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List of Publications
1) Papers in
Journals with Refereeing:
[1] R.B.; H.-J.Engelbert : Randomized
stopping times. Doob's optional theorem and optimal stopping,
Math. Nachr. 115, pp. 237 – 247 (1984) ;
[2] R.B.: A
regularity condition for non-Markovian solutions of stochastic
differential equa- tions in the plane, Math. Nachr. 149, pp. 125 – 132 (1990).
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[3] R.B.: Anticipative
Girsanov transformations,
Probab. Theory Relat. Fields 89, N.2, pp. 211 – 238 (1991) ;
[4] R.B.: Linear
Skorohod stochastic differential equations,
Probab. Theory Relat. Fields 90, N.2, pp. 223 – 240 (1991) ;
[5] R.B.: Skorohod
stochastic differential equations of diffusion type,
Probab. Theory Relat. Fields 93, N.3, pp. 297 – 323 (1992) ;
[6] R.B.; H.Föllmer : A
conditional approach to the anticipating Girsanov transformation, Probab. Theory Relat. Fields 95, pp. 311 – 330 (1993) ;
[7] R.B.; D.Nualart : Skorohod
Stochastic Differential Equations with Boundary Conditions, Stochastics and Stochastics Reports, Vol. 45, pp. 211 – 235
(1993) ;
[8] R.B.; D.Nualart : Linear
stochastic differential equations and Wick products,
Probab. Theory Relat. Fields 99, pp. 501 – 526 (1994)
[9] R.B.: Anticipative
Girsanov Transformations and Skorohod Stochastic Differential Equations,
Memoirs of the AMS, Vol. 111, N.533, 88 pages, 1994.
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[10] G.Barles;
R.B.; E.Pardoux : BSDEs
and integral-partial differential equations,
Stochastics and Stochastics Reports, Vol. 60, pp. 57 – 83
(1997) ;
[11] R.B.; P.Malliavin; D.Nualart : Multidimensional
linear stochastic differential equations in the Skorohod sense,
Stochastics and Stochastics Reports, Vol. 62, pp. 117 – 145
(1997) ;
[12] R.B.;
M.Quincampoix; A.Răşcanu : Propriété
de viabilité pour des équations différentielles stochastiques
rétrogrades et applications à des
équations aux dérivées partielles,
C.R.A.S. Paris, t.325, Série I, pp. 1159 – 1162 (1997)
;
[13] R.B.;
S.Peng; M.Quincampoix; C.Rainer: Existence
of stochastic control under state constraints, C.R.A.S. Paris, t.327, Série I, pp. 17 – 22 (1998) ;
[14] R.B.;
Y.Hu : Hedging
Contingent Claims for a large Investor in an incomplete Market, Adv. APPL. Prob., 30, pp. 239 – 255 (1998) ;
[15] R.B.;
Y.Hu : Probabilistic
Approach to Homogenizations of Systems of Quasilinear Parabolic PDEs
with periodic structures,
Nonlinear Analysis, Theory, Methods and Application, Vol. 32, N.5,
pp. 609 – 619 (1998) ;
[16] R.B.;
Y.Hu : Pricing
of American contingent claims with jump stock price and constrained
portfolios, Math. Oper. Research,
Vol. 23, N.1,
pp. 177-203 (1998);
[17] R.B.; S.Peng : Stationary
backward stochastic differential equations and associated partial
differential equations,
Probab. Theory Rel. Fields 115, N.3, pp. 383 – 399 (1999) ;
[18] R.B.; Y.Hu; S.Peng : Probabilistic
Approach to homogenization of viscosity solutions of parabolic PDEs, NoDEA,
Nonlinear Differ. Equ. Appl. 6, N.4, pp. 395 – 411 (1999) ;
[19] R.B.;
M.Quincampoix; A.Răşcanu: Viability
property for a backward stochastic differential equation and
applications to partial differential equations,
Probab. Theory Rel. Fields 116, pp. 485 – 504 (2000).
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[20] R.B.;
J.Ma : Stochastic
viscosity solutions for fully nonlinear stochastic partial
differential equations (I), Stochastic Processes and Their Applications 93, pp. 181 –
204
(2001) ;
[21] R.B.;
J.Ma : Stochastic
viscosity solutions for fully nonlinear stochastic partial
differential equations (II), Stochastic Processes and Their Applications 93, pp. 205 –
228
(2001) ;
[22] R.B.;
J.Ma : Pathwise
stochastic Taylor Expansion and Stochastic Viscosity Solution for Fully
Nonlinear Stochastic PDEs,
Annals of Probability 30, N.3, pp. 1131 – 1171 (2002) ;
[23] R.B.; P.Cardaliaguet ; M.Quincampoix, A
Representation Formula for the Mean Curvature Motion,
SIAM J. Math. Anal., Vol.33, pp. 827 – 846 (2002) ;
[24] R.B.;
M.Quincampoix; C.Rainer; A.Răşcanu : Viability
of moving sets for stochastic differential equations,
Advances in Differential Equations, Vol.7, pp. 1045 – 1072
(2002);
[25] R.B.;
A.Răşcanu : On
the existence of stochastic optimal control of distributed state
system, Nonlinear Anal.:
Theory Methods Appl. 52A, N.4, pp. 1153 –
1184 (2003) .
[26] R.B.;
M.Quincampoix ; C.Rainer ; A.Răşcanu : Stochastic
Control with Exit Time and Constraints, Application to Small Time
Attainability of Sets,
Appl. Math. Optim., Vol. 49, N.2, pp. 99 – 112 (2004);
[27] R.B.;
P.Cardaliaguet; C.Rainer: Nash
Equilibrium Payoffs for Nonzero-Sum Stochastic Differential Games, SIAM
J. Control and Optimization, 43, no. 2, pp. 624 – 642 (2004);
[28] R.B.;
H.-J.Engelbert ; A.Răşcanu : On
Weak Solutions of Backward Stochastic Differential Equations, Theory Probab. Applications, t.49, no.1, pp.70 – 108 (2004);
[29] R.B.;
N.Ichihara : Limit
theorem for controlled backward SDEs and homogenization of
Hamilton-Jacobi-Bellman equations,
Appl. Math. & Optim., 51, no. 1, pp. 1 - 33 (2005);
[30] R.B.;
H.-J.Engelbert : A
backward stochastic differential equation without strong solution; Theory Probab. and its Appl., t.50, no.2, pp.390 – 396
(2005).
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[31] R.B.;
M.Quincampoix; G.Tessitore : A
Characterization of Approximately Controllable Linear Stochastic
Differential Equations.
In : Stochastic
Partial differential Equations and Applications, G. Da Prato and L.
Tubaro Eds '' Series of Lecture Notes in pure and appl. Math.,
Chapman & Hall Vol.245 , pp. 253 - 260 (2006);
[32] R.B.; G.Guatteri : A
stochastic Tikhonov theorem in infinite dimensions, Appl.
Math. & Optim., 53, no. 2, pp.221
– 258 (2006);
[33] R.B.; J.Ma: Pathwise Stochastic
Control Problems and Stochastic HJB equations, SIAM Journal on
Control and Optimization, Vol. 45:6, pp. 2224-2256 (2007);
[34] R.B.; M.Quincampoix; C.Rainer; J.Teichmann: Another proof for the equivalence between
invariance of closed sets with respect to stochastic systems, to
appear in Bull. Sci. Math.; available online (2007);
[35] R.B.; H.-J.Engelbert: On the
Continuity of Weak Solutions of Backward Stochastic Differential
Equations, 13 pp., to appear in: Probbab. Theory and its Appl.,
Vol. 52 (2007);
[36] R.B.; M.Quincampoix; G.Tessitore: Controlled Stochastic Differential
Equations under Constraints in Infinite Dimensional Spaces, SIAM
J. Control and Optimization, Vol. 47, Issue 1, pp. 218-250 (2008);
[37] R.B.; J.Li: Stochastic
Differential Games and Viscosity Solutions of
Hamilton-Jocobi-Bellman-Isaacs Equations, SIAM J. Control
and Optimization, Vol. 47, Issue 1, pp. 444-475 (2008);
[38]
R.B.; J.Ma,
C.Rainer: Stochastic
Control Problems for Systems Driven by Normal Martingales, Annals of Applied
Probability, 18, No. 2,632-663 (2008);.
[39] R.B., J.Li, S. Peng, Mean-Field Backward Stochastic
Differential Equations. A Limit Approach, Annals of
Probability, Vol. 37, No. 4, pp. 1524-1565 (2009);
[40] R.B., J.Li, S. Peng, Mean-Field Backward Stochastic
Differential Equations and Related Partial Differential Equations, Stochastic
Processes and their Applications 119, pp. 3133-3154 (2009);
[41] R.B.;
M.Quincampoix, Y.Ouknine: On
limiting values of stochastic differential equations with small noise
intensity tending to zero, Bulletin des sciences mathématiques
133, pp.229-237 (2009);
[42] R.B., J.Li, Probabilistic interpretation for systems
of Isaacs equations with two reflecting barriers, accepted for
publication in Nonlinear Differential Equations and Applications NoDea;
[43] R.B., J.Li, Stochastic Differential Games with
Reflection and Related Obstacle Problems for Isaacs Equations, accepted
for publication in Acta Mathematicae Applicatae Sinica, English Series.
[44] R.B., B.Djehiche, J.Li, S. Peng, Mean-Field Backward Stochastic
Differential Equations. A Limit Approach, Annals of probability
, Vol.37, No 4, pp. 1524-1565 (2009);
[45] R.B., M.
Quincampoix, C. Rainer, J. Teichmann, Another
proof for the equivalence between invariance of closed sets with
respect to stochastic and deterministic systems, Bulletin des
sciences mathématiques 134 (2010), pp 207-214;
[46] R.B., Y.Hu, Probabilistic interpretation of a coupled
system of Hamilton-Jacobi-Bellman equations, Journal of
Evolution Equations, Vol. 10, n°3, pp. 529-549 (2010);
[47] R.B., B. Labed, C. Rainer, L. Tamer, Existence of an Optimal Control for
Stochastic Control Systems with Nonlinear Cost Functional,
Stochastics and Stochastics Reports, Volume 82, pp 241-256 (2010)
[48] X.Bai, R.B., Inf-convolution of
G-expectations, SCM- Science China Mathematics, Vol. 53(8),
1957-1970 (2010)
[49] R.B., P.
Cannarsa, M. Quincampoix, Lipschitz
Continuity and Semiconcavity Properties of the Value Function of a
Stochastic Control Problem, Nonlinear Differential Equations
and Applications NoDea, Vol.17, pp. 715-728 (2010);
[50] R.B., D. Goreac,
M. Quincampoix, Stochastic Optimal
Control and Linear Programming Approach, Applied Mathematics
and Optimization, Vol.63, pp. 257-276 (2011);
[51] R.B., J.Li, Stochastic Differential Games with
Reflection and Related Obstacle Problems for Isaacs Equations, accepted
for publication in Acta Mathematicae Applicatae Sinica, English Series;
[52] R.B., P.
Cardaliaguet, M. Quincampoix, Some
recent aspects of Differential Game Theory, accepted for
publication in Dynamic Games and Applications.
2) Proceedings:
[1] R.B.: Anticipating
linear stochastic differential equations,
[CA] Stochastic Systems and Optimization, Proc. 6th
IFIP WG 7.1 Work. Conf., Warsaw, Poland, 1988, Lect. Notes Control
Inf. Sci. 136, pp. 18 – 23 (1989) ;
[2] R.B.: A
linear stochastic differential equation with Skorohod integral,
[CA] Markov and control theory, Proc. Symp. ISAM, Gauβig,
German Democratic Republic, 1988, Math. Research 54, pp. 9 –
15 (1989) ;
[3] R.B.; E.Pardoux : Monotonicity
methods for white noise driven quasilinear SPDEs,
[CA] Diffusion
processes and related problems in analysis, Vol.I: Diffusions in
analysis and geometry, Proc. Int. Conf., Evanston/IL (USA) 1989,
Prog. Probab. 22, 219-233 (1990) ;
[4] R.B.: The
nonlinear transformation of the Wiener measure,
[CA] Stochastic Processes and Related Topics, Proc. Winterschule
Stochastic Processes Optim. Control, Georgenthal, German Democratic
Republic, 1990, Math. Research 61, pp. 9 – 16 (1991) ;
[5] R.B.: Nonlinear
Skorohod stochastic differential equations,
[CA] D.Nualart (ed.) et al., Barcelona seminar on stochastic
analysis, St. Feliu de Guixols/Spain, 1991, Basel : Birkhäuser
Prog. Probab. 32, pp.21– 39 (1993) ;
[6] R.B.: Backward
stochastic differential equations. Option hedging under additional
cost, [CA] E.Bolthausen
(ed.) et al., Seminar on stochastic analysis,
random fields and applications, Proc. Centro Stefano Franscini,
Ascona/Switzerland, June 1993, Basel, Birkhäuser, Prog. Probab.
36, pp. 307 – 322 (1995).
[7] R.B.;
S.Peng : Ergodic
backward SDE and associated PDE,
[CA] R.C.Dalang (ed.) et al., Seminar on Stochastic analysis, random
fields and applications, Centro Stefano Franscini, Ascona,
Switzerland, September 1996, Basel : Birkhäuser Prog. Probab.
45, pp. 73 – 85 (1999).
[8] R.B. : Backward
Stochastic Differential Equations and Viscosity Solutions of
Semilinear Parabolic Deterministic and Stochastic PDE of Second
Order, Buckdahn, R., Engelbert, H.-J., Yor, M. (eds.) 12th Winter
School on Stochastic Processes and Related Topics. Sigmundsburg,
Germany, 27 February – 4 March 2000. Taylor
Francis, London and New York, pp. 1 – 53 (2002).
[9] R.B.;
M.Quincampoix; G.Tessitore: A
Characterization of Approximately Controllable Linear Stochastic
Differential Equations. In: Da Prato, Guiseppe (ed.) et al.,
Stochastic partial differential equations and applications--VII. Papers
of the 7th meeting, Terme, Italy, January 5-10, 2004. Boca Raton, FL:
Chapman /& Hall/CRC. Lecture Notes in Pure and Applied Mathematics
245, 53-60 (2006).
3) Other
publications : Edition
of preceeding :
[1] R.B.; H.-J.Engelbert ; M.Yor : Stochastic
Processes and Related Topics,
Proceedings of the 12th
Winter School, Siegmundsburg, Germany, 27 February – 4 March
2000. Taylor Francis, London and New York, 2002.
4) Preprints
at arXiv:
[1] R.B.;
J.Li: Stochastic
Differential Games and Viscosity Solutions of
Hamilton-Jacobi- Bellman-Isaacs Equations, 2006,
[2] R.B.; J.Li: Stochastic
Differential Games with Reflection and Related Obstacle Problems for
Isaacs Equations,
2007,
[3] R.B.; J.Ma; C.Rainer: Stochastic control
problems for
systems driven by normal martingales,
2007,
[4] R.B.; J.Li; S.Peng: Mean-Field Backward
Stochastic Differential
Equations and Related Partial Differential Equations, 2007,
[5] R.B.; M.Quincampoix;
C.Rainer; J.Teichmann: Another
proof for the equivalence between invariance of closed sets with
respect to stochastic and deterministic systems,
2007,
[6] R.B.; J.Li: Probabilistic Interpretation for Systems
of Isaacs Equations with Two Reflecting Barriers, 2008.
[7] R.B.; J.Li; S.Peng:
Mean-Field
Backward
Stochastic Differential Equations and Related Partial Differential
Equations, 2007.
[8] RB.; B.
Labed; C.Rainer; L. Tamer: Existence of an Optimal
control for Stochastic Systems with Nonlinear Cost Functional, 2009
5)
(Not exhaustive list of downloadable) Slides
of talks:
[1] Two-Person Zero-Sum
Stochastic
Differential Games; Berlin, June
2006
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