Jin Ma

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

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

Research, Teaching, Practice, and Clinical Appointments

• Research Assistant Professor, Purdue University, 1992-1994

Visiting and Temporary Appointments

• Professor, University of Southern California, 2007-2008

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

Contracts and Grants Awarded

• Dynamical Approaches for Some Complex Stochastic Systems, (National Science Foundation), Jianfeng Zhang, Jin Ma, $320,000, 07/01/2022 – 06/30/2025
• Stochastic Analysis and Numerics for Large Scale Dynamical Systems, (National Science Foundation), Jianfeng Zhang, Jin Ma, $430,000, 07/01/2019 – 06/30/2022
• Stochastic Differential Equations and Related Topics (DMS 1106853), (National Science Foundation), Ma, Jin, $360,000, 09/15/2011 – 08/31/2017
• 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

Conference Presentations

• Set-Valued Backward SDEs and Related Set-Valued Stochastic Analysis , 9th Colloquium on BSDEs and Mean-field SystemsTalk/Oral Presentation, Universite Savoie Mont Blanc, Invited, Annecy, France, Spring 2022
• On Kyle-Back Strategic Insider Trading – The Case of Dynamic Information , The 8th Asian Quantitative Finance SeminarTalk/Oral Presentation, City Univ. of Hong Kong, Invited, Hong Kong, China, Spring 2021
• Conditional McKean-Vlasov SDEs and Applications , MS-China International Conference on Statistics and ProbabilityTalk/Oral Presentation, IMS-China, Invited, Dalian, China, Spring 2019
• Conditional McKean-Vlasov SDEs and Applications , Mathematics in the City Beautiful ConferenceTalk/Oral Presentation, University of Central Florida, Invited, Orlando, Florida, Fall 2018
• Optimal Dividend and Investment Problems under Sparre Andersen Models , The 5th Workshop in Memory of Prof. Xunjing LiTalk/Oral Presentation, Northeastern Normal University, Invited, Changchun, China, Spring 2018
• Optimal Dividend and Investment Problems under Sparre Andersen Models , Conference on Dynamic Multivariate ProgrammingTalk/Oral Presentation, Vienna University of Economics and Business, Invited, Vienna, Austria, Spring 2018
• Optimal Execution Problem under McKean-Vlasov Liquidity Dynamics , Workshop on Financial and Economic ApplicationsTalk/Oral Presentation, IMA, University of Minnesota, Invited, Minneapolis, Minnesota, Spring 2018
• Time-Consistent Conditional Expectation under Probability Distortion , Workshop on Stochastic Analysis and Related TopicsTalk/Oral Presentation, The University of Hong Kong, Invited, Hong Kong, China, Spring 2018
• Optimal Dividend and Investment Problems under Sparre Andersen Models , 1st Gran Sasso Workshop in Mathematical FinanceTalk/Oral Presentation, Gran Sasso Science Institute, Invited, L’Aquila, Italy, Fall 2017
• Time-Consistent Approaches for Time-Inconsistent Problems , 2nd Paris-Asia Confrence in Quantitative FinanceTalk/Oral Presentation, Suzhou University, Invited, Suzhou, China, Spring 2017
• Time-Consistent Approaches for Time-Inconsistent Problems , International Workshop on BSDEs/BSPDEs and ApplicationsTalk/Oral Presentation, University of Edinburgh, Invited, Edinburgh, Scotland, Spring 2017
• Dynamic Approaches for Time-inconsistent Optimization Problems , SIAM Conference on Financial Mathematics & EngineeringTalk/Oral Presentation, SIAM, Invited, Austin, Texas, Fall 2016
• Dynamic Approaches for Time-inconsistent Optimization Problems , 9th World Congress of the Bachelier Finance SocietyKeynote Lecture, Bachelier Finance Society, Invited, New York, New York, Spring 2016
• Optimal Dividend and Investment Problems under Sparre Andersen Models , 9th Conference in Actuarial Sciences and FinanceTalk/Oral Presentation, University of the Aegean, Invited, Samos, Greece, Spring 2016
• Conditional Mean-field SDEs and Related Mean-field Stochastic Optimization Problems , Probability, Uncertainty, and Quantitative RiskTalk/Oral Presentation, Shandong University, Invited, Weihai, China, Spring 2015
• Conditional Mean-field SDEs and Some Mean-field Stochastic Optimization Problems , IMS-China International Conference on Statistics and ProbabilityTalk/Oral Presentation, Yunnan University, Invited, Kunming, China, Spring 2015
• Conditional Mean-field SDEs and Some Mean-field Stochastic Optimization Problems , Stochastic Analysis, Controlled Systems, and ApplicationsTalk/Oral Presentation, Friedrich-Schiller-Universitat , Invited, Jena, Germany, Spring 2015
• Dynamic Equilibrium Limit Order Book Model and Optimal Execution Problem , Workshop on Mathematics of HF Financial MarketsTalk/Oral Presentation, IPAM, UCLA, Invited, Los Angeles, Spring 2015
• Mean-field Stochastic Control Problems with partial Observations , 7th International Symposium on Backward SDEsTalk/Oral Presentation, Shandong University, Invited, Weihai, China, Spring 2014
• Pathwise Taylor Expansions for Random Fields , Nonlinear Expectation, Knightian Uncertainty, and Related TopicsTalk/Oral Presentation, National University of Singapore, Invited, Singapore, Spring 2013
• Viscosity Solutions for Forward Stochastic PDEs and Path-Dependent PDEs , International Conference on Statistics and ProbabilityTalk/Oral Presentation, IMS-SWUFE, Invited, Chengdu, China, Spring 2013
• Viscosity Solutions for Forward Stochastic PDEs and Path-Dependent PDEs , Workshop on New Developments in Statistics and ProbabilityTalk/Oral Presentation, AMSS, Invited, Beijing, China, Spring 2013
• Viscosity Solutions for Forward Stochastic PDEs and Path-Dependent PDEs , Control Theory Workshop — in Memory of Professor Xunjing LiTalk/Oral Presentation, Fudan University, Invited, Shanghai, China, Spring 2013
• Viscosity Solutions for Stochastic PDEs and Forward Path-Dependent PDEs , 36th SPA Conference, Special Session on Stochastic ControlTalk/Oral Presentation, University of Colorado, Invited, Boulder, Colorado, Spring 2013
• Pathwise Stochastic Taylor Expansions and Forward Path Dependent PDEs , Workshop on Analysis and Control of Stochastic PDEsTalk/Oral Presentation, Fudan University, Invited, Shanghai, China, Fall 2012
• FBSDEs with Discontinuous Coefficients and Regime Switching Term Structure Models , Third Workshop in Memory of Professor Xunjing LiTalk/Oral Presentation, Shandong University, Invited, Qingdao, China, Spring 2012
• Ruin Problems under Model Uncertainty , Spring School on Stochastic Analysis in FinanceTalk/Oral Presentation, Invited, Roscoff, France, Spring 2012
• Stochastic Differential Equations Driven by fBM and Poisson Point Processes , International Conference on Controlled Deterministic and Stochastic SystemsTalk/Oral Presentation, University of Iasi, Romania, Invited, Iasi, Romania, Spring 2012
• Dynamic Equilibrium Limit Order Book Model and Optimal Execution Problem , Workshop on Stochastic Modeling and Applications Talk/Oral Presentation, AMSS , Invited, Beijing, Spring 2011
• Dynamic Equilibrium Limit Order Book Model and Optimal Execution Problem , Stochastic Analysis in Finance and InsuranceTalk/Oral Presentation, Univerisity of Michigan, Invited, Ann Arbor, Michigan, Spring 2011
• Dynamic Equilibrium Limit Order Book Model and Optimal Execution Problem , Workshop on Topics in Stochastic ControlTalk/Oral Presentation, Politecnico di Milano, Invited, Milan, Italy, Spring 2011
• Law of Large Numbers for Self-Exciting Correlated Defaults , Stochastic Analysis in Finance and InsuranceTalk/Oral Presentation, Mathematisches Forschungsinstitut Oberwolfach, Invited, Oberwolfach, Germany, Spring 2011
• Law of Large Numbers for Self-Exciting Correlated Defaults , SIAM Conference on Financial Mathematics & EngineeringTalk/Oral Presentation, SIAM, Invited, San Francisco, Fall 2010
• Recent Developments on Non-Markovian Forwrad-Backward SDEs , Southern California Probability SymposiumLecture/Seminar, IPAM, Invited, UCLA, Fall 2010
• An Impulse Control Problem with Sublinear Transaction Costs , International Conference on Mathematical Control TheoryTalk/Oral Presentation, Chinese Academy of Sciences, Invited, Beijing, China, Spring 2009
• Law of Large Numbers for Self-Exciting Correlated Defaults , IMS International Conference on Statistics and ProbabilityTalk/Oral Presentation, IMS, Invited, Weihai, China, Spring 2009
• Impulse Control and Optimal Portfolio Selection with General Transaction Costs , 2nd Western Conference in Mathematical FinanceTalk/Oral Presentation, UT Austin, Invited, Austin, Taxas, Fall 2008
• Variant Reflected Backward SDEs and Applications , 5th Colloquium on BSDEs, Finance and ApplicationsTalk/Oral Presentation, Invited, Le Mans, France, Spring 2008
• Weak Solutions of Forward-Backward Stochastic Differential Equations , Conference of Stochastic Processes and Their Applications, Special session on Stochastic EquationsTalk/Oral Presentation, Invited, Urbana-Champaign, Illinois, Fall 2007
• Forward-Backward Martingale Problem and Weak Solutions of FBSDEs , 2nd Workshop on “Stochastic Equations and Related Topics”Talk/Oral Presentation, Invited, Jena, Germany, Spring 2006
• UVL Insurance Pricing Problems and Systems of Partial Differential-Difference Equations , International Workshop on Finance and InsuranceTalk/Oral Presentation, Invited, Lijiang, China, Spring 2006
• Stochastic Control Problems for Systems driven by Normal Martingales , International Conference on Mathematical FinanceTalk/Oral Presentation, Invited, University of Wisconsin at Milwaukee, Fall 2005
• Weak Solutions for Forward-Backward SDEs—A Martingale Problem Approach , Conference on Martingales, Stochastic Analysis, and Potential TheoryTalk/Oral Presentation, University of Florida, Invited, Gainsville, Florida, Fall 2005
• Indifference Pricing of Universal Variable Life Insurance , Workshop on Control of Distributed Parameter and Stochastic systemsTalk/Oral Presentation, Fudan University, Invited, Shanghai, China, Spring 2005
• Weak Solutions of Forward-Backward Stochastic Differential Equations , Fourth International Conference on Backward Stochastic Differential EquationsTalk/Oral Presentation, Invited, Shanghai, China, Spring 2005
• Optimal Reinsurance/Investment for General Insurance Models , International Workshop on Mathematical Finance and InsuranceTalk/Oral Presentation, Invited, Yellow Mountain, China, Spring 2004
• Stochastic Viscosity Solutions and Pathwise Stocashastic Control Problems , International Symposium on Stochastic Control and Mathematical FinanceTalk/Oral Presentation, Invited, Osaka, Japan, Fall 2003
• Pathwise Stochastic Control Problems and Stochastic HJB Equations , Workshop on Mathematical Finance and InsuranceTalk/Oral Presentation, Invited, Snowbird,Utah, Spring 2003
• Nonlinear Feynman-Kac Formula and Backward SDEs , 7th Symposium of Probability and Stochastic ProcessesTalk/Oral Presentation, Invited, Mexico City, Mexico, Spring 2002
• Sharp Bounds of Ruin Probabilities for Insurance Models , International Conference on Mathematical FinanceTalk/Oral Presentation, Invited, Shanghai, China, Spring 2001
• Some Fine Properties of Solutions for Backward SDEs , AMS Annual Meeting, Special Session on Stochastic Analysis and ApplicationsTalk/Oral Presentation, AMS, Invited, New Orleans, Spring 2001
• Large Deviation Results for Forward-Backward SDE’s , NSF-INRIA fourth meeting in Stochastic Numerical AnalysisTalk/Oral Presentation, NSF and INRIA, Invited, Paris, France, 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, AMS and SMM, Invited, Denton, Texas, Spring 1999
• Large Deviation and Rare Event Simulation for Forward-Backward SDEs , Conference on Control of Distributed Parameter and Stochastic SystemsTalk/Oral Presentation, Invited, Hangzhou, China, Spring 1998
• Reflected Forward-Backward SDEs and Applilcations , AMS annual meetingTalk/Oral Presentation, AMS, Invited, Detroit, Michigan, Spring 1997
• Adapted Solution of Degenerate Backward SPDEs and Applications , AMS annual meetingTalk/Oral Presentation, AMS, Invited, Orlando, Florida, Spring 1996
• On Linear Degenerate Backward Stochastic PDE’s , AMS-INRIA Second Joint Meeting on Stochastic NumericsTalk/Oral Presentation, AMS, INRIA, Invited, Sophia-Antipolis, France, Spring 1996
• Anticipating Integrals for Normal Martingales , Second joint meeting of the AMS and SMMTalk/Oral Presentation, AMS and SMM, Invited, Guanajuato, Moxico, Fall 1995
• Forward-Backward Stochastic Differential Equations and their Applications in Finance , 34th IEEE Conference on Decision and ControlTalk/Oral Presentation, Invited, New Orleans, Louisiana, Fall 1995
• Forward-Backward Stochastic Differential Equations and Applications , AMS nnual meetingTalk/Oral Presentation, AMS, Invited, Cincinnati, Ohio, Spring 1994
• Large Investor Models and Forward-Backward Stochastic Differential Equations , IMS regional meeting, Talk/Oral Presentation, IMS, Invited, Cleveland, Ohio, Spring 1994

Other Presentations

• On Conditional McKean-Vlasov SDEs and Related Problems, Webinar, Linnaeus, Sweden, 2020-2021
• Set-Valued Backward SDEs and Related Issues in Set-Valued Stochastic Analysis, Stochastic Analysis and Mathematical Finance Seminar, Oxford, UK, 2020-2021
• On Set-Valued Backward SDEs and Related Issues in Set-Valued Stochastic Analysis, Probability and Math Finance Seminar, Berlin, Germany, 2020-2021
• Conditional McKean-Vlasov SDEs and Related Stochastic Optimization Problems, Department of Applied Mathematics Colloquium, Chicago, 2018-2019
• Optimal Dividend and Investment Problems under Sparre Andersen Models, Math Finance Seminar, Department of Mathematics, New York, New York, 2017-2018
• Conditional Mean-field SDEs and Applications in Stochastic Optimization Problems, Probability Seminar, Department of Mathematics, West Lafayette, Indiana, 2016-2017
• Dynamic Approaches for Time-inconsistent Optimization Problems, Department of Mathematics Colloquium, Orlando, Florida, 2015-2016
• Continous Time Kyle-Back Strategic Insider Trading Equilibrium Problems, School of Mathematical Science Colloquium, Tianjin, China, 2014-2015
• Continous Time Kyle-Back Strategic Insider Trading Equilibrium Problems, School of Mathematical Science Colloquium, Tianjin, China, 2014-2015
• Mean-field Stochastic Control Problems with partial Observations, Department of Math Colloquium, Detroit, 2013-2014
• Viscosity Solutions for Stochastic PDEs and Forward Path-Dependent PDEs, Probability Seminar, Irvine, 2013-2014
• Viscosity Solutions for Stochastic PDEs and Forward Path-Dependent PDEs, Department of Math Colloquium, Tellahasseee, 2013-2014
• Model Uncertainty in Insurance Problems, Math Department Colloquium, Shanghai, China, 2012-2013
• Pathwise Stochastic Taylor Expansions and Forward Path Dependent PDEs, Finantial Mathematics Seminar, Ann Arbor, Michigan, 2012-2013
• Dynamic Equilibrium Limit Order Book Model and Optimal Execution Problem, Department Colloquium, Tianjin, China, 2012-2013
• Pathwise Stochastic Taylor Expansions and Forward Path Dependent PDEs, Mathematical Finance Seminar, New York, 2012-2013
• Ruin Problems under Model Uncertainty, Probability and Computational Finance Seminar, Pittsburgh , 2011-2012
• Ruin Problems under Model Uncertainty, Probability Seminar, Chicago, 2011-2012
• Stochastic Differential Equations Driven by fBM and Poisson Point Processes, Colloquium, Jinan, China, 2011-2012
• Dynamic Equilibrium Limit Order Book Model and Optimal Execution Problem, colloquium, Atlanta, Georgia, 2011-2012
• Ruin Problems under Model Uncertainty, Seminar, Atlanta, Georgia, 2011-2012
• Finance, Insurance, and Mathematics, colloquium, Tianjin, China, 2010-2011
• Finance, Insurance, and Stochastic Control, Spring School on Stochastic Control in Finance (Mini Course), Roscoff, France, 2009-2010
• Backward Stochastic Differential Equations, with Financial Applications, Probability Seminar (Mini Course), Taipei, 2009-2010
• Backward Stochastic Differential Equations with Financial Applications, 2nd SMAI European Summer School in Financial Mathematics (Mini Course), Paris, France, 2009-2010
• Quadratic Nonlinear Expectations and Convex Risk Measures, Seminar, Brest, France, 2006-2007
• Representation of Quadratic Risk Measures , Seminar, Chicago, 2006-2007
• Backward and Forward-Backward Stochastic Differential Equations—Old and New, Mini Course, Taipei, Taiwan, 2006-2007
• A Class of New Stochastic Control Problems for Systems with Jumps, Seminar, Seattle, 2005-2006
• Stochastic Analysis in Actuarial Problems, Colloquium, Vancouver, Canada, 2005-2006
• Stochastic Analysis in Actuarial Problems—A Mini-course, International Summer School of Statistics in Finance, Beijing, China, 2003-2004
• Jump-Diffusion Models with Power Exponential Distributions, Colloquium, Brest, France, 2001-2002
• Path Regularity of Backward SDEs, Colloquium, Rennes, France, 2000-2001
• Backward and Forward-Backward stochastic Differential Equations– An Overview, Mini-course for 22nd Midwest Probability Colloquium, Chicago, 2000-2001
• Some New Results on Backward Stochastic Differential Equations, colloquium, Los Angeles, 1999-2000
• Stochastic Viscosity Solutions for Nonlinear Stochastic PDEs, BENESFEST, A Day of Stochastic Control in honor of Dr Vaclav E. Benes on his 70th Birthday, New York City, 1999-2000
• Theory of Backward Stochastic Differential Equations, colloquium, Cincinnati, 1999-2000
• Backward Stochastic PDEs and Applications, Seminar, Paris, France, 1996-1997
• On Degenerate, Linear Backward Stochastic Differential Equations, Seminar, Clermont-Ferrand, France, 1996-1997

Book

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

Book Chapters

• Ma, J., Noh, E. (2022). Equilibrium Model of Limit Order Books – A Mean-field Game View. Stochastic Analysis, Filtering, and Stochastic Opt Springer.

Journal Article

• Ma, J., Wang, G., Zhang, J. (2024). On Convergence Analysis of Policy Iteration Algorithms for Entropy-Regularized Stochastic Control Problems.
• Almuzaini, A., Ma, J. (2024). Set-Valued Stochastic Differential Equations with Unbounded Coefficients.
• Ararat, C., Ma, J., Wu, W. (2023). Set-Valued Backward Stochastic Differential Equations. The Annals of Applied Probability. Vol. Vol 33 (no. 5), pp. 3418-3448.
• Bai, L., Gamage, T., Ma, J., Xie, P. (2023). Reinforcement Learning for optimal dividend problem under diffusion model. SIAM Journal on Control and Optimization.
• Ararat, C., Ma, J. (2023). Path-Regularity and Martingale Properties of Set-Valued Stochastic Integrals. Transaction of AMS.
• Buckdahn, R., Li, J., Ma, J. (2023). A General Conditional McKean-Vlasov Stochastic Differential Equation. The Annals of Applied Probability. Vol. Vol 33 (no. 3), pp. 2004-2023.
• Ma, J., Tan, Y. (2022). A Generalized Kyle-Back Strategic Insider Trading Model with Dynamic Information. SIAM Journal on Control and Optimization.
• Bai, L., Ma, J. (2021). On Optimal Dividend and Investment Strategy under Renewal Risk Model. SIAM Journal on Control and Optimization. Vol. Vol. 59 (no. 6), pp. 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., Zhou, Y. (2018). Kyle-Back Equilibrium Models and Linear Conditional Mean-field SDEs. SIAM Journal on Control and Optimization. Vol. 56 (no. 2), pp. 1154 -1180.
• Chen, J., Ma, J., Yin, H. (2017). Forward-backward SDEs with Dicontinuous Coefficients. Stochastic Analysis and Applications. Vol. 36 (no. 2), pp. 274-294.
• Karnam, C., Ma, J., Zhang, J. (2017). Dynamic Approaches for Some Time Inconsistent Problems. Annals of Applied Probability. Vol. 27 (no. 6), pp. 3435-3477.
• Bai, L., Ma, J., Xing, X. (2017). Optimal Dividend and Investment Problems under Sparrer-Andersen Model. Annals of Applied Probability. Vol. 27 (no. 6), pp. 3588-3632.
• Buckdahn, R., Li, J., Ma, J. (2017). A Mean-field Stochastic Control Problem with Partial Observations. Annals of Applied Probability. Vol. 27 (no. 5), pp. 3201-3245.
• Buckdahn, R., Li, J., Ma, J. (2016). A Stochastic Maximum Principle for General Mean-field Systems. Applied Mathematics and Optimization. Vol. 74 (no. 3), pp. 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 Boincare, Probab. Stat.. Vol. 52 (no. 3), pp. 1196-1216.
• Ma, J., Wang, X., Zhang, J. (2015). Dynamic Equilibrium Models for Limit Order Book and Optimal Execution Problems. Mathematical Control and Related Fields. Vol. 5 (no. 3), pp. 557-583.
• Buckdahn, R., Ma, J., Zhang, J. (2015). Pathwise Taylor Expansions for Random Fields on Multi-dimensional Paths. Stochastic Processes and Their Applications. Vol. 125 (no. 7), pp. 2820-2855.
• Ma, J., Wu, Z., Zhang, D., Zhang, J. (2015). On Wellposedness of Forward-Backward SDEs — A Unified Approach. The Annals of Applied Probability. Vol. 25 (no. 4), pp. 2168-2214.
• Bai, L., Ma, J. (2015). Stochastic differential equations driven by fractional Brownian motion and Poisson point process. Bernoulli. Vol. 21 (no. 1), pp. 303-334.
• 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.
• 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.
• 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., Zhang, J. (2011). On Weak Solutions of Forward-Backward Stochastic Differential Equations. Probab. Theory Relat. Fields. Vol. 151 (no. 3-4), pp. 475–507.
• 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.

Proceedings

• 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..

Administrative Appointments

• Director, 08/16/2021 – 08/15/2022
• Director, 08/16/2020 – 08/15/2021
• Director, 08/16/2019 – 08/15/2020
• Director, 08/16/2018 – 08/15/2019
• Director, 08/16/2017 – 08/15/2018
• Director, 08/16/2014 – 08/15/2017
• Director, 08/16/2013 – 08/15/2014
• Director, 08/16/2012 – 08/15/2013
• Director, 08/16/2008 – 08/15/2012
• Director, 02/12/2008 – 05/30/2011

Editorships and Editorial Boards

• Associate Editor, Probability, Uncertainty and Quantitative Risk, 2016 –
• Associate Editor, Control, Optimization and the Calculus of Variations, 2013 –
• Associate editor, SIAM Journal on Control and Optimization, 2006 –
• Associate editor, International Journal of Stochastic Analysis, 2005 –
• Associate Editor, SIAM Journal on Financial Mathematics, 2010 – 2017
• Associate editor, Stochastic Processes and their Applications, 2002 – 2009