Robust utility maximization in nondominated models with 2BSDE: the uncertain volatility model A Matoussi, D Possamaï, C Zhou Mathematical Finance 25 (2), 258-287, 2015 | 103 | 2015 |
Stochastic control for a class of nonlinear kernels and applications D Possamaï, X Tan, C Zhou The Annals of Probability 46 (1), 551-603, 2018 | 78 | 2018 |
A unified approach to a priori estimates for supersolutions of BSDEs in general filtrations B Bouchard, D Possamaï, X Tan, C Zhou | 56 | 2018 |
Selectnet: Self-paced learning for high-dimensional partial differential equations Y Gu, H Yang, C Zhou Journal of Computational Physics 441, 110444, 2021 | 51 | 2021 |
Second order reflected backward stochastic differential equations A Matoussi, D Possamai, C Zhou | 41 | 2013 |
Second order backward stochastic differential equations with quadratic growth D Possamaï, C Zhou Stochastic Processes and their applications 123 (10), 3770-3799, 2013 | 36 | 2013 |
The Alpha‐Heston stochastic volatility model Y Jiao, C Ma, S Scotti, C Zhou Mathematical finance 31 (3), 943-978, 2021 | 33 | 2021 |
Quadratic BSDEs with jumps: a fixed-point approach D Possamai, N Kazi-Tani, C Zhou | 33 | 2015 |
Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach H Pham, X Wei, C Zhou Mathematical Finance 32 (1), 349-404, 2022 | 26 | 2022 |
The discovery of dynamics via linear multistep methods and deep learning: error estimation Q Du, Y Gu, H Yang, C Zhou SIAM Journal on Numerical Analysis 60 (4), 2014-2045, 2022 | 25 | 2022 |
Second-order BSDEs with jumps: formulation and uniqueness N Kazi-Tani, D Possamaï, C Zhou The Annals of Applied Probability, 2867-2908, 2015 | 25 | 2015 |
On dynamic programming principle for stochastic control under expectation constraints YL Chow, X Yu, C Zhou Journal of Optimization Theory and Applications 185 (3), 803-818, 2020 | 22 | 2020 |
Second order BSDEs with jumps: existence and probabilistic representation for fully-nonlinear PIDEs N Kazi-Tani, D Possamaï, C Zhou | 22 | 2015 |
Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs Z Yang, G Liang, C Zhou Mathematics and Financial Economics 13, 393-427, 2019 | 19 | 2019 |
Bank monitoring incentives under moral hazard and adverse selection N Hernández Santibáñez, D Possamaï, C Zhou Journal of Optimization Theory and Applications 184, 988-1035, 2020 | 17 | 2020 |
Second-order BSDE under monotonicity condition and liquidation problem under uncertainty A Popier, C Zhou | 16 | 2019 |
Mean field exponential utility game: A probabilistic approach G Fu, X Su, C Zhou arXiv preprint arXiv:2006.07684, 2020 | 15 | 2020 |
Quadratic BSDEs with jumps: Related nonlinear expectations N Kazi-Tani, D Possamaï, C Zhou Stochastics and Dynamics 16 (04), 1650012, 2016 | 13 | 2016 |
A learning scheme by sparse grids and Picard approximations for semilinear parabolic PDEs JF Chassagneux, J Chen, N Frikha, C Zhou IMA Journal of Numerical Analysis 43 (5), 3109-3168, 2023 | 12 | 2023 |
Mean field portfolio games G Fu, C Zhou Finance and Stochastics 27 (1), 189-231, 2023 | 11 | 2023 |