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> Professor Sheung Chi Phillip YAM
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Professor YAM Sheung Chi Phillip
Personal Information
Position and Department
Professor
,
Department of Statistics
ORCiD
0000-0002-4380-0919
CUHK Research Outputs
1 of 3
Maximum Principle for Mean Field Type Control Problems with General Volatility Functions
(
2024
)
Technical Note—Production Management with General Demands and Lost Sales
(
2024
)
The Generalized Sethi Advertising Model
(
2024
)
Control theory on Wasserstein space: a new approach to optimality conditions
(
2023
)
Co-op Advertising in Randomly Fluctuating Markets
(
2023
)
Dynamic Trading with Markov Liquidity Switching
(
2023
)
On nonparametric estimation for cross-sectional sampled data under stationarity
(
2023
)
On the Diversification Effect in Solvency II for Extremely Dependent Risks
(
2023
)
Value-Gradient based Formulation of Optimal Control Problem and Machine Learning Algorithm
(
2023
)
A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management
(
2022
)
Control in Hilbert Space and First-Order Mean Field Type Problem
(
2022
)
Dynamic mean-variance problem with frictions
(
2022
)
Inter-temporal mutual-fund management
(
2022
)
Machine learning and control theory
(
2022
)
Relative performance evaluation for dynamic contracts in a large competitive market
(
2022
)
Satisficing Credibility for Heterogeneous Risks
(
2022
)
Testing network autocorrelation without replicates
(
2022
)
A Fourier-cosine method for finite-time ruin probabilities
(
2021
)
Cooperative Advertising in a Dynamic Three-Echelon Supply Chain
(
2021
)
Fourier-Cosine Method for Finite-Time Gerber-Shiu Functions
(
2021
)
Mean Field Approach to Stochastic Control with Partial Information
(
2021
)
On asymptotic equivalence of the NPMLE of a monotone density and a Grenander-type estimator in multi-sample biased sampling models
(
2021
)
Systems of Quasilinear Parabolic Equations in R^n and Systems of Quadratic Backward Stochastic Differential Equations
(
2021
)
Taylor’s Law of Fluctuation Scaling for Semivariances and Higher Moments of Heavy-tailed Data
(
2021
)
Concave Distortion Risk Minimizing Reinsurance Design under Adverse Selection
(
2020
)
Evolutionary credibility risk premium
(
2020
)
Mean Field Games with Parametrized Followers
(
2020
)
Mean-Field-Type Games with Jump and Regime Switching
(
2020
)
On the authenticity of COVID-19 case figures
(
2020
)
A paradox in time-consistency in the mean-variance problem?
(
2019
)
Feedback Stackelberg-Nash Equilibria in Mixed Leadership Games with an Application to Cooperative Advertising
(
2019
)
Mean-risk Portfolio Management with Bankruptcy Prohibition
(
2019
)
On Additivity of Tail Comonotonic Risks
(
2019
)
Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates
(
2019
)
Reinsurance Contract Design with Adverse Selection
(
2019
)
Risk-adjusted Bowley reinsurance under distorted probabilities
(
2019
)
A probabilistic proof for Fourier inversion formula
(
2018
)
Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities
(
2018
)
Control Problem on Space of Random Variables and Master Equation
(
2018
)
Enlargement of Filtration on Poisson Space: a Malliavin Calculus Approach
(
2018
)
Parabolic Equations with Quadratic Growth in R^n
(
2018
)
Probabilistic Solutions for a Class of Deterministic Optimal Allocation Problems
(
2018
)
A class of nonzero-sum investment and reinsurance games subject to systematic risks
(
2017
)
Discrete-Time Mean Field Partially Observable Controlled Systems Subject to Common Noise
(
2017
)
Estimation of a Monotone Density in S-sample Biased Sampling Models
(
2017
)
Linear-Quadratic Mean Field Stackelberg Games with State and Control Delays
(
2017
)
On the interpretation of the Master Equation
(
2017
)
Optimal Liquidation of Child Limit Orders
(
2017
)
Utility-Deviation-Risk Portfolio Selection
(
2017
)
Callable Stock Loans Recent Advances in Financial Engineering 2014
(
2016
)
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