A maximum principle for stochastic optimal control with terminal state constraints, and its applications (with Xun Yu Zhou),
A special issue dedicated Tyrone Duncan on the occation of his 65th birthday, Communications in Information and Systems, 6(4): 321-338, 2006.
Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection (with Shige Peng),
Stochastic processes and their Applications, 118(6): 952-967, 2008.
The Neyman–Pearson lemma under g-probability (with Xun Yu Zhou),
C. R. Acad. Sci. Paris, Ser. I, 346(3-4): 209-212, 2008.
Dual method for continuous-time Markowitz’s problems with nonlinear wealth equations,
Journal of Mathematical Analysis and Applications, 366: 90-100, 2010.
A generalized Neyman–Pearson lemma under g-probabilities (with Xun Yu Zhou),
Probability theory and related fields, 148: 645-669, 2010.
An optimal insurance design problem under Knightian uncertainty (with Carole Bernard and Weidong Tian),
Decisions in economics and finance, 36(2): 99-124, 2013.
An overview on the Principal-Agent problems in continuous time (with Qingmeng Wei),
in Real Options, Ambiguity, Risk and Insurance (Studies in Probability, Optimization and Statistics 5), editors: A. Bensoussan, S. Peng and J. Sung, IOS Press, 2013.
A maximum principle for fully coupled forward–backward stochastic control system with terminal state constraints (with Qingmeng Wei),
Journal of Mathematical Analysis and Applications, 407(2): 200-210, 2013.
Ambiguous Volatility and Asset Pricing in Continuous Time (with Larry G. Epstein),
The Review of Financial Studies, 26 (7): 1740-1786, 2013.
A generalized Girsanov transformation of finite state stochastic processes in discrete time (with Samuel N. Cohen, Shuzhen Yang),
Statistics and Probability Letters, 84: 33-39, 2014.
Backward stochastic differential equations driven by G-Brownian motion (with Mingshang Hu, Shige Peng, Yongsheng Song),
Stochastic Processes and their Applications, 124(1): 759–784, 2014.
Ambiguous volatility, possibility and utility in continuous time (with Larry G. Epstein),
Journal of Mathematical Economics, 50: 269-282, 2014.
Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G-Brownian motion (with Mingshang Hu, Shige Peng, Yongsheng Song),
Stochastic Processes and their Applications, 124(2): 1170–1195, 2014.
A Stochastic Recursive Optimal Control Problem Under the G-expectation Framework (with Mingshang Hu, Shuzhen Yang)，
Applied Mathematics and Optimization, 70(2): 253-278, 2014.