Resume
I am a Reader at the Department of Statistics, University of Warwick. My past positons include Associate Professor in the University of Warwick, Lecturer at the Department of Mathematics, King's College London and Postdoctoral Research Fellow at the Oxford-Man Institute of Quantitative Finance. In 2018-2019, I was awarded FRIAS Senior Fellow and Marie Curie Fellow at the Freiburg Institute of Advanced Studies (FRIAS), University of Freiburg . I completed my D.Phil. (Ph.D.) in Mathematics at the Mathematical Institute, Oxford University in 2011.
The links to my Google Scholar page, ORCID page, maths genealogy page and departmental webpage.
PhD students:
Edward Wang, University of Warwick, (2021-present, joint with David Hobson).
Yuwei Wang, University of Warwick, (2020-present, joint with Moris Strub).
Yifan Sun, Infinite horizon backward stochastic differential equations under nonlinear expectations and related topics, Shandong University and University of Warwick, (2023, joint with Shige Peng, Mingshang Hu).
Zhenda Xu, Reflected backward stochastic differential equations and recursive optimal mixed control problems, Shandong Universtiy and University of Warwick, (2023, joint with Zhen Wu).
Osian Shelley, Transaction tax in a general equilibrium model, University of Warwick, (2023, joint with Martin Hendergen).
Haodong Sun, Constrained optimal stopping games, University of Warwick, (2021).
Shuo Huang, Convergence analysis of monotone schemes for second-order non-linear parabolic PDEs and their applications in sublinear expectation, University of Warwick, (2020).
Dingqian Sun, Optimal investment and optimal switching with discretionary stopping, Fudan University and University of Warwick, (2020, joint with Shanjian Tang).
Yuan Wang, Stochastic control problems of delay systems and robust duality in constrained utility maximization, Shandong University and University of Warwick, (2019, joint with Zhen Wu).
Alfred Chong, Topics in Optimal reinsurance design, risk measures, and forward performance processes, King's College London and University of Hong Kong, (2017).