Research

Research Interests

My research focuses on probability, statistics, simulation, and optimization, and their interfaces with financial engineering and management science.

8, Adaptive Sampling Strategy for Stochastic Composite Optimization,

with Caihua Chen and Dongxuan Zhu.

submitted.

7, Estimating Systemic Risk within Financial Networks: A Simulation-Based Nonparametric Method,

(single author)

submitted.

6, Staffing under Taylor's Law: A Unifying Framework for Bridging Square-root and Linear Safety Rules,

with L. Jeff Hong, Jiheng Zhang, and Xiaowei Zhang.

under Minor Revision at Management Science.

5, Trading Behaviors of Large and Small Investors in the Presence of Large Investor Premium,

with Chenghu Ma and Yuhong Xu.

under Major Revision at Mathematics of Operations Research.

4, Monte Carlo Estimation of CoVaR,

with L. Jeff Hong and N. Lin.

Operations Research, 2024 72(6): 2337-2357. doi: 10.1287/opre.2023.0211.

with Panyu Wu.

Communications in Statistics - Theory and Methods, April 5, 2021. doi: 10.1080/03610926.2021.1903504.

with Panyu Wu.

Journal of Inequalities and Applications, May 21, 2019, 143, 1-18. doi: 10.1186/s13660-019-2094-7.

with Zengjing Chen and Panyu Wu.

Mathematical Control and Related Fields, March 2019, 9(1): 175-190. doi: 10.3934/mcrf.2019010.

#12301601 NSFC Youth Program 2024-2026 (青年基金：模型不确定性下大规模复杂投资组合的系统性金融风险的高效估计研究，PI),
#72394364 Major Program 2024-2028 (重大项目：基于人工智能的数学规划算法),
#72371125 NSFC General Program 2024-2027 (面上项目：商业银行不当行为风险传染的路径、机理与治理——基于员工社会网络的研究),
#72161160340 NSFC-RGC 2022-2025 (与香港研究资助局联合科研项目：基于蒙特卡洛仿真的系统性金融风险管理的理论与方法),
#72091211 Major Program 2021-2025 (重大项目：基于智能仿真的平台供应链风险管理),
#11871050 General Program 2019-2022 (面上项目：基于几何收益的动态均值方差模型及其在基金管理中的应用),
#11701331 Youth Program 2018-2020 (青年基金：带跳随机积分离散化的渐近误差分布研究),
#11601280 Youth Program 2017-2019 (青年基金：非线性概率下若干极限问题的研究及其应用),
#201806220146 China Scholarship Council Joint-PhD Program (国家留学基金)
Shandong University Overseas Exchange Program (山东大学海外留学基金)

University of Southern Carlifornia 03 July, 2019.
Soochow University 1) 15 June- 15 July, 2018; 2) 14- 28 August, 2019; 3) 07- 15 Jan, 2020; 4) 14 April, 2021; 5) 30 June, 2021.
Xiamen University 1) 02- 11 June, 2018; 2) 15- 25 Oct, 2019.

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