Personal Information
Professor Supervisor of Doctorate Candidates Supervisor of Master's Candidates
Paper Publications
- [21] Tianyang NIE and Marek Rutkowski. Fair bilateral pricing under funding costs and exogenous collateralization. Mathematical Finance, 28, 621, 2018.
- [22] Tianyang Nie , Jingtao Shi and Zhen Wu. Connection between MP and DPP for stochastic recursive optimal control problems: viscosity solution framework in the general case. SIAM Journal on Control and Optimization, 55, 3258–3294, 2017.
- [23] Tianyang NIE and Marek RUTKOWSKI. A BSDE approach to fair bilateral pricing under endogenous collateralization. Finance and Stochastics, 20, 855, 2016.
- [24] Tianyang NIE , Jingtao SHI and Zhen WU. Connection between MP and DPP for stochastic recursive optimal control problems: viscosity solution framework in local case. American Control Conference, 2016.
- [25] 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.
- [26] Rainer, Buckdahn and Tianyang NIE. Generalized Hamilton-Jacobi-Bellman equations with Dirichlet boundary condition and stochastic exit time optimal control problem. SIAM Journal on Control and Optimization, 54, 602, 2016.
- [27] Tianyang NIE. Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality. SCIENCE CHINA Mathematics, 58, 729, 2015.
- [28] Tianyang NIE and Marek RUTKOWSKI. Fair bilateral prices in Bergman’s model with exogenous collateralization. International Journal of Theoretical and Applied Finance, 2015.
- [29] Tianyang NIE. A stochastic approach to a new type of parabolic variational inequalities. Stochastics: An International Journal of Probability and Stochastic Processes, 87, 477, 2015.
- [30] Lucian Maticiuc and Tianyang NIE. Fractional Backward Stochastic Differential Equations and Fractional Backward Variational Inequalities. Journal of Theoretical Probability, 28, 337, 2015.