论文:
[1] T. NIE and A. RASCANU. Deterministic characterization of viability for stochastic differential equation driven by fractional Brownian motion. ESAIM: Control Optimisation and Calculus of Variation, 18 (4), 915-929, 2012 (SCI,EI)
[2] T. NIE and M. RUTKOWSKI*. Multi-player stopping games with redistribution of payoffs and multi-dimensional BSDEs with oblique reflection. Stochastic Processes and their Applications. 124(8), 2672-2698, 2014 (SCI,EI)
[3] T. NIE. A stochastic approach to a new type of parabolic variational inequalities. Stochastics, 87 (3), 477-517, 2015 (SCI)
[4] T. NIE. Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality. Science China Mathematics, 58(4), 729-748, 2015 (SCI)
[5] L. MATICIUC and T. NIE*. Fractional backward stochastic differential equations and fractional backward variational inequalities. Journal of Theoretical Probability, 28, 337-395, 2015 (SCI)
[6] T. NIE and M. RUTKOWSKI*. Fair bilateral prices in Bergman’s model with exogenous collateralization. International Journal of Theoretical and Applied Finance. 18 (7), 26 pages, 2015 ()
[7] T. NIE and M. RUTKOWSKI*. BSDEs driven by multi-dimensional martingales and their applications to market model with funding cost.
SIAM: Theory of Probability and Its Applications, 60(4), 604-630. 2016 (SCI)
[8] R. BUCKDAHN and T. NIE*. Generalized Hamilton--Jacobi--Bellman Equations with Dirichlet Boundary Condition and Stochastic Exit Time Optimal Control Problem SIAM Journal on Control and Optimization 54 (2), 602-631 2016 (SCI)
[9] T. NIE, J. SHI* and Z. WU. Connection between MP and DPP for stochastic recursive optimal control problems: viscosity solution framework in local case. Proceedings of the 2016 American Control Conference，Boston, USA， 2016 (EI)
[10] T. NIE and M. RUTKOWSKI*. A BSDE approach to fair bilateral pricing under endogenous collateralization. Finance and Stochastics. 20, 855-900 2016 (SCI, SSCI)
[12] T. NIE, J. SHI* and Z. WU. Connection between MP and DPP for stochastic recursive optimal control problems: viscosity solution framework in general case Accepted by SIAM Journal on Control and Optimization 2017 (SCI)
[12] T. NIE and M. RUTKOWSKI*. Fair bilateral pricing under funding costs and exogenous collateralization.
Mathematical Finance, 28(2), 621-655 2018 (SCI, SSCI)
[13] Ying Hu, Jianhui Huang, Tianyang Nie*, Linear-Quadratic-Gaussian Mixed Mean-field Games with Heterogeneous Input Constraints. SIAM Journal on Control and Optimization, 56(4), 2835-2877 2018 ()
