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• 2020Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems69 cited
• 2010REGIME-SWITCHING RECOMBINING TREE FOR OPTION PRICING68 cited
• 2013Positive recurrence of piecewise Ornstein–Uhlenbeck processes and common quadratic Lyapunov functions39 cited
• 2015Feynman–Kac formulas for regime-switching jump diffusions and their applications36 cited
• 2019On laws of large numbers for systems with mean-field interactions and Markovian switching35 cited
• 2021A General Stochastic Maximum Principle for Mean-Field Controls with Regime Switching34 cited
• 2019A stochastic maximum principle for switching diffusions using conditional mean-fields with applications to control problems32 cited
• 2012Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes29 cited
• 2015Numerical schemes for pricing Asian options under state-dependent regime-switching jump–diffusion models29 cited
• 2019Continuous-Time Markov Chain and Regime Switching Approximations with Applications to Options Pricing28 cited
• 2013Feynman-Kac formula for switching diffusions: connections of systems of partial differential equations and stochastic differential equations27 cited
• 2018Equilibrium strategies for time-inconsistent stochastic switching systems22 cited