Improving value-at-risk prediction under model uncertainty S Peng, S Yang, J Yao
Journal of Financial Econometrics 21 (1), 228-259, 2023
46 2023 A stochastic recursive optimal control problem under the G-expectation framework M Hu, S Ji, S Yang
Applied Mathematics & Optimization 70 (2), 253-278, 2014
32 2014 量化分析宏观金融风险的非线性演变速度与机制 宫晓琳, 杨淑振
金融研究, 99-111, 2013
9 2013 Classical solutions of path-dependent PDEs and functional forward-backward stochastic systems S Ji, S Yang
Mathematical Problems in Engineering 2013, 2013
9 2013 Distributional Uncertainty of the Financial Time Series Measured by -Expectation S Peng, S Yang
Theory of Probability & Its Applications 66 (4), 729-741, 2022
8 2022 The necessary and sufficient conditions for stochastic differential systems with multi-time state cost functional S Yang
Systems & Control Letters 114, 11-18, 2018
7 2018 The maximum principle for stochastic differential systems with general cost functional S Yang
Systems & Control Letters 90, 1-6, 2016
7 2016 Sublinear expectation linear regression L Lin, Y Shi, X Wang, S Yang
arXiv preprint arXiv:1304.3559, 2013
7 2013 On an optimal extraction problem with regime switching G Ferrari, S Yang
Advances in Applied Probability 50 (3), 671-705, 2018
6 2018 Effects of environmental temperature and age on the elastic modulus of concrete S Yang
Structural Engineering and Mechanics, An Int'l Journal 72 (6), 737-746, 2019
5 2019 Long-term development of compressive strength and elastic modulus of concrete S Yang, B Liu, M Yang, Y Li
Structural engineering and mechanics: An international journal 66 (2), 263-271, 2018
5 2018 Path‐dependent Hamilton–Jacobi–Bellman equations related to controlled stochastic functional differential systems S Ji, L Wang, S Yang
Optimal Control Applications and Methods 36 (1), 109-120, 2015
5 2015 Imbalanced binary classification under distribution uncertainty X Ji, S Peng, S Yang
Information Sciences 621, 156-171, 2023
4 2023 Maximum principle for forward–backward SDEs with a general cost functional Q Gao, S Yang
International journal of control 90 (8), 1597-1603, 2017
4 2017 A note on functional derivatives on continuous paths S Ji, S Yang
Statistics & Probability Letters 106, 176-183, 2015
4 2015 Parallel algorithm for BSDEs based high dimensional American option pricing on the GPU Y Peng, H Liu, S Yang, B Gong
Journal of Computational Information Systems 10 (2), 763-771, 2014
4 2014 A varying terminal time mean–variance model S Yang
Systems & Control Letters 162, 105184, 2022
3 2022 A varying terminal time structure for stochastic optimal control under constrained condition S Yang
International Journal of Robust and Nonlinear Control 30 (13), 5181-5204, 2020
3 2020 Bellman type strategy for the continuous time mean-variance model S Yang
arXiv preprint arXiv:2005.01904, 2020
3 2020 The deterministic maximum principle for differential systems with a general cost functional S Yang
Optimal Control Applications and Methods 38 (4), 498-505, 2017
3 2017