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Professor Supervisor of Doctorate Candidates Supervisor of Master's Candidates

Paper Publications

[11] Tianyang NIE , Falei WANG and Zhiyong YU. Maximum principle for general partial information nonzero sum stochastic differential games and a.... Dynamic Games and Applications, 12, 608–631, 2022.
[12] Tianyang NIE and Marek Rutkowski. Reﬂected and doubly reﬂected BSDEs driven by RCLL martingales. Stochastics and Dynamics, 22, 1-34, 2022.
[13] Tinayang NIE and Marek Rutkowski. Existence, uniqueness and strict comparison theorems for BSDEs driven by RCLL martingales. Probability, Uncertainty and Quantitative Risk, 6, 319-342, 2021.
[14] Edward KIM , Tianyang NIE and Marek RUTKOWSKI. American options in nonlinear markets. ELECTRONIC JOURNAL OF PROBABILITY, 26, 2021.
[15] Ying Hu , Jianhui Huang and Tianyang Nie. Linear-quadratic-Gaussian mixed mean-field games with heterogeneous input constraints. SIAM Journal on Control and Optimization, 56, 2018.
[16] Tianyang NIE and Marek Rutkowski. Fair bilateral pricing under funding costs and exogenous collateralization. Mathematical Finance, 28, 621, 2018.
[17] Tianyang Nie , Jingtao Shi and Zhen Wu. Connection between MP and DPP for stochastic recursive optimal control problems: viscosity soluti.... SIAM Journal on Control and Optimization, 55, 3258–3294, 2017.
[18] Tianyang NIE and Marek RUTKOWSKI. A BSDE approach to fair bilateral pricing under endogenous collateralization. Finance and Stochastics, 20, 855, 2016.
[19] Tianyang NIE , Jingtao SHI and Zhen WU. Connection between MP and DPP for stochastic recursive optimal control problems: viscosity soluti.... American Control Conference, 2016.
[20] Tianyang NIE and Marek RUTKOWSKI. BSDEs Driven by Multidimensional Martingales and Their Applications to Markets with Funding Costs. Theory of Probability and Its Applications, 60, 604, 2016.

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