随机最优控制，金融数学

1. Zhuo, Yu, Yuchao Dong, and Jiangyan Pu. 'Dynamic Programming Principle and Viscosity Solutions of Hamilton–Jacobi–Bellman Equations for Stochastic Recursive Control Problem with Non-Lipschitz Generator.' Applied Mathematics & Optimization 82.2 (2020): 851-887.

2. Dong, Yuchao, and Jérôme Spielmann. Weak limits of random coefficient autoregressive processes and their application in ruin theory. Insurance: Mathematics and Economics 91 (2020): 1-11.

3. Dong, Yuchao, Xue Yang, and Jing Zhang. The obstacle problem for quasilinear stochastic integral-partial differential equations. Stochastics 92.2 (2020): 297-333.

4. Zhang, Fu, Yuchao Dong, and Qingxin Meng. Backward stochastic Riccati equation with jumps associated with stochastic linear quadratic optimal control with jumps and random coefficients. SIAM Journal on Control and Optimization 58.1 (2020): 393-424.

5. Dong, Yuchao, Xue Yang, and Jing Zhang. The obstacle problem for quasilinear stochastic PDEs with Neumann boundary condition. Stochastics and Dynamics 19.05 (2019): 1950039.

6. Dong, Yuchao, and Qingxin Meng. Second-order necessary conditions for optimal control with recursive utilities. Journal of Optimization Theory and Applications 182.2 (2019): 494-524.

7. Dong, Yuchao. Constrained LQ problem with a random jump and application to portfolio selection. Chinese Annals of Mathematics, Series B 39.5 (2018): 829-848.

8. Dong, Yuchao. Jump stochastic differential equations with non-Lipschitz and superlinearly growing coefficients. Stochastics 90.5 (2018): 782-806.

1. 基于强化学习的投资组合问题 自然科学基金面上项目 2021年01月-2024年12月，主要参与者