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CV
Research
Teaching
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Publications
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Conservation law and other properties of harmonic maps with potential. Journal of Fudan University (Natural Science), 41(5), 570-576, 2002.
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Ying Hu, Jin Ma, Shige Peng and Song Yao, Representation
theorems for quadratic F-consistent nonlinear expectations. Stochastic Processes and their Applications, 118(9), 1518-1551, 2008.
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Jin Ma and Song Yao, On Quadratic g-Evaluations/Expectations and Related Analysis. Stochastic Analysis and Applications,
28(4), 711-734, 2010.
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Erhan Bayraktar and Song Yao, Optimal Stopping for Non-linear Expectations-Part I. Stochastic Processes and their Applications, 121(2), 185-211, 2011.
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Erhan Bayraktar and Song Yao, Optimal Stopping for Non-linear Expectations-Part II. Stochastic Processes and their Applications, 121(2), 212-264, 2011.
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Erhan Bayraktar, Ioannis Karatzas and Song Yao, Optimal Stopping for Dynamic Convex Risk Measures. Illinois Journal of Mathematics, 54, 1025-1067, 2010.
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Erhan Bayraktar, and Song Yao, Quadratic Reflected BSDEs with Unbounded Obstacles. Stochastic Processes and their Applications, 122(4), 1155-1203, 2012.
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Erhan Bayraktar, and Song Yao, A Weak Dynamic Programming Principle for Zero-Sum Stochastic Differential Games with Unbounded Controls. to appear in SIAM Journal on Control and Optimization. .
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Erhan Bayraktar, and Song Yao, On the Robust Optimal Stopping Problem. SIAM Journal on Control and Optimization, 52(5), 3135-3175, 2014.
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Erhan Bayraktar, and Song Yao, Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games. Stochastic Processes and Their Applications, 125 (12), 4489-4542, 2015.
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Erhan Bayraktar, and Song Yao, Optimal Stopping with Random Maturity under Nonlinear Expectations. Stochastic Processes and their Applications, 127 (8), 2586-2629, 2017.
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Erhan Bayraktar, and Song Yao, On the Robust Dynkin Game. Annals of Applied Probability, 27 (3), 1702-1755, 2017.
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Song Yao, Lp Solutions of Backward Stochastic Differential Equations with Jumps. Stochastic Processes and their Applications, 127 (11), 3465-3511, 2017.
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Song Yao, On g-Expectations with Lp Domain under Jump Filtration. to appear in Stochastic Analysis and Applications.
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Jing Liu and Song Yao, Jump-Filtration Consistent Nonlinear Expectations with Lp Domain. to appear in Applied Mathematics and Optimization.
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Song Yao, Lp Solutions of Reflected Backward Stochastic Differential Equations with Jumps, submitted. Submitted.
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Erhan Bayraktar, and Song Yao, Dynamic Programming Principles for Optimal Stopping with Expectation Constraint. Submitted.
Presentations
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Probability/Math Finance Seminar, Carnegie Mellon University, Dec 2017.
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SIAM Conference on Control and its Applications, Pittsburgh, July 2017.
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Probability Seminar, University of Rochester, April 2017.
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SIAM Conference on Financial Mathematics and Engineering, Austin, TX, Nov 2016.
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Mathematics Colloquium, University of Pittsburgh, Oct 2016.
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Joint Mathematics Meeting, Seattle, Jan 2016.
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Financial/Actuarial Mathematics Seminar, University of Michigan, Dec 2015.
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Actuarial and Financial Mathematics Seminar, University of Pittsburgh, April 2015.
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Mathematical Finance Seminar, University of Texas at Austin, April 2015.
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Mathematical Finance Colloquium, University of Southren California, April 2014.
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INFORMS Annual meeting, Minneapolis, October 2013.
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INFORMS Applied Probability Society Conference, Costa Rica, July 2013.
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Financial Mathematics Seminar, Penn State University, Nov 2012.
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AMS Sectional Meeting, Akron University, Oct 2012.
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Probability/Math Finance Seminar, Carnegie Mellon University, Dec 2011.
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SIAM Conference on Financial Mathematics, San Fransisco, Nov 2010. -
Financial/Actuarial Math Seminar, University of Michigan, Oct 2010. -
6th World Congress of the Bachelier Finance Society, Toronto, June 2010. -
Financial/Actuarial Mathematics Seminar, University of Michigan, Dec 2009. -
Joint Math Finance Colloquium and Probability/Statistics Seminar, University of Southern California, Oct 2009. -
Financial/Actuarial Math Seminar, University of Michigan, Sept 2008. -
Kent-Purdue Minisymposium on Financial Mathematics, Kent State University, April 2007 (contributed poster).
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Computational Finance Seminar, Purdue University, March 2007.
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