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Jin Ma

Professor of Mathematics
Director

Contact Information
E-mail: jinma@usc.edu
Phone: (213) 740-3771
Office: KAP 250

LINKS
Personal Website
 

Education

Ph.D. Mathematics, University of Minnesota, 8/1992
M.S. Applied Mathematics, Fudan University, 2/1985
B.S. Mathematics, Fudan University, 2/1982
 

Postdoctoral Training

Research Assistant Professor, Purdue University, 08/17/1992-05/30/1994  
 

Academic Appointment, Affiliation, and Employment History

Tenure Track Appointments

Professor, University of Southern California, 2008-  
Professor, Purdue University, 2003-2008  
Associate Professor, Purdue University, 1998-2003  
Assistant Professor, Purdue University, 1994-1998  
 

Non-Tenure Track Appointments

Research Assistant Professor, Purdue University, 1992-1994  
 

Visiting and Temporary Appointments

Professor, University of Southern California, 2007-2008   
 

Description of Research

Summary Statement of Research Interests

My main research areas include stochastic analysis, stochastic differential equations, and stochastic control theory. Many of my research topics come from problems in mathematical finance and actuarial sciences. My research subjects often overlap with partial differential equations and/or differential equations in general.
 

Research Keywords

Stochastic analysis, stochastic differential equations, stochastic control theory, differential equations, control theory, mathematical finance, actuarial science
 

Funded Research

Contracts and Grants Awarded

Stochastic Differential Equations and Related Topics (DMS 1106853) (National Science Foundation), Ma, Jin, $360,000, 09/15/2011-08/31/2014  
Conferences on Backward SDEs and Math Finance (National Science Foundation), Ma, Jin, Zhang, Jianfeng, $45,000, 02/01/2011-01/31/2012  
Stochastic Differential Equations and Applications (DMS 0806017) (National Science Foundation), Ma, Jin, $240,000, 07/15/2008-06/30/2011  
Stochastic Differential Equations And Related Topics (DMS 0835051) (National Science Foundation), Ma, Jin, $68,919, 03/26/2008-06/30/2009  
Stochastic Differential Equations And Related Topics (DMS 0505427) (National Science Foundation), Ma, Jin, $250,000, 07/15/2005-06/30/2008  
Stochastic Differential Equations and Applications (DMS 0204332) (National Science Foundation), Ma, Jin, $125,000, 07/15/2002-12/31/2005  
Stochastic Differential Equations And Related Topics (DMS 9971720) (National Science Foundation), Protter, Philip, Ma, Jin, $260,000, 07/15/1999-06/30/2003  
Some Topics on Nonlinear Filtering (Office of Naval Research), Protter, Philip; Ma,Jin, Douglas, Jim, Jr., $348,464, 01/01/1996-01/30/1999  
Topics on Singular Stochastic Control (DMS 9301516) (National Science Foundation), Ma, Jin, $36,440, 07/15/1993-12/31/1995  
 

Conferences and Other Presentations

Conference Presentations

"Pathwise Stochastic Taylor Expansions and Forward Path Dependent PDEs", Workshop on Analysis and Control of Stochastic PDEs, Talk/Oral Presentation, Abstract, Shanghai, China, Fudan University, Invited, Fall 2012   
"FBSDEs with Discontinuous Coefficients and Regime Switching Term Structure Models", Third Workshop in Memory of Professor Xunjing Li, Talk/Oral Presentation, Abstract, Qingdao, China, Shandong University, Invited, Spring 2012   
"Ruin Problems under Model Uncertainty", Spring School on Stochastic Analysis in Finance, Talk/Oral Presentation, Abstract, Roscoff, France, Invited, Spring 2012   
"Stochastic Differential Equations Driven by fBM and Poisson Point Processes", International Conference on Controlled Deterministic and Stochastic Systems, Talk/Oral Presentation, Abstract, Iasi, Romania, University of Iasi, Romania, Invited, Spring 2012   
"Dynamic Equilibrium Limit Order Book Model and Optimal Execution Problem", Workshop on Stochastic Modeling and Applications , Talk/Oral Presentation, Abstract, Beijing, AMSS , Invited, Spring 2011   
"Dynamic Equilibrium Limit Order Book Model and Optimal Execution Problem", Stochastic Analysis in Finance and Insurance, Talk/Oral Presentation, Abstract, Ann Arbor, Michigan, Univerisity of Michigan, Invited, Spring 2011   
"Dynamic Equilibrium Limit Order Book Model and Optimal Execution Problem", Workshop on Topics in Stochastic Control, Talk/Oral Presentation, Abstract, Milan, Italy, Politecnico di Milano, Invited, Spring 2011   
"Law of Large Numbers for Self-Exciting Correlated Defaults", Stochastic Analysis in Finance and Insurance, Talk/Oral Presentation, Abstract, Oberwolfach, Germany, Mathematisches Forschungsinstitut Oberwolfach, Invited, Spring 2011   
"Law of Large Numbers for Self-Exciting Correlated Defaults", SIAM Conference on Financial Mathematics & Engineering, Talk/Oral Presentation, Abstract, San Francisco, SIAM, Invited, Fall 2010   
"Recent Developments on Non-Markovian Forwrad-Backward SDEs", Southern California Probability Symposium, Lecture/Seminar, Abstract, UCLA, IPAM, Invited, Fall 2010   
"An Impulse Control Problem with Sublinear Transaction Costs", International Conference on Mathematical Control Theory, Talk/Oral Presentation, Abstract, Beijing, China, Chinese Academy of Sciences, Invited, Spring 2009   
"Law of Large Numbers for Self-Exciting Correlated Defaults", IMS International Conference on Statistics and Probability, Talk/Oral Presentation, Abstract, Weihai, China, IMS, Invited, Spring 2009   
"Impulse Control and Optimal Portfolio Selection with General Transaction Costs", 2nd Western Conference in Mathematical Finance, Talk/Oral Presentation, Abstract, Austin, Taxas, UT Austin, Invited, Fall 2008   
"Variant Reflected Backward SDEs and Applications", 5th Colloquium on BSDEs, Finance and Applications, Talk/Oral Presentation, Abstract, Le Mans, France, Invited, Spring 2008   
"Weak Solutions of Forward-Backward Stochastic Differential Equations", Conference of Stochastic Processes and Their Applications, Special session on Stochastic Equations, Talk/Oral Presentation, Abstract, Urbana-Champaign, Illinois, Invited, Fall 2007   
"Forward-Backward Martingale Problem and Weak Solutions of FBSDEs", 2nd Workshop on ``Stochastic Equations and Related Topics", Talk/Oral Presentation, Abstract, Jena, Germany, Invited, Spring 2006   
"UVL Insurance Pricing Problems and Systems of Partial Differential-Difference Equations", International Workshop on Finance and Insurance, Talk/Oral Presentation, Paper, Lijiang, China, Invited, Spring 2006   
"Stochastic Control Problems for Systems driven by Normal Martingales", International Conference on Mathematical Finance, Talk/Oral Presentation, Abstract, University of Wisconsin at Milwaukee, Invited, Fall 2005   
"Weak Solutions for Forward-Backward SDEs---A Martingale Problem Approach", Conference on Martingales, Stochastic Analysis, and Potential Theory, Talk/Oral Presentation, Abstract, Gainsville, Florida, University of Florida, Invited, Fall 2005   
"Indifference Pricing of Universal Variable Life Insurance", Workshop on Control of Distributed Parameter and Stochastic systems, Talk/Oral Presentation, Abstract, Shanghai, China, Fudan University, Invited, Spring 2005   
"Weak Solutions of Forward-Backward Stochastic Differential Equations", Fourth International Conference on Backward Stochastic Differential Equations, Talk/Oral Presentation, Abstract, Shanghai, China, Invited, Spring 2005   
"Optimal Reinsurance/Investment for General Insurance Models", International Workshop on Mathematical Finance and Insurance, Talk/Oral Presentation, Abstract, Yellow Mountain, China, Invited, Spring 2004   
"Stochastic Viscosity Solutions and Pathwise Stocashastic Control Problems", International Symposium on Stochastic Control and Mathematical Finance, Talk/Oral Presentation, Abstract, Osaka, Japan, Invited, Fall 2003   
"Pathwise Stochastic Control Problems and Stochastic HJB Equations", Workshop on Mathematical Finance and Insurance, Talk/Oral Presentation, Abstract, Snowbird,Utah, Invited, Spring 2003   
"Nonlinear Feynman-Kac Formula and Backward SDEs", 7th Symposium of Probability and Stochastic Processes, Talk/Oral Presentation, Abstract, Mexico City, Mexico, Invited, Spring 2002   
"Sharp Bounds of Ruin Probabilities for Insurance Models", International Conference on Mathematical Finance, Talk/Oral Presentation, Abstract, Shanghai, China, Invited, Spring 2001   
"Some Fine Properties of Solutions for Backward SDEs", AMS Annual Meeting, Special Session on Stochastic Analysis and Applications, Talk/Oral Presentation, Abstract, New Orleans, AMS, Invited, Spring 2001   
"Large Deviation Results for Forward-Backward SDE's", NSF-INRIA fourth meeting in Stochastic Numerical Analysis, Talk/Oral Presentation, Abstract, Paris, France, NSF and INRIA, Invited, Spring 1999   
"Stochastic Viscosity Solutions for Nonlinear Stochastic PDE's", 4th International Joint Meeting of the AMS and the Sociedad Matematica Mexicana (SMM), Talk/Oral Presentation, Abstract, Denton, Texas, AMS and SMM, Invited, Spring 1999   
"Large Deviation and Rare Event Simulation for Forward-Backward SDEs", Conference on Control of Distributed Parameter and Stochastic Systems, Talk/Oral Presentation, Paper, Hangzhou, China, Invited, Spring 1998   
"Reflected Forward-Backward SDEs and Applilcations", AMS annual meeting, Talk/Oral Presentation, Abstract, Detroit, Michigan, AMS, Invited, Spring 1997   
"Adapted Solution of Degenerate Backward SPDEs and Applications", AMS annual meeting, Talk/Oral Presentation, Abstract, Orlando, Florida, AMS, Invited, Spring 1996   
"On Linear Degenerate Backward Stochastic PDE's", AMS-INRIA Second Joint Meeting on Stochastic Numerics, Talk/Oral Presentation, Abstract, Sophia-Antipolis, France, AMS, INRIA, Invited, Spring 1996   
"Anticipating Integrals for Normal Martingales", Second joint meeting of the AMS and SMM, Talk/Oral Presentation, Abstract, Guanajuato, Moxico, AMS and SMM, Invited, Fall 1995   
"Forward-Backward Stochastic Differential Equations and their Applications in Finance", 34th IEEE Conference on Decision and Control, Talk/Oral Presentation, Abstract, New Orleans, Louisiana, Invited, Fall 1995   
"Forward-Backward Stochastic Differential Equations and Applications", AMS nnual meeting, Talk/Oral Presentation, Abstract, Cincinnati, Ohio, AMS, Invited, Spring 1994   
"Large Investor Models and Forward-Backward Stochastic Differential Equations", IMS regional meeting, , Talk/Oral Presentation, Abstract, Cleveland, Ohio, IMS, Invited, Spring 1994   
 

Other Presentations

"Pathwise Stochastic Taylor Expansions and Forward Path Dependent PDEs", Finantial Mathematics Seminar, University of Michigan, Ann Arbor, Michigan, Spring 2013   
"Dynamic Equilibrium Limit Order Book Model and Optimal Execution Problem", Department Colloquium, NanKai University, Tianjin, China, Fall 2012   
"Pathwise Stochastic Taylor Expansions and Forward Path Dependent PDEs", Mathematical Finance Seminar, Columbia University, New York, Fall 2012   
"Ruin Problems under Model Uncertainty", Probability and Computational Finance Seminar, Carnegie Mellon University, Pittsburgh , Spring 2012   
"Ruin Problems under Model Uncertainty", Probability Seminar, Illinois Institute of Technology, Chicago, Spring 2012   
"Stochastic Differential Equations Driven by fBM and Poisson Point Processes", Colloquium, Shandong University, Jinan, China, Spring 2012   
"Dynamic Equilibrium Limit Order Book Model and Optimal Execution Problem", colloquium, Georgia State University, Atlanta, Georgia, Fall 2011   
"Ruin Problems under Model Uncertainty", Seminar, Georgia Tech, Atlanta, Georgia, Fall 2011   
"Finance, Insurance, and Mathematics", colloquium, Nankai Univeristy, Tianjin, China, Spring 2011   
" Finance, Insurance, and Stochastic Control", Spring School on Stochastic Control in Finance (Mini Course), Universite de Bretagne Occidentale, Brest, Roscoff, France, Spring 2010   
"Backward Stochastic Differential Equations, with Financial Applications", Probability Seminar (Mini Course), Academia Sinica, Taipei, Spring 2010   
"Backward Stochastic Differential Equations with Financial Applications", 2nd SMAI European Summer School in Financial Mathematics (Mini Course), Applied and Industrial Mathematics Society (SMAI), France, Paris, France, Fall 2009   
"Quadratic Nonlinear Expectations and Convex Risk Measures", Seminar, Universite de Bretagne Occidentale, Brest, France, Spring 2007   
"Representation of Quadratic Risk Measures ", Seminar, Illinois Institute of Technology, Chicago, Spring 2007   
"Backward and Forward-Backward Stochastic Differential Equations---Old and New", Mini Course, Institute of Mathematics, Academia Sinica, Taipei, Taiwan, Fall 2006   
"A Class of New Stochastic Control Problems for Systems with Jumps", Seminar, University of Washington at Seattle, Seattle, Spring 2006   
"Stochastic Analysis in Actuarial Problems", Colloquium, Simon Fraser University, Vancouver, Canada, Spring 2006   
"Stochastic Analysis in Actuarial Problems---A Mini-course", International Summer School of Statistics in Finance, Chinese Academic Sinica, Beijing, China, Spring 2004   
"Jump-Diffusion Models with Power Exponential Distributions", Colloquium, Universite de Bretagne Occidentale, Brest, Brest, France, Spring 2002   
"Path Regularity of Backward SDEs", Colloquium, Universite de Rennes 1, Rennes, France, Spring 2001   
"Backward and Forward-Backward stochastic Differential Equations-- An Overview", Mini-course for 22nd Midwest Probability Colloquium, Northwestern University, Chicago, Fall 2000   
"Some New Results on Backward Stochastic Differential Equations", colloquium, University of Southern California, Los Angeles, Spring 2000   
"Stochastic Viscosity Solutions for Nonlinear Stochastic PDEs", BENESFEST, A Day of Stochastic Control in honor of Dr Vaclav E. Benes on his 70th Birthday, Columbia University, New York City, Spring 2000   
"Theory of Backward Stochastic Differential Equations", colloquium, University of Cincinnati, Cincinnati, Fall 1999   
"Backward Stochastic PDEs and Applications", Seminar, University of Paris, VI, Paris, France, Spring 1997   
"On Degenerate, Linear Backward Stochastic Differential Equations", Seminar, Universite Blaise Pascal, Clermont-Ferrand, France, Spring 1997   
 

Publications

Book

Ma, J., Yong, J. (1999). Forward-backward stochastic differential equations and their applications. Lecture Notes in Mathematics (1702), Springer-Verlag, Berlin.
 

Conference Proceeding

Ma, J., Yu, Y. (2007). Indifference Pricing of Universal Variable Life Insurance. pp. 107--121. World Sci. Publ., Hackensack, NJ. Control Theory and Related Topics.
Ma, J., You, Y. (2007). A tribute in memory of Professor Xunjing Li on his seventieth birthday, Control theory and related topics. pp. 3-8. Hackensack, NJ. World Sci. Publ..
Ma, J., Sun, X. (2002). Sharp estimates of ruin probabilities for insurance models involving investments, Recent developments in mathematical finance (Shanghai, 2001). pp. 72-84. River Edge, NJ. World Sci. Publ.,.
Ma, J., Zajic, T. (1999). Rough asymptotics of forward-backward stochastic differential equations, Control of distributed parameter and stochastic systems (Hangzhou, 1998). pp. 239--246. Boston, MA. Kluwer Acad. Publ..
 

Journal Article

Ma, J., Song, Q., Xu, J., Zhang, J. (2013). Optimal Portfolio Selection Under Concave Price Impact. Applied Mathematics & Optimization. Vol. 67 (3), pp. 353-390.
Chen, J., Ma, J., Yin, H. (2013). Forward-backward SDEs with Dicontinuous Coefficients.
Ma, J., Yin, H., Zhang, J. (2012). On Non-Markovian Forward Backward SDEs and Backward Stochastic PDEs. Stochastic Processes and Their Applications. Vol. 122 (12), pp. 3980–4004.
Cvitanic, J., Ma, J., Zhang, J. (2012). Law of Large Numbers for Self-Exciting Correlated Defaults. Stochastic Processes and Their Applications. Vol. 122 (8), pp. 2781–2810.
Bai, L., Ma, J. (2012). Stochastic differential equations driven by fractional Brownian motion and Poisson point process. pp. 33.
Buchdahn, R., Bulla, I., Ma, J. (2011). Pathwise Taylor Expansions for Ito Type Random Fields. Mathematical Control and Related Fields. Vol. 1 (no. 4,), pp. 437-468..
Ma, J., Wu, Z., Zhang, D., Zhang, J. (2011). On Wellposedness of Forward-Backward SDEs --- A Unified Approach. The Annals of Probability. pp. 38.
Ma, J., Wang, H. Defaultable Asset Management with Incomplete Information.
Ma, J., Wang, X. Ruin Probabilities under Market Uncertainties. pp. 34.
Ma, J., Wang, X., Zhang, J. Dynamic Equilibrium Models for Limit Order Book and Optimal Execution Problems. pp. 32.
Ma, J., Zhang, J. (2010). On Weak Solutions of Forward-Backward Stochastic Differential Equations. Probab. Theory Relat. Fields. (DOI 10.1007/s00440-010-0305-8), pp. 33 pages.
Figueroa-Lopez, E., Ma, J. (2010). Optimal portfolios in L ´ evy markets under state-dependent bounded utility functions. International Journal of Stochastic Analysis. pp. Art. ID 236587.
Ma, J., Yao, S. (2010). Quadratic g-Expectations and the Associated Doob-Meyer Decompostion. J. Stochastic Analysis and Applications. Vol. 28 (4), pp. 711-734.
Kharroubi, I., Ma, J., Pham, H., Zhang, J. (2010). Backward SDEs with constrained jumps and quasi-variational inequalities. The Annals of Probability. Vol. 38 (2), pp. 794-840.
Ma, J., Yong, J., Zhao, Y. (2010). General Forward-Backward Stochastic Differential Equations of Markovian Type. J. Syst. Sci. Complex.. Vol. 23 (3), pp. 546-571.
Ma, J., Yun, Y. (2010). Correlated intensity, counter party risks, and dependent mortalities. Insurance Mathematics and Economics. Vol. 47 (33), pp. 337-351.
Liu, Y., Ma, J. (2009). Optimal Reinsurance/Investment for General Insurance Models. The Annals of Applied Probability. Vol. 19 (4), pp. 1495--1528.
Jien, Y., Ma, J. (2009). Stochastic Differential Equations Driven by Fractional Brownian Motions. Bernoulli. Vol. 15 (3), pp. 846-870.
Ma, J., Wang, Y. (2009). On Variant Reflected Backward SDEs and Applications. J. Appl. Math. Stoch. Anal.. Vol. Art. ID 854768, pp. 26.
Ma, J., Zhang, J., Zheng, Z. (2008). Weak Solutions for Backward Stochastic Differential Equations, A Martingale Approach. The Annals of Probability. Vol. 36 (6), pp. 2092--2125.
Ma, J., Shen, J., Zhao, Y. (2008). Numerical Method for Forward-Backward Stochastic Differential Equations. SIAM Journal on Numerical Analysis. Vol. 46 (5), pp. 2636--2661.
Hu, Y., Ma, J., Peng, S., Yao, S. (2008). Representation Theorems for Quadratic F-Consistent Nonlinear Expectations. Stochastic Processes and Their Applications. Vol. 118 (9), pp. 1518-1551.
Buchdahn, R., Ma, J., Rainer, C. (2008). Stochastic Control Problems for Systems Driven by Normal Martingales. The Annals of Applied Probability. Vol. 18 (2), pp. 632--663.
Buchdahn, R., Ma, J. (2007). Pathwise Stochastic Control Problems and Stochastic HJB Equations. SIAM Journal on Control and Optimizations. Vol. 45 (6), pp. 2224-2256.
Ma, J., Yu, Y. (2006). Principle of Equivalent Utility and Universal Variable Life Insurance. Scandinavian Actuarial Journal. Vol. 2006 (6), pp. 311--337.
Ma, J., Zhang, J. (2005). Representations and regularities for solutions to BSDEs with reflections. Stochastic Process. Appl. Vol. 115 (4), pp. 539--569.
Hu, Y., Ma, J. (2004). Nonlinear Feynman-Kac formula and discrete-functional-type BSDEs with continuous coefficients. Stochastic Process. Appl.. Vol. 112 (1), pp. 23-51.
Ma, J., Sun, X. (2003). Ruin probabilities for insurance models involving investments. Scand. Actuar. J.. Vol. 3, pp. 217--237..
Antonelli, F., Ma, J. (2003). Weak solutions of forward-backward SDE's. Stochastic Anal. Appl.. Vol. 21 (3), pp. 493--514..
Cvitanic, J., Ma, J., Zhang, J. (2003). Efficient computation of hedging portfolios for options with discontinuous payoffs. Math. Finance. Vol. 13 (1), pp. 135--151.
Ma, J., Zhang, J. (2002). Representation theorems for backward stochastic differential equations. Ann. Appl. Probab.. Vol. 12 (4), pp. 1390--1418.
Buckdahn, R., Ma, J. (2002). Pathwise stochastic Taylor expansions and stochastic viscosity solutions for fully nonlinear stochastic PDEs. The Annals of Probability. Vol. 30 (3), pp. 1131--1171.
Hu, Y., Ma, J., Yong, J. (2002). On semi-linear degenerate backward stochastic partial differential equations. Probab. Theory Related Fields. Vol. 123 (3), pp. 381--411..
Ma, J., Zhang, J. (2002). Path regularity for solutions of backward stochastic differential equations. Probability Theory and Related Fields. Vol. 122 (2), pp. 163--190.
Ma, J., Protter, P., San-Martin, J., Torres, S. (2002). Numerical method for backward stochastic differential equations. Ann. Appl. Probab.. Vol. 12 (1), pp. 302--316.
Ma, J., Yong, J. (2002). Approximate solvability of forward-backward stochastic differential equations. Appl. Math. Optim.. Vol. 45 (1), pp. 1--22.
Cvitanic, J., Ma, J. (2001). Reflected forward-backward SDEs and obstacle problems with boundary conditions. J. Appl. Math. Stoch. Anal.. Vol. 14 (2), pp. 113-138.
Ma, J., Protter, P., Zhang, J. (2001). Explicit form and path regularity of martingale representations. Levy Processes, Birkhäuser Boston,. pp. 337--360.
Buckdahn, R., Ma, J. (2001). Stochastic viscosity solutions for nonlinear stochastic partial differential equations. II. Stochastic Process. Appl.. Vol. 93 (2), pp. 205--228.
Buckdahn, R., Ma, J. (2001). Stochastic viscosity solutions for nonlinear stochastic partial differential equations. I. Stochastic Process. Appl.. Vol. 93 (2), pp. 181--204.
Ma, J., Yong, J. (1999). Dynamic programming for multidimensional stochastic control problems. Acta Mathematica Sinica (English Series). Vol. 15 (4), pp. 485--506.
Ma, J., Yong, J. (1999). On linear, degenerate backward stochastic partial differential equations. Probability Theory and Related Fields. Vol. 113 (2), pp. 135--170.
Ma, J., Protter, P., San-Martin, J. (1998). Anticipating integrals for a class of martingales. Bernoulli. Vol. 4 (1), pp. 81--114.
Ma, J., Yong, J. (1997). Adapted Solution of a Class of Degenerate Backward Stochastic Partial Differential Equations, with Applications. Stochastic Processes and Their Applications. Vol. 70, pp. 59-84.
Cvitanic, J., Ma, J. (1996). Hedging Options For a Large Investor and Forward-Back ward SDEs. The Ann. of Appl. Proba.. Vol. 6 (2), pp. 370--398.
Douglas, Jr., J., Ma, J., Protter, P. (1996). Numerical Methods for Forward-Backward Stochastic Differential Equations. The Annals of Applied Probability. Vol. 6 (3), pp. 940--968.
Ma, J., Duffie, D., Yong, J. (1995). Black's Console Rate Conjecture. The Ann. of Appl. Proba.. Vol. 5 (2), pp. 356--382.
Ma, J., Yong, J. (1995). Solvability of Forward-Backward SDEs and the Nodal Set of Hamilton-Jacobi-Bellman Equations. Chin. Ann. of Math.. Vol. 16B (3), pp. 279-298.
Ma, J., Protter, P., Yong, J. (1994). Solving Forward-Backward Stochastic Differential Equations Explicitly---A Four Step Scheme. Probab. Theory Relat. Fields. Vol. 98, pp. 339--359.
Ma, J. (1994). Singular Stochastic Control for Diffusions and SDE with Discontinuous Paths and Reflecting Boundary Conditions. Stochastics and Stochastics Reports. Vol. 46, pp. 161--192.
Ma, J. (1993). Discontinuous Reflection and A Class of Singular Stochastic Control Problems for Diffusions. Stochastics and Stochastics Reports. Vol. 44, pp. 225--252.
Ma, J. (1992). On the Principle of Smooth Fit for a Class of Singular Stochastic Control Problems. SIAM Journal on Control and Optimization. Vol. 4, pp. 975--999.
 

Service to the University

Administrative Appointments

Director, 08/16/2012-08/15/2013  
Director, 08/16/2008-08/15/2012  
Director, Mathematical Finance Program, 02/12/2008-05/30/2011  
 

Service to the Profession

Editorships and Editorial Boards

Associate Editor, Control, Optimization and the Calculus of Variations, 2013-  
Associate Editor, SIAM Journal on Financial Mathematics, 2010-  
Associate editor, SIAM Journal on Control and Optimization, 2006-  
Associate editor, Journal of Applied Mathematics and Stochastic Analysis, 2005-  
Associate editor, Stochastic Processes and their Applications, 2002-2009  
 
 
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