Sheung Chi Phillip Yam

According to our database, Sheung Chi Phillip Yam authored at least 33 papers between 2010 and 2025.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2025

Extended Mean Field Type Control Theory: A Master Equation Approach with Some Applications.

Alain Bensoussan, Joohyun Kim, Sheung Chi Phillip Yam

J. Optim. Theory Appl., October, 2025

Linear Quadratic Extended Mean Field Games and Control Problems.

Alain Bensoussan, Joohyun Kim, Bohan Li, Sheung Chi Phillip Yam

J. Optim. Theory Appl., August, 2025

Mean field analysis of two-party governance: Competition versus cooperation among leaders.

Dantong Chu, Kenneth Tsz Hin Ng, Sheung Chi Phillip Yam, Harry Zheng

Autom., 2025

2024

Maximum Principle for Mean Field Type Control Problems with General Volatility Functions.

Alain Bensoussan, Ziyu Huang, Sheung Chi Phillip Yam

IGTR, June, 2024

Technical Note - The Generalized Sethi Advertising Model.

Adrian P. Kennedy, Suresh P. Sethi, Chi Chung Siu, Sheung Chi Phillip Yam

Oper. Res., 2024

Technical Note - Production Management with General Demands and Lost Sales.

Jinhui Han, Xiaolong Li, Suresh P. Sethi, Chi Chung Siu, Sheung Chi Phillip Yam

Oper. Res., 2024

2023

Dynamic trading with Markov liquidity switching.

Guiyuan Ma, Chi Chung Siu, Sheung Chi Phillip Yam, Zeyu Zhou

Autom., September, 2023

Value-Gradient Based Formulation of Optimal Control Problem and Machine Learning Algorithm.

Alain Bensoussan, Jiayue Han, Sheung Chi Phillip Yam, Xiang Zhou

SIAM J. Numer. Anal., April, 2023

2022

A Probabilistic Method for a Class of Non-Lipschitz BSDEs with Application to Fund Management.

Jinhui Han, Sheung Chi Phillip Yam

SIAM J. Control. Optim., 2022

Relative performance evaluation for dynamic contracts in a large competitive market.

Jinhui Han, Guiyuan Ma, Sheung Chi Phillip Yam

Eur. J. Oper. Res., 2022

Satisficing credibility for heterogeneous risks.

Ka Chun Cheung, Sheung Chi Phillip Yam, Yiying Zhang

Eur. J. Oper. Res., 2022

2021

Fourier-Cosine Method for Finite-Time Gerber-Shiu Functions.

Xiaolong Li, Yifan Shi, Sheung Chi Phillip Yam, Hailiang Yang

SIAM J. Sci. Comput., 2021

2020

Mean Field Games With Parametrized Followers.

Alain Bensoussan, Thomas Cass, Michael Chau, Sheung Chi Phillip Yam

IEEE Trans. Autom. Control., 2020

Mean-Field-Type Games with Jump and Regime Switching.

Alain Bensoussan, Boualem Djehiche, Hamidou Tembine, Sheung Chi Phillip Yam

Dyn. Games Appl., 2020

Machine Learning and Control Theory.

Alain Bensoussan, Yiqun Li, Dinh Phan Cao Nguyen, Minh-Binh Tran, Sheung Chi Phillip Yam, Xiang Zhou

CoRR, 2020

2019

Feedback Stackelberg-Nash Equilibria in Mixed Leadership Games with an Application to Cooperative Advertising.

Alain Bensoussan, Shaokuan Chen, Anshuman Chutani, Suresh P. Sethi, Chi Chung Siu, Sheung Chi Phillip Yam

SIAM J. Control. Optim., 2019

A paradox in time-consistency in the mean-variance problem?

Alain Bensoussan, Kwok Chuen Wong, Sheung Chi Phillip Yam

Finance Stochastics, 2019

2018

Probabilistic solutions for a class of deterministic optimal allocation problems.

Ka Chun Cheung, Jan Dhaene, Yian Rong, Sheung Chi Phillip Yam

J. Comput. Appl. Math., 2018

2017

Utility-Deviation-Risk Portfolio Selection.

Kwok Chuen Wong, Sheung Chi Phillip Yam, H. Zheng

SIAM J. Control. Optim., 2017

Linear-Quadratic Mean Field Stackelberg Games with State and Control Delays.

Alain Bensoussan, Michael Chau, Y. Lai, Sheung Chi Phillip Yam

SIAM J. Control. Optim., 2017

Optimal Liquidation of Child Limit Orders.

Sheung Chi Phillip Yam, W. Zhou

Math. Oper. Res., 2017

Risk-sensitive mean-field-type control.

Alain Bensoussan, Boualem Djehiche, Hamidou Tembine, Sheung Chi Phillip Yam

Proceedings of the 56th IEEE Annual Conference on Decision and Control, 2017

2016

NonLocal Boundary Value Problems of a Stochastic Variational Inequality Modeling an Elasto-Plastic Oscillator Excited by a Filtered Noise.

Alain Bensoussan, Laurent Mertz, Sheung Chi Phillip Yam

SIAM J. Math. Anal., 2016

Linear-Quadratic Mean Field Games.

Alain Bensoussan, K. C. J. Sung, Sheung Chi Phillip Yam, Siu-Pang Yung

J. Optim. Theory Appl., 2016

Optimal asset allocation: Risk and information uncertainty.

Sheung Chi Phillip Yam, Hailiang Yang, Fei Lung Yuen

Eur. J. Oper. Res., 2016

2015

Mean Field Stackelberg Games: Aggregation of Delayed Instructions.

Alain Bensoussan, Michael Chau, Sheung Chi Phillip Yam

SIAM J. Control. Optim., 2015

Fourier-cosine method for ruin probabilities.

Kwok-Wing Chau, Sheung Chi Phillip Yam, Hailiang Yang

J. Comput. Appl. Math., 2015

2014

Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting.

Alain Bensoussan, Kwok Chuen Wong, Sheung Chi Phillip Yam, Siu-Pang Yung

SIAM J. Financial Math., 2014

A class of non-zero-sum stochastic differential investment and reinsurance games.

Alain Bensoussan, Chi Chung Siu, Sheung Chi Phillip Yam, Hailiang Yang

Autom., 2014

2013

A mean-variance portfolio selection problem subject to a benchmark constraint: An existence result.

Sheung Chi Phillip Yam, S. P. Yung, J. H. Zhou

Risk Decis. Anal., 2013

Linear-Quadratic Time-Inconsistent Mean Field Games.

Alain Bensoussan, K. C. J. Sung, Sheung Chi Phillip Yam

Dyn. Games Appl., 2013

2012

A mixed Sharpe ratio.

Wai Keung Wong, John Alexander Wright, Sheung Chi Phillip Yam, S. P. Yung

Risk Decis. Anal., 2012

2010

Universal Repetitive Learning Control for Nonparametric Uncertainty and Unknown State-Dependent Control Direction Matrix.

Zaiyue Yang, Sheung Chi Phillip Yam, L. K. Li, Yiwen Wang

IEEE Trans. Autom. Control., 2010