Publications

Book

Ma, Jin and Yong, Jiongmin (1999)

Forward-Backward Stochastic Differential Equations and their Applications

Lecture Notes in Mathematics (1702), Springer-Verlag, Berlin

Submitted Papers

• Ma, J. and Tan, Y. (2023), A Generalized Kyle-Back Strategic Insider Trading Model with Dynamic Information, submitted

Papers in Press

• Ararat, C., Ma, J., Wu, W. (2023), Set-Valued Backward Stochastic Differential Equations. Annals of Applied Probability, to appear.
• Buckdahn, R., Li, J., Ma, J. (2023), A General Conditional McKean-Vlasov Stochastic Differential Equation. Annals of Applied Probability, to appear.

Selected Papers in Journals

• Ma, J. and Noh, E. (2022), Equilibrium model of limit order books: a mean-field game view. Stochastic analysis, filtering, and stochastic optimization, 381–410, Springer, Cham, [2022], ©2022.
• Bai, L. and Ma, J. (2021), Optimal investment and dividend strategy under renewal risk model. SIAM J. Control Optim. 59, no. 6, 4590–4614.
• Ma, J., Wong, T. L., Zhang, J. (2021), Time-Consistent Conditional Expectation under Probability Distortion. Mathematics of Operations Research. Vol. 12 (15), pp. 1-32.
• Buckdahn, R., Keller, C., Ma, J., Zhang, J. (2020), Fully Nonlinear Stochastic and Rough PDEs: Classical and Viscosity Solutions. Probability, Uncertainty, and Quantative Risk. Vol. 5 (7), pp. 1-59.
• Ma, J., Sun, R., and Zhou, Y. (2018), Kyle-Back Equilibrium Models and Linear Conditional Mean-field SDEs. SIAM J. Control Optim. 56, no. 2, 1154-1180.
• Chen, J., Ma, J., Yin, H. (2018), Forward-backward SDEs with Dicontinuous Coefficients. Stoch. Anal. Appl. 36, no. 2, 274-294. 
  
• Bai, L., Ma, J., Xing, X. (2017), Optimal Dividend and Investment Problems under Sparrer-Andersen Model. Annals of Applied Probability, 27, no.6, 3588-3632.
• Karnam, C., Ma, J., Zhang, J. (2017), Dynamic Approaches for Some Time Inconsistent Optimization Problems. Annals of Applied Probability, 27, no.6, 3435-3477.
• Buckdahn, R., Li, J., and Ma, J. (2017), A Mean-field Stochastic Control Problem with Partial Observations. Annals of Applied Probability, 27, no.5, 3201-3245.
• Buckdahn, R., Li, J., Ma, J. (2016). A Stochastic Maximum Principle for General Mean-field Systems. Applied Mathematics and Optimization. 74, no.3, 507-534.
• Ma, J., Ren, Z., Touzi, N., Zhang, J. (2016). Large Deviation for Non-Markovian Diffusions and a Path-dependent Eikonal Equation. Annales de l’institut Henri Poincare, Probab. Stat. Vol. 52 (no. 3), pp. 1196-1216.
• Buckdahn, R., Ma, J., Zhang, J. (2015). Pathwise Taylor Expansions for Random Fields on Multi-dimensional Paths. Stochastic Process. Appl. 125, no. 7, 2820–2855.
• Ma, J., Wang, X., Zhang, J. (2015). Dynamic Equilibrium Models for Limit Order Book and Optimal Execution Problems. Math. Control Relat. Fields 5, no. 3, 557–583.
• Ma, J., Wu, Z., Zhang, D., Zhang, J. (2015). On Wellposedness of Forward-Backward SDEs — A Unified Approach. Ann. Appl. Probab. 25, no. 4, 2168–2214.
• Bai, L., Ma, J. (2015). Stochastic differential equations driven by fractional Brownian motion and Poisson point process. Bernoulli 21, no. 1, 303–334.
• Ma, J., Song, Q., Xu, J., Zhang, J. (2013). Optimal Portfolio Selection Under Concave Price Impact. Appl. Math. Optim. 67, no. 3, 353–390.
• Ma, J., Yin, H., Zhang, J. (2012). On Non-Markovian Forward Backward SDEs and Backward Stochastic PDEs. Stochastic Process. Appl. 122, no. 12, 3980–4004.
• Cvitanic, J., Ma, J., Zhang, J. (2012). Law of Large Numbers for Self-Exciting Correlated Defaults. Stochastic Process. Appl. 122, no. 8, 2781–2810.
• Buchdahn, R., Bulla, I., Ma, J. (2011). Pathwise Taylor Expansions for Ito Type Random Fields. Math. Control Relat. Fields 1, no. 4, 437–468.
• Ma, J., Zhang, J. (2011). On Weak Solutions of Forward-Backward Stochastic Differential Equations. Probab. Theory Related Fields 151, no. 3-4, 475–507.
• Figueroa-Lopez, E., Ma, J. (2010). Optimal portfolios in Lévy markets under state-dependent bounded utility functions. Int. J. Stoch. Anal., Art. ID 236587, 27 pp.
• Ma, J., Yao, S. (2010). Quadratic g-Expectations and the Associated Doob-Meyer Decompostion. Stoch. Anal. Appl. 28, no. 4, 711–734.
• Kharroubi, I., Ma, J., Pham, H., Zhang, J. (2010). Backward SDEs with constrained jumps and quasi-variational inequalities. Ann. Probab. 38, no. 2, 794–840.
• Ma, J., Yong, J., Zhao, Y. (2010). General Forward-Backward Stochastic Differential Equations of Markovian Type. J. Syst. Sci. Complex. 23, no. 3, 546–571.
• Ma, J., Yun, Y. (2010). Correlated intensity, counter party risks, and dependent mortalities. Insurance Math. Econom. 47, no. 3, 337–351.
• Jien, Y. and Ma, J. (2009). Stochastic Differential Equations Driven by Fractional Brownian Motions. Bernoulli. Vol. 15 (3), pp. 846-870.
• Liu, Y., Ma, J. (2009). Optimal Reinsurance/Investment for General Insurance Models. The Annals of Applied Probability. Vol. 19 (4), pp. 1495–1528.
• Ma, J. and 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.
• Buckdahn, R. and 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.
• Buckdahn, R. and Ma, J. (2007),  Pathwise Stochastic Control Problems and Stochastic HJB Equations,  SIAM Journal on Control and Optimizations, Vol. 45, no.6; 2224-2256.
• Ma, J. and Yuhua Y., (2006), Principle of Equivalent Utility and Universal Variable Life Insurance, Scandinavian Actuarial Journal. Vol. 2006 (6), pp. 311–337.
• Ma, J., and Zhang, J. (2005), Representation and Path Regularities for Solution to BSDE’s with Reflections, Stochastic Processes and their Applications, Vol. 115, no. 4; 539 – 569.
•  Hu, Y., and Ma, J. (2004), Nonlinear Feynman-Kac Formula and Discrete Functional-type BSDEs with Continuous Coefficients, Stochastic Processes and their Applications, Vol. 112,  no.1; 23-51.
•  Galea, M., Ma, J., and Torres, S. (2003), Price Calculation for Jump-Diffusion Models Involving Power Exponential Distributions. Stochastic models (Mexico City, 2002), 137–160, Contemp. Math., 336, Amer. Math. Soc., Providence, RI, 2003.
•  Ma, J., and Sun, X. (2003), Ruin Probability for Insurance Models Involving Investments.  Scandinavian Actuarial Journal,  No. 3; 217-237.
• Antonelli, F., and Ma, J. (2003), Weak Solutions of Forward-Backward SDE’s. Stochastic  Analysis and Applications,  Vol. 21, No. 3;  493-514.
• Buckdahn, R., and Ma, J. (2002),  Pathwise Stochastic Taylor Expansions and Stochastic Viscosity Solutions for Fully Nonlinear Stochastic PDEs. Annals of Probability, Vol. 30, No. 3; 1131-1171.
• Cvitanic, J., Ma., J, and Zhang, J. (2002), Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs. Mathematical Finance, Vol. 13,  No.1; 131-151.
• Hu, Y., Ma, J., and Yong, J. (2002), On Semi-linear Degenerate Backward Stochastic Partial Differential Equations. Probability Theory and Related Fields, 123, No. 3; 381-411.
• Ma, J., and Zhang, J. (2002), Representation Theorems for Backward StochasticDifferential Equations. Annals of Applied Probability,  Vol. 12 No. 4; 1390-1418.
• Ma, J., and Zhang, J. (2002), Path Regularity for Solutions of Backward SDE’s. Probability Theory and Related Fields, 122; 163-190.
• Ma, J., and Yong, J. (2002), Approximate Solvability of Forward-Backward Stochastic Differential Equations. Applied Mathematics & Optimization, 45; 1-22.
• Ma, J., Protter, P., San Martin, J., and Torres, S. (2002), Numerical Method for Backward SDE’s.  Annals of Applied Probability, 12 (1); 302-316.
• Buckdahn, R., and Ma, J. (2001), Stochastic Viscosity Solutions for Nonlinear Stochastic Partial Differential Equations, Part II. Stochastic Processes and their Applications, 93; 205-228.
• Buckdahn, R., and Ma, J. (2001), Stochastic Viscosity Solutions for Nonlinear Stochastic Partial Differential Equations, Part I. Stochastic Processes and their Applications, 93; 181-204.
• Cvitanic, J., and Ma, J. (2001), Reflected Forward-Backward SDE’s and Obstacle Problems with Boundary Conditions. Journal of Applied Mathematics and Stochastic Analysis, 14 (2); 113-138.
• Ma, J., Protter, P., and Zhang, J. (2001),  Explicit Form and Path Regularity of Martingale Representations. Lévy Processes, Theory and Applications, O. Barndorff-Nielsen, T. Mikosch, S. Resnick, eds., Birkhauser, 339-362.
• Ma, J., and Yong, J. (1999), Dynamic Programming for Multidimensional Stochastic Control Problems.  Acta Mathematica Sinica, 15(4); 485-506.
•  Ma, J., and Zajic, T. (1999), Rough Asymptotics of Forward-Backward SDE’s, “Control of Distributed Parameter and Stochastic Systems,” (S. Chen, X. Li, J. Yong, X. Zhou, eds.), Kluwer, Academic Publishers, 239-246.
• Ma, J., and Yong, J. (1999),  On Linear Degenerate Backward Stochastic PDE’s. Probability Theory and Related Fields, 113; 135-170.
•  Ma, J., Protter, P., and San Martin, J. (1998), Anticipating Integrals for a Class of Martingales. Bernoulli, 4(1); 81-114.
• Ma, J., and Yong, J. (1997), Adapted Solution of a Degenerate Backward Stochastic PDE,  with Applications.  Stochastic Processes and Their Applications, 70(1);  59-84.
• Douglas, Jr., J., Ma, J., and Protter, P. (1996), Numerical Method for Forward-Backward Stochastic Differential Equations.  The Annals of Applied Probability,  6(3); 940-968.
• Cvitanic, J., and Ma, J. (1996), Hedging Options for a Large Investor and Forward-Backward SDEs. The Annals of Applied Probability, 6(2); 370-398.
• Ma, J., and Yong, J. (1995),  Solvability of Forward-Backward SDEs and the Nodal Set of Hamilton-Jacobi-Bellman Equations.  Chinese Annals of Mathematics, 16B(3); 279-298.
•  Duffie, D., Ma, J., and Yong, J. (1995), Black’s Consol Rate Conjecture. The Annals of Applied Probability, 5(2); 356-382.
• Ma, J., Protter, P., and Yong, J. (1994), Solving Forward-Backward Stochastic Differential Equations Explicitly-A Four Step Scheme.  Probability Theory and Related Fields, 98; 339-359.
• Ma, J. (1994), Singular Stochastic Control for Diffusions and SDE with Discontinuous  Paths and Reflecting Boundary Conditions. Stochastics and Stochastics Reports, 46; 161-192.
• Ma, J. (1993), Discontinuous Reflection and A Class of Singular Stochastic Control Problems for Diffusions. Stochastics and Stochastics Reports, 44; 225-252.
• Ma, J. (1992), On the Principle of Smooth Fit for a Class of Singular Stochastic Control Problems. Society of Industrial and Applied Mathematics Journal on Control and Optimization, 30(4); 975-999.