IRMAR
Équipe de Processus Stochastiques

Bâtiment: 22
Bureau: 314
Téléphone: 02 23 23 58 20
Fax: 02 23 23 67 90
E-mail: ying.hu@univ-rennes1.fr

Thèmes de recherche

• Probabilités et processus stochastiques

• Equations différentielles stochastiques et équations différentielles stochastiques rétrogrades

• Controle et optimisation

• Mathématiques financières

• Méthodes probabilistes pour les EDP

• Théorie du potentiel

Publications récentes

M. Fuhrman and Y. Hu, Infinite horizon BSDEs in infinite dimensions with continuous driver and applications. J. Evol. Equ. 6 (2006), 459-484.

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P. Briand and Y. Hu, BSDE with quadratic growth and unbounded terminal value. Probab. Theory Related Fields 136 (2006), 604-618.

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M. Fuhrman, Y. Hu and G. Tessitore, On a class of stochastic optimal control problems related to BSDEs with quadratic growth. SIAM J. Control Optim. 45 (2006), 1279-1296.

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B. Delyon and Y. Hu, Simulation of conditioned diffusion and application to parameter estimation. Stochastic Process. Appl. 116 (2006), 1660-1675.

Y. Hu and S. Peng, On the comparison theorem of multidimensional BSDEs. C. R. Math. Acad. Sci. Paris 343 (2006), 135-140.

M. Fuhrman and Y. Hu, Backward stochastic differential equations in infinite dimensions with continuous driver and applications. Appl. Math. Optim. 56 (2007), 265-302.

Y. Hu and G. Tessitore, BSDE on an infinite horizon and elliptic PDEs in infinite dimension. NoDEA Nonlinear Differential Equations Appl. 14 (2007), 825-846.

P. Briand and Y. Hu, Quadratic BSDEs with convex generators and unbounded terminal conditions. Probab. Theory Related Fields 141 (2008), 543-567.

Y. Hu, J. Ma, S. Peng and S. Yao, Representation theorems for quadratic ${\cal F}$-consistent nonlinear expectations. Stochastic Process. Appl. 118 (2008), 1518-1551.

M. Fuhrman, Y. Hu and G. Tessitore, Ergodic BSDEs and optimal ergo dic control in Banach spaces. SIAM J. Control Optim. 48 (2009), 1542-1566.

Y. Hu and S. Tang, Multi-dimensional BSDE with oblique reflection and optimal switching. Probab. Theory Related Fields. 147 (2010), 89-121.

R. Buckdahn and Y. Hu, Probabilistic interpretation of a coupled system of Hamilton-Jacobi-Bellman equations. J. Evol. Equ. To appear.

F. Delbaen, Y. Hu and X. Bao, Backward SDEs with superquadratic growth. Probab. Theory Related Fields. To appear.

F. Delbaen, Y. Hu and A. Richou, On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions. Ann. Inst. Henri Poincaré Probab. Stat. To appear.