Publications
Publications and Preprints
Preprints
S. Deng, X. Yu and J. Zhang.
On time-consistent equilibrium stopping under aggregation of diverse discount rates.
Preprint, arXiv:2302.07470, 2023.
Publications
E. Bayraktar, S. Deng and D. Norgilas.
Supermartingale shadow couplings: the decreasing case.
Bernoulli, 30(1): 143-169, 2024.
E. Bayraktar, S. Deng and D. Norgilas.
A potential-based construction of the increasing supermartingale coupling.
Annals of Applied Probability, 33(5): 3803-3834, 2023.
E. Bayraktar, S. Deng and D. Norgilas.
Supermartingale Brenier’s Theorem with full-marginals constraint.
Frontiers of Mathematical Finance, 2(2): 202-243, 2023.
S. Deng, X. Li, H. Pham and X. Yu.
Optimal consumption with reference to past spending maximum.
Finance and Stochastics, 26: 217-266, 2022.
S. Deng, X. Tan and X. Yu.
Utility maximization with proportional transaction costs under model uncertainty.
Mathematics of Operations Research, 45(4): 1210-1236, 2020.
C. Benezet, J. Bonnefoy, J.F. Chassagneux, S. Deng, C. Trillos and L. Lenotre.
A Sparse grid approach to balance sheet risk measurement.
ESAIM: Proceedings and Surveys, 65: 236-265, 2019.
A. Aksamit, S. Deng, J. Obloj and X. Tan.
The robust pricing-hedging duality for American options in discrete time financial markets.
Mathematical Finance, 29(3): 861-897, 2019.
B. Bouchard, S. Deng and X. Tan.
Superreplication with proportional transaction cost under model uncertainty.
Mathematical Finance, 29(3): 837-860, 2019.