Risk Sensitive Portfolio Management with Cox–Ingersoll–Ross Interest Rates: The HJB Equation. - Tomasz R. Bielecki; Stanley R. Pliska; Shuenn-Jyi Sheu (SIAM J. Control. Optim., 2005)

On the Hamilton-Jacobi-Bellman Equation for an Optimal Consumption Problem: I. Existence of Solution. - Hiroaki Hata; Shuenn-Jyi Sheu (SIAM J. Control. Optim., 2012)

On the Hamilton-Jacobi-Bellman Equation for an Optimal Consumption Problem: II. Verification Theorem. - Hiroaki Hata; Shuenn-Jyi Sheu (SIAM J. Control. Optim., 2012)

Large Time Behavior of Solutions of Hamilton-Jacobi-Bellman Equations with Quadratic Nonlinearity in Gradients. - Naoyuki Ichihara; Shuenn-Jyi Sheu (SIAM J. Math. Anal., 2013)

An Optimal Consumption Problem for General Factor Models. - Hiroaki Hata; Hideo Nagai; Shuenn-Jyi Sheu (SIAM J. Control. Optim., 2018)

Mean field social optimization: feedback person-by-person optimality and the master equation. - Minyi Huang; Shuenn-Jyi Sheu; Li-Hsien Sun (CDC, 2020)