 1277.91076
Cheung, K. C.; Liu, F.; Yam, S. C. P.
12
2012
Long cycle behavior of the plastic deformation of an elasto-perfectly-plastic oscillator with noise. Zbl 1310.74011
Bensoussan, Alain; Mertz, Laurent; Yam, S. C. P.
3
2012
Optimal selling time in stock market over a finite time horizon. Zbl 1254.91730
Yam, S. C. P.; Yung, Siu Pang; Zhou, Wei
1
2012
Behavioral optimal insurance. Zbl 1229.91167
Sung, K. C. J.; Yam, S. C. P.; Yung, S. P.; Zhou, J. H.
24
2011
Robust control for uncertain nonlinear systems with state-dependent control direction. Zbl 1207.93031
Yang, Zaiyue; Yam, S. C. P.; Li, L. K.; Wang, Yiwen
3
2011
Universal repetitive learning control for nonparametric uncertainty and unknown state-dependent control direction matrix. Zbl 1368.93232
Yang, Zaiyue; Yam, S. C. P.; Li, L. K.; Wang, Yiwen
10
2010
Two rationales behind the ‘buy-and-hold or sell-at-once’ strategy. Zbl 1186.60039
Yam, S. C. P.; Yung, S. P.; Zhou, W.
4
2009
all top 5

Cited by 876 Authors

42 Yam, Sheung Chi Phillip
21 Bensoussan, Alain
21 Zhang, Zhimin
15 Cheung, Ka Chun
14 Huang, Jianhui
14 Jin, Zhuo
13 Shen, Yang
11 Boonen, Tim J.
11 Wei, Jiaqin
10 Pham, Huyên
10 Wu, Zhen
10 Zeng, Yan
9 Carmona, René A.
9 Ghossoub, Mario
9 Yang, Hailiang
8 Delarue, François
8 Laurière, Mathieu
8 Wong, Hoi Ying
8 Zhang, Yiying
7 Hu, Duni
7 Qian, Linyi
7 Wang, Bingchang
7 Wang, Hailong
7 Weng, Chengguo
7 Xiao, Helu
7 Yu, Wenguang
7 Yu, Zhiyong
7 Zhou, Zhongbao
6 Averboukh, Yuriĭ Vladimirovich
6 Bai, Yanfei
6 Cai, Jun
6 Chi, Yichun
6 Chong, Wing Fung
6 Forsyth, Peter A.
6 Han, Peisong
6 Lacker, Daniel
6 Li, Danping
6 Li, Shuanming
6 Li, Xun
6 Nie, Tianyang
6 Siu, Chi Chung
6 Tan, Ken Seng
6 Wang, Guangchen
6 Wang, Shujun
6 Xie, Jiayi
6 Yung, Siu Pang
6 Zhang, Huanshui
6 Zhao, Hui
6 Zhuang, Shengchao
5 Ai, Meiqiao
5 Asimit, Alexandru V.
5 Chen, Ping
5 Chen, Sixia
5 Chiu, Mei Choi
5 Dang, Duy Minh
5 Feng, Xinwei
5 Guo, Xin
5 Haziza, David
5 Huang, Minyi
5 Jiang, Wenjun
5 Li, Zhongfei
5 Liu, Fangda
5 Liu, Haiyan
5 Ma, Guiyuan
5 Moon, Jun-Hee
5 Shi, Jingtao
5 Wang, Tianxiao
5 Zhang, Zheng
4 Assa, Hirbod
4 Başar, Tamer
4 Caines, Peter Edwin
4 Cardaliaguet, Pierre
4 Cecchin, Alekos
4 Chau, Man Ho Michael
4 Chen, Lv
4 Chen, Zhiping
4 Cosso, Andrea
4 Gao, Rui
4 Han, Jinhui
4 Li, Juan
4 Liang, Zhibin
4 Lindensjö, Kristoffer
4 Lo, Ambrose
4 Mertz, Laurent
4 Peng, Xingchun
4 Pun, Chi Seng
4 Stadje, Mitja
4 Sun, Jingrui
4 Sung, K. C. J.
4 Tembine, Hamidou
4 Van Staden, Pieter M.
4 Wang, Ning
4 Wang, Rongming
4 Wei, Xiaoli
4 Wong, Kwok Chuen
4 Yang, Shu
4 Yin, Chuancun
4 Zhang, Jiannan
4 Zhang, Nan
4 Zhu, Dan
...and 776 more Authors
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Cited in 148 Serials

97 Insurance Mathematics & Economics
35 SIAM Journal on Control and Optimization
32 Scandinavian Actuarial Journal
27 Applied Mathematics and Optimization
22 Automatica
22 Journal of Computational and Applied Mathematics
22 Journal of Industrial and Management Optimization
16 Communications in Statistics. Theory and Methods
14 European Journal of Operational Research
14 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
13 Journal of Optimization Theory and Applications
12 ASTIN Bulletin
12 Dynamic Games and Applications
10 Journal of Mathematical Analysis and Applications
10 Stochastic Processes and their Applications
9 International Journal of Control
8 Mathematical Problems in Engineering
8 SIAM Journal on Financial Mathematics
7 Mathematics of Operations Research
7 The Annals of Applied Probability
6 Journal of Applied Probability
5 Applied Mathematics and Computation
5 Journal of Differential Equations
5 Transactions of the American Mathematical Society
5 Systems & Control Letters
5 SIAM Journal on Mathematical Analysis
5 Mathematical Control and Related Fields
4 The Annals of Probability
4 The Annals of Statistics
4 Biometrics
4 Stochastic Analysis and Applications
4 Optimization
4 Journal de Mathématiques Pures et Appliquées. Neuvième Série
4 Electronic Journal of Probability
4 Finance and Stochastics
4 Mathematical Finance
4 Mathematical Methods of Operations Research
4 Discrete Dynamics in Nature and Society
4 Probability in the Engineering and Informational Sciences
4 Quantitative Finance
4 Journal of Systems Science and Complexity
4 North American Actuarial Journal
4 Electronic Journal of Statistics
3 Journal of the Franklin Institute
3 Scandinavian Journal of Statistics
3 Journal of Econometrics
3 Optimal Control Applications & Methods
3 Computational Statistics and Data Analysis
3 International Journal of Theoretical and Applied Finance
3 Communications in Nonlinear Science and Numerical Simulation
3 Advances in Difference Equations
3 Mathematics and Financial Economics
3 Journal of Function Spaces
3 Statistical Theory and Related Fields
2 International Statistical Review
2 Journal of Multivariate Analysis
2 Journal of Statistical Planning and Inference
2 Mathematics and Computers in Simulation
2 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
2 Statistics & Probability Letters
2 Operations Research Letters
2 Acta Mathematicae Applicatae Sinica. English Series
2 Probability Theory and Related Fields
2 Annals of Operations Research
2 Communications in Partial Differential Equations
2 International Journal of Robust and Nonlinear Control
2 SIAM Journal on Scientific Computing
2 Applied Mathematics. Series B (English Edition)
2 Statistica Sinica
2 Lifetime Data Analysis
2 Abstract and Applied Analysis
2 Journal of Inequalities and Applications
2 Journal of the European Mathematical Society (JEMS)
2 Methodology and Computing in Applied Probability
2 Decisions in Economics and Finance
2 Stochastic Models
2 Comptes Rendus. Mathématique. Académie des Sciences, Paris
2 Set-Valued and Variational Analysis
2 Science China. Mathematics
2 Games
2 European Actuarial Journal
2 Modern Stochastics. Theory and Applications
2 Minimax Theory and its Applications
2 Probability, Uncertainty and Quantitative Risk
1 Advances in Applied Probability
1 Computers & Mathematics with Applications
1 Journal d’Analyse Mathématique
1 Journal of Fluid Mechanics
1 Journal of Statistical Physics
1 Mathematics of Computation
1 Chaos, Solitons and Fractals
1 Annals of the Institute of Statistical Mathematics
1 Journal of Mathematical Economics
1 Memoirs of the American Mathematical Society
1 Metron
1 Numerische Mathematik
1 Operations Research
1 Osaka Journal of Mathematics
1 Proceedings of the American Mathematical Society
1 SIAM Journal on Numerical Analysis
...and 48 more Serials

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