AA Department of Mathematics    


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  1. Conservation law and other properties of harmonic maps with potential. Journal of Fudan University (Natural Science), 41(5), 570-576, 2002.

  2. 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.

  3. Jin Ma and Song Yao, On Quadratic g-Evaluations/Expectations and Related Analysis. Stochastic Analysis and Applications, 28(4), 711-734, 2010.

  4. Erhan Bayraktar and Song Yao, Optimal Stopping for Non-linear Expectations-Part I. Stochastic Processes and their Applications, 121(2), 185-211, 2011.

  5. Erhan Bayraktar and Song Yao, Optimal Stopping for Non-linear Expectations-Part II. Stochastic Processes and their Applications, 121(2), 212-264, 2011.

  6. Erhan Bayraktar, Ioannis Karatzas and Song Yao, Optimal Stopping for Dynamic Convex Risk Measures. Illinois Journal of Mathematics, 54, 1025-1067, 2010.

  7. Erhan Bayraktar, and Song Yao, Quadratic Reflected BSDEs with Unbounded Obstacles. Stochastic Processes and their Applications, 122(4), 1155-1203, 2012.

  8. 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. .

  9. Erhan Bayraktar, and Song Yao, On the Robust Optimal Stopping Problem. SIAM Journal on Control and Optimization, 52(5), 3135-3175, 2014.

  10. 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.

  11. Erhan Bayraktar, and Song Yao, Optimal Stopping with Random Maturity under Nonlinear Expectations. Stochastic Processes and their Applications, 127 (8), 2586-2629, 2017.

  12. Erhan Bayraktar, and Song Yao, On the Robust Dynkin Game. Annals of Applied Probability, 27 (3), 1702-1755, 2017.

  13. Song Yao, Lp Solutions of Backward Stochastic Differential Equations with Jumps. Stochastic Processes and their Applications, 127 (11), 3465-3511, 2017.

  14. Song Yao, On g-Expectations with Lp Domain under Jump Filtration. to appear in Stochastic Analysis and Applications.

  15. Jing Liu and Song Yao, Jump-Filtration Consistent Nonlinear Expectations with Lp Domain. to appear in Applied Mathematics and Optimization.

  16. Song Yao, Lp Solutions of Reflected Backward Stochastic Differential Equations with Jumps, submitted. Submitted.

  17. Erhan Bayraktar, and Song Yao, Dynamic Programming Principles for Optimal Stopping with Expectation Constraint. Submitted.

Presentations