Kai Du
Mailing address:
Group 3
Department of Mathematics
ETH
-Zentrum, HG GO 47.2
8092 Zürich
Switzerland
Phone: +41 44 633 9356
E-mail: kai.du@math.ethz.ch
Research interests
Elliptic and Parabolic Partial Differential Equations
Stochastic Analysis and Stochastic Equations
Optimal Control and Mathematical Finance
Teaching
Backward Stochastic Differential Equations and Applications
(Lecture), Fall 2013
Preprints
Solvability conditions for indefinite stochastic Riccati equations
K. Du, 2014.
On solvability of an indefinite Riccati equation
K. Du, 2013.
Publications
Backward stochastic partial differential equations with quadratic growth
K. Du and
S. Chen
Journal of Mathematical Analysis and Applications
, 419(1): 447–468, 2014.
A maximum principle for optimal control of stochastic evolution equations
K. Du and Q. Meng
SIAM Journal on Control and Optimization
, 51(6): 4343–4362, 2013.
A note on asymptotic exponential arbitrage with exponentially decaying failure probability
K. Du and
A. Neufeld
Journal of Applied Probability
, 50(3): 801–809, 2013.
Semi-linear degenerate backward stochastic partial differential equations and associated forward backward stochastic differential equations
K. Du and Q. Zhang
Stochastic Processes and their Applications
, 123: 1616–1637, 2013.
$W^{m,p}$-solution ($p\ge 2$) of linear degenerate backward stochastic partial differential equations in the whole space
K. Du,
S. Tang
and Q. Zhang
Journal of Differential Equations
, 254: 2877–2904, 2013.
Strong solution of backward stochastic partial differential equations in $C^2$ domains
K. Du and
S. Tang
Probability Theory and Related Fields
, 154: 255–285, 2012.
$L^p$ theory for super-parabolic backward stochastic partial differential equations in the whole space
K. Du,
J. Qiu
and
S. Tang
Applied Mathematics and Optimization
, 65(2): 175–219, 2012.
A revisit to $W^n_2$-theory of super-parabolic backward stochastic partial differential equations in $R^d$
K. Du and Q. Meng
Stochastic Processes and their Applications
, 120(10): 1996–2015, 2010.
Links
Martin Schweizer
, Department of Mathematics, ETH Zürich
Shanjian Tang
, School of Mathematical Sciences, Fudan University
Meiyue Shao
, Lawrence Berkeley National Laboratory
Last modified: July 14, 2014