Research Interests:
Nonlinear expectation, Backward stochastic differential equation, Option pricing and risk measurement under uncertainty, Economic models with incomplete information, Utility theory, Asset allocation, Stochastic control, Stochastic differential games, Equilibrium theory of two price economy
Education:
Ph.D student supervised by Prof. Shige Peng, 2009-09 ～2013.07, Shandong University Major: Mathematics
Experience:
2015-07 ～2015.08 HKU, Reseach associate
2013-09 ～2014.08 Université de Brest, France, Postdoctor
2013-08 ～2013.08 Soochow University, Associate Professor
2009-09 ～2013.07 Shandong University, Ph.D student supervised by Prof. Shige Peng
Publication (selected papers):
Xu Yuhong, Probabilistic solutions for a class of path-dependent HJB equations, Stochastic Analysis and Applications, 31(3) (2013), 440-459.
Xu Yuhong, Multidimensional dynamic risk measure via conditional g-expectation, Mathematical Finance, (2014) 1-36, doi:10.1111/mafi.12062.
Xu Yuhong, Multidimensional BSDEs with left-Lipschitz coefficients，J.Math. Sci.Univ. Tokyo, 20 (1) (2013), 115-126.
Xu Yuhong, Stochastic maximum principle for optimal control with multiple priors, Systems & Control Letters, Volume 64, February 2014, Pages 114–118.
R. Buckdahn, M. Quincampoix, C. Rainer, Y. H. Xu , Differential games with asymmetric information and without Isaacs condition,1-21, International Journal of Game Theory，DOI 10.1007/s00182-015-0482-x.
C. Jimenez, M. Quincampoix, Y. H. Xu, Differential games with incomplete information on a continuum of initial positions and without Isaacs condition, 1-14, Dynamic Games and Applications，DOI: 10.1007/s13235-014-0134-y.
Xu Yuhong, Robust valuation and risk measurement under model uncertainty , 1-37, Preprint
R. Buckdahn, C. Rainer, Y. H. Xu, Stochastic differential games with incomplete information and recursive cost function, 1-17, Preprint.
R. Buckdahn, R.Mu, Y. H. Xu, Nash equilibrium for nonzero sum stochastic differential game without Isaacs condition, 1-14, Preprint.
