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Shaolin Ji

13 works· latest 2020· 1 institutionscluster: provisionalORCID 0000-0001-7420-2738

h-index13

i1013

Citations1,101

Works here13

Most cited in this library

Ambiguous Volatility and Asset Pricing in Continuous Time2013 · 236 citations
Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G -Brownian motion2013 · 152 citations
Backward stochastic differential equations driven by G -Brownian motion2013 · 148 citations
Ambiguous volatility, possibility and utility in continuous time2013 · 148 citations
A maximum principle for stochastic optimal control with terminal state constraints, and its applications2006 · 87 citations

Works

13 shown

Optimal Learning Under Robustness and Time-Consistency

Operations Research·2020·2 authors·Open access

16citations

Three Algorithms for Solving High-Dimensional Fully Coupled FBSDEs Through Deep Learning

IEEE Intelligent Systems·2020·4 authors·Open access

61citations

A Global Stochastic Maximum Principle for Fully Coupled Forward-Backward Stochastic Systems

SIAM Journal on Control and Optimization·2018·3 authors·Open access

61citations

Dynamic programming principle for stochastic recursive optimal control problem driven by a G -Brownian motion

Stochastic Processes and their Applications·2016·2 authors·Open access

39citations

Stochastic Maximum Principle for Stochastic Recursive Optimal Control Problem Under Volatility Ambiguity

SIAM Journal on Control and Optimization·2016·2 authors·Open access

35citations

A Stochastic Recursive Optimal Control Problem Under the G-expectation Framework

Applied Mathematics & Optimization·2014·3 authors·Open access

35citations

Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G -Brownian motion

Stochastic Processes and their Applications·2013·4 authors·Open access

152citations

Ambiguous volatility, possibility and utility in continuous time

Journal of Mathematical Economics·2013·2 authors

148citations

Backward stochastic differential equations driven by G -Brownian motion

Stochastic Processes and their Applications·2013·4 authors·Open access

148citations

Ambiguous Volatility and Asset Pricing in Continuous Time

Review of Financial Studies·2013·2 authors

236citations

Ambiguous Volatility and Asset Pricing in Continuous Time

SSRN Electronic Journal·2013·2 authors·preprint·Open access

54citations

Terminal perturbation method for the backward approach to continuous time mean–variance portfolio selection

Stochastic Processes and their Applications·2007·2 authors·Open access

29citations

A maximum principle for stochastic optimal control with terminal state constraints, and its applications

Communications in Information and Systems·2006·2 authors·Open access

87citations