- J. Cvitanic and J. Zhang,
*Contract theory in continuous-time models*, Springer Finance. Springer, Heidelberg, 2012. - J. Zhang,
*Backward Stochastic Differential Equations -- from linear to fully nonlinear theory*, Springer, New York, 2017. - J. Zhang,
*Some fine properties of backward stochastic differential equations, with applications*, Ph.D. dissertation, Purdue University, (2001). - J. Ma, P. Protter, and J. Zhang,
*Explicit form and path regularity of martingale representations*, Levy Processes - Theory and Applications, O.E.Barndorff-Nielsen, T. Mikosch and S.I. Resnick (Eds.), Birkhauser Boston,(2001), 337-360. - J. Ma and J. Zhang,
*Path regularity of solutions to backward stochastic differential equations,*Probability Theory and Related Fields, 122 (2002), 163-190. - J. Ma and J. Zhang,
*Representation theorems for backward stochastic differential equations,*Annals of Applied Probability, 12 (2002), 1390-1418. - J. Cvitanic, J. Ma, and J. Zhang,
*Efficient computation of delta-hedges for options with discontinuous payoffs,*Mathematical Finance, 13 (2003), 135-151. - J. Zhang,
*A numerical scheme for backward stochastic differential equations,*Annals of Applied Probability, 14 (2004), 459-488. - J. Ma and J. Zhang,
*Representations and regularities for solutions to backward stochastic differential equations with reflections,*Stochastic Processes and Their Applications, 115 (2005), 539-569. - J. Zhang,
*Representation of Solutions to BSDEs Associated with a Degenerate FSDE,*Annals of Applied Probability, 15 (2005), 1798-1831. - J. Cvitanic and J. Zhang,
*The Steepest Descent Method for FBSDEs,*Electronic Journal of Probability, 10 (2005), 1468-1495. - J. Zhang,
*The Wellposedness of FBSDEs,*Discrete and Continuous Dynamical Systems-Series B, 6 (2006), 927-940. - J. Zhang,
*The Wellposedness of FBSDEs (II),*unpublished note. - J. Zhang,
*Rate of Convergence of Finite Difference Approximations for Degenerate ODEs,*Mathematics of Computation, 75 (256) (2006), 1755-1778. - J. Cvitanic, X. Wan and J. Zhang,
*Optimal contracts in continuous-time models,*Journal of Applied Mathematics and Stochastic Analysis, Volume 2006 (2006), Article ID 95203. - J. Cvitanic and J. Zhang,
*Optimal Compensation with Adverse Selection and Dynamic Actions,*Mathematics and Financial Economics, 1 (1) (2007), 21-55. - C. Bender and J. Zhang,
*Time Discretization and Markovian Iteration for Coupled FBSDEs,*Annals of Applied Probability, 18 (1) (2008), 143-177. - J. Cvitanic, X. Wan, and J. Zhang,
*Principal agent problems with exit options*, B.E. Journal of Theoretical Economics, 8 (1) (Contributions) (2008), Article 23. - J. Ma, J. Zhang and Z. Zheng,
*Weak Solutions for Forward-Backward SDEs--- A Martingale Problem Approach,*Annals of Probability, 36 (6) (2008), 2092-2125. - J. Cvitanic, X. Wan and J. Zhang,
*Continuous-Time Principal-Agent Problems with Hidden Action and Lump-Sum Payment,*Applied Mathematics and Optimization, 59 (1) (2009), 99-146. - S. Hamadene and J. Zhang,
*Switching problem and related system of reflected BSDEs,*Stochastic Processes and Their Applications, 120 (4), (2010), 403-426. - S. Hamadene and J. Zhang,
*The continuous time nonzero-sum Dynkin game problem and application in game options*, SIAM Journal of Control and Optimization, 48 (5), (2010), 3659-3669. - I. Kharroubi, J. Ma, H. Pham, and J. Zhang,
*Backward SDEs with constrained jumps and Quasi-Variational Inequalities*, Annals of Probability, 38 (2), (2010), 794-840. - M. Soner, N. Touzi and J. Zhang, ,
*Martingale representation theorem for the G-expectation*, Stochastic Processes and Their Applications, 121 (2) (2011), 265-287. - M. Soner, N. Touzi and J. Zhang, ,
*Quasi-sure Stochastic Analysis through Aggregation*, Electronic Journal of Probability, 16 (2011), 1844-1879. - J. Ma and J. Zhang,
*On weak solutions of FBSDEs*, Probability Theory and Related Fields, 151 (2011), 475-507. - M. Soner, N. Touzi and J. Zhang,
*Wellposedness of Second Order Backward SDEs*, Probability Theory and Related Fields, 153 (2012), 149-190. - J. Cvitanic, J. Ma and J. Zhang ,
*Law of Large Numbers for Self-Exciting Correlated Defaults*, Stochastic Processes and Their Applications, 122 (2012), 2781 - 2810. - J. Ma, H. Yin and J. Zhang,
*On Non-Markovian Forward Backward SDEs and Backward Stochastic PDEs*, Stochastic Processes and Their Applications, 122 (2012), no. 12, 3980-4004. - M. Soner, N. Touzi and J. Zhang ,
*Dual formulation of the second order target problems*, Annals of Applied Probability, 23 (2013), 308-347. - J. Ma, Q. Song, J. Xu, and J. Zhang,
*Optimal Portfolio Selection under Concave Price Impact*, Applied Mathematics and Optimization, 67 (2013), 353-390. - T. Pham and J. Zhang,
*Some Norm Estimates for Semimartingales*, Electronic Journal of Probability, 18 (2013), no. 109, 1-25. - I. Ekren, C. Keller, N. Touzi and J. Zhang ,
*On Viscosity Solutions of Path Dependent PDEs*, Annals of Probability, 42 (2014), 204-236. - J. Zhang and J. Zhuo,
*Monotone Schemes for Fully Nonlinear Parabolic Path Dependent PDEs*, Journal of Financial Engineering, 1 (2014) 1450005 (23 pages); DOI: 10.1142/S2345768614500056. - T. Pham and J. Zhang,
*Two Person Zero-sum Game in Weak Formulation and Path Dependent Bellman-Isaacs Equation*, SIAM Journal of Control and Optimization, 52 (2014), 2090-2121. - S. Peng, Y. Song and J. Zhang,
*A Complete Representation Theorem for G-martingales*, Stochastics, 86 (2014), 609-631. - I. Ekren, N. Touzi and J. Zhang ,
*Optimal Stopping under Nonlinear Expectation*, Stochastic Processes and Their Applications, 124 (2014), 3277-3311. - Z. Ren, N. Touzi and J. Zhang ,
*An Overview of Viscosity Solutions of Path Dependent PDEs*, Stochastic Analysis and Applications, 2014, 100 (2014), 397-453. - W. Guo, J. Zhang and J. Zhuo,
*A Monotone Scheme for High Dimensional Fully Nonlinear PDEs*, Annals of Applied Probability, 25 (2015), 1540-1580. - R. Buckdahn, J. Ma and J. Zhang,
*Pathwise Taylor Expansions for Random Fields on Multiple Dimensional Paths*, Stochastic Processes and Their Applications, 125 (2015), 2820-2855. - J. Ma, Z. Wu, D. Zhang and J. Zhang,
*On Wellposedness of Forward-Backward SDEs -- A Unified Approach*, Annals of Applied Probability, 25 (2015), 2168-2214. - M. Nutz and J. Zhang,
*Optimal Stopping under Adverse Nonlinear Expectation and Related Games*, Annals of Applied Probability, 25 (2015), 2503-2534. - J. Ma, X. Wang and J. Zhang,
*Dynamic Equilibrium Limit Order Book Model and Optimal Execution Problem*, Mathematical Control and Related Fields, 5 (2015), 557-583. - C. Keller and J. Zhang ,
*Pathwise Ito Calculus for Rough Paths and Rough PDEs with Path Dependent Coefficients*, Stochastic Processes and Their Applications, 126 (2016), 735-766 - I. Ekren, N. Touzi and J. Zhang ,
*Viscosity Solutions of Fully Nonlinear Parabolic Path Dependent PDEs: Part I*, Annals of Probability, 44 (2016), 1212-1253. - I. Ekren, N. Touzi and J. Zhang ,
*Viscosity Solutions of Fully Nonlinear Parabolic Path Dependent PDEs: Part II*, Annals of Probability, 44 (2016), 2507-2553. - J. Ma, Z. Ren, N. Touzi and J. Zhang ,
*Large Deviations for Non-Markovian Diffusions and a Path-Dependent Eikonal Equation*, Annales de l'Institut Henri Poincare, 52 (2016), 1196-1216. - I. Ekren and J. Zhang ,
*Pseudo-Markovian Viscosity Solutions of Fully Nonlinear Degenerate PPDEs*, Probability, Uncertainty and Quantitative Risk, (2016) 1:6, DOI 10.1186/s41546-016-0010-3. - J. Diehl and J. Zhang ,
*Backward Stochastic Differential Equations with Young Drift*, Probability, Uncertainty and Quantitative Risk, (2017) 2:5 DOI 10.1186/s41546-017. - Z. Ren, N. Touzi and J. Zhang ,
*Comparison of Viscosity Solutions of Fully Nonlinear Degenerate Parabolic Path-Dependent PDEs*, SIAM Journal on Mathematical Analysis, 49 (2017), 4093-4116. - C. Karnam, J. Ma and J. Zhang ,
*Dynamic Approaches for Some Time Inconsistent Problems*, Annals of Applied Probability, accepted. - Z. Ren, N. Touzi and J. Zhang ,
*Comparison of Viscosity Solutions of Semi-linear Path-Dependent PDEs*, preprint. - C. Wu and J. Zhang,
*An Elementary Proof for the Structure of Derivatives in Probability Measures*, unpublished note. - R. Buckdahn, C. Keller, J. Ma and J. Zhang,
*Pathwise Viscosity Solutions of Stochastic PDEs and Forward Path-Dependent PDEs --- A Rough Path View*, preprint. - Y. Saporito and J. Zhang,
*Stochastic Control with Delayed Information and Related Nonlinear Master Equation*, preprint.