Publications

• J. Zhang(2001), Some fine properties of backward stochastic differential equations, with applications, Ph.D. dissertation, Purdue University.

• J. Ma, P. Protter, and J. Zhang(2001),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, 337-360.

• J. Ma and J. Zhang(2002), Path regularity of solutions to backward stochastic differential equations, Probability Theory and Related Fields, 122, 163-190.

• J. Ma and J. Zhang(2002),Representation theorems for backward stochastic differential equations, Annals of Applied Probability, 12 (4), 1390-1418.

• J. Cvitanic, J. Ma, and J. Zhang(2003), Efficient computation of delta-hedges for options with discontinuous payoffs, Mathematical Finance, 13 (1), 135-151.

• J. Zhang(2004), A numerical scheme for backward stochastic differential equations, Annals of Applied Probability, 14 (1), 459-488.

• J. Ma and J. Zhang(2005),Representations and regularities for solutions to backward stochastic differential equations with reflections, Stochastic Processes and Their Applications, 115 (4), 539-569.

• J. Zhang(2005), Representation of Solutions to BSDEs Associated with a Degenerate FSDE, Annals of Applied Probability, 15 (3), 1798-1831.

• J. Cvitanic and J. Zhang(2005), The Steepest Descent Method for FBSDEs, Electronic Journal of Probability, 10, 1468-1495.

• J. Zhang(2006), The Wellposedness of FBSDEs, Discrete and Continuous Dynamical Systems-Series B, 6 (4), 927-940.

• 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. Ma, J. Zhang and Z. Zheng, Weak Solutions for Forward-Backward SDEs --- A Martingale Problem Approach, Annals of Probability, accepted.

• J. Cvitanic, X. Wan and J. Zhang, Continuous-Time Principal-Agent Problems with Hidden Action and Lump-Sum Payment, Submitted.

• J. Cvitanic, X. Wan, and J. Zhang, Optimal contracting with random time of payment and outside options, submitted.

• S. Hamadene and J. Zhang, The Starting and Stopping Problem under Knightian Uncertainty and Related Systems of Reflected BSDEs, submitted.