"Uniform-in-Time Convergence Rates to a Nonlinear Markov Chain for Mean-Field Interacting Jump Processes" (with Ethan Huffman), SIAM Journal on Control and Optimization, to appear.
"Existence of Optimal Stationary Singular Controls and Mean Field Game Equilibria" (with Chuhao Sun), Mathematics of Operations Research, (journal).
"Asymptotic Nash Equilibria of Finite-State Ergodic Markovian Mean Field Games" (with Ethan Zell), Mathematics of Operations Research, (journal).
"Deep Backward and Galerkin Methods for the Finite State Master Equation" (with Ethan Zell and Mathieu Lauriere), Journal of Machine Learning Research, 25(401), 1-50, 2025 (journal).
"Learning-based Optimal Admission Control in a Single Server Queuing System" (with Vijay G. Subramanian and Yili Zhang), Stochastic Systems, 14 (1), 69-107, 2024 (journal).
"Quantum-inspired variational algorithms for partial differential equations: Application to financial derivative pricing" (with Tianchen Zhao, Chuhao Sun, James Stokes, and Shravan Veerapaneni), Quantitative Finance, 24,1-11, 2024 (journal)
"A neural network approach to high-dimensional optimal switching problems with jumps in energy markets" (with Erhan Bayraktar and April Nellis), SIAM Journal on Financial Mathematics, Vol. 14, Iss. 4, 2023 (journal)
"Optimal Dividends under Model Uncertainty" (with Prakash Chakroborty and Virginia R. Young), SIAM Journal on Financial Mathematics, Vol. 14, Iss. 2 (2023). (journal)
"Analysis of The Finite-state Ergodic Master Equation" (with Ethan Zell), Applied Mathematics and Optimization, 87, 40 (2023). (journal)
"Finite state mean field games with Wright Fisher common noise as limits of N-player weighted games" (with Erhan Bayraktar, Alekos Cecchin, and Francois Delarue), Mathematics of Operations Research. (journal)
"Optimal ergodic harvesting under ambiguity" (with Alexandru Hening and Chuhao Sun), SIAM Journal on Control and Optimization, 60(2), 1039-1063, 2022. (journal).
"A Scaling Limit for Utility Indifference Prices in the Discretized Bachelier Model" (with Yan Dolinsky), Finance and Stochastics, 26, 335–358, 2022 (journal).
" A Macroeconomic SIR Model for COVID-19 " (with Erhan Bayraktar and April Nellis), Mathematics, 9 (16), Special Issue on Mathematics on Pandemic, 24 pages, 2021. (journal).
"Asymptotic optimality of the generalized cμ rule under model uncertainty" (with Subhamay Saha), Stochastic Processes and their Applications, 136, 206-236, 2021. (journal).
"Finite state Mean Field Games with Wright-Fisher common noise", Journal de Mathématiques Pures et Appliquées (with Erhan Bayraktar, Alekos Cecchin, and Francois Delarue), 147, 98-162, 2021 (journal)
“On singular control problems, the time-stretching method, and the weak-M1 topology”, SIAM Journal on Control and Optimization, 59(1), 50-77, 2021. (journal)
"Optimal Dividend Problem: Asymptotic Analysis " (with Virginia R. Young), SIAM Journal on Financial Mathematics, 12(1), 29-46, 2021. (journal)
“Rate of Convergence of the Probability of Ruin in the Cramer-Lundberg Model to its Diffusion Approximation” (with Virginia R. Young), Insurance: Mathematics and Economics, 90, 333-340, 2020 (journal)
“Asymptotic analysis of a multiclass queueing control problem under heavy-traffic with model uncertainty”, Stochastic Systems, 9(4) 359-391, 2019 (journal)
“Brownian control problems for a multiclass M/M/1 queueing problem with model uncertainty”, Mathematics of Operations Research, 44(2), 739-766, 2019 (journal)
“Rate Control under Heavy Traffic with Strategic Servers” (with Erhan Bayraktar and Amarjit Budhiraja), Annals of Applied Probability, 29(1), 1-35, 2019 (journal)
“Serve the Shortest Queue and Walsh Brownian motion” (with Rami Atar), Annals of Applied Probability, 29(1), 613-651, 2019 (journal)
“Analysis of a Finite State Many Player Game Using its Master Equation”, (with Erhan Bayraktar), SIAM Journal on Control and Optimization, 56(5), 3538–3568, 2018, (journal)
“A numerical scheme for a mean field game in some queuing systems based on Markov chain approximation method”, (with Erhan Bayraktar and Amarjit Budhiraja), SIAM Journal on Control and Optimization, 56(6), 4017–4044, 2018, (journal)
“Risk Sensitive Control of the Lifetime Ruin Problem” (with Erhan Bayraktar), Applied Mathematics and Optimization, 77 (2), 229-252, 2018 (journal)
“Asymptotically Optimal Control for a Multiclass Queueing Model in the Moderate Deviation Heavy Traffic Regime” (with Rami Atar), Annals of Applied Probability, 27 (5), 2862-2906, 2017 (journal)
“A Differential Game for a Multiclass Queueing Model in the Moderate-Deviation Heavy-Traffic Regime” (with Rami Atar), Mathematics of Operations Research, 41 (4), 1354-1380, 2016 (journal)
“Minimizing Lifetime Poverty with a Penalty for Bankruptcy” (with Virginia R. Young), Insurance: Mathematics and Economics, 69, 156-167, 2016 (journal)
“Parameter Estimation: The Proper Way to Use Bayesian Posterior Processes with Brownian Noise”, Mathematics of Operations Research, 40 (2), 361-389, 2015 (journal)
“Bandit Problems with Lévy Processes” (with Eilon Solan), Mathematics of Operations Research, 38 (1), 92-107, 2013 (journal).
31. "Quantum-inspired nonlinear Galerkin ansatz for high-dimensional HJB equations" (with Chuhao Sun, James Stokes, and Shravan Veerapaneni).
32. "DEX Specs: A Mean Field Approach to DeFi Currency Exchanges" (with Erhan Bayraktar and April Nellis), under review.
33. "Convergence of the Deep Galerkin Method for Mean Field Control Problems" (with William Hofgard and Jingruo Sun), under review.
34. "Turnpike properties in linear quadratic Gaussian N-player differential games" (with Jiamin Jian), under review.