Research

My research interests lie in the interdisciplinary area of machine learning, financial mathematics, and game theory, and stochastic analysis. I currently focus on the following topics:

• • Deep learning algorithms and theory for stochastic differential games and optimal switching problems;

  • Reinforcement learning on mean-field games;

  • Analysis of N-player and mean-field portfolio games under stochastic environments;

  • Stochastic partial differential equations; 

  • Modeling of systemic risk.

Mentoring

Postdoctoral mentored:

• Elie Abdo (Math, 2023-)

• Quyuan Lin (Math, 2021-2023, first position: Tenure-track Asst. Prof. at Clemson U)

• Jea-Hyun Park (Math, 2021-,) 

Graduate students:

• Hezhong Zhang (PSTAT 2023-, )

• Haosheng Zhou (PSTAT 2023-, )

• Juan Diego Mejia Becerra (PSTAT 2022-, jointly with Dr. Peters)

• Alan Raydan (Math, 2020-, ) 

• Robert Balkin (Math, 2020-2023, jointly with Dr. Ceniceros, first position: Wells Fargo)

Other supervised student projects:

• Yao Xuan (Math): Pandemic control and machine learning

• Ming Min (PSTAT): mean field game with common noise, generative models 

• Yichen Feng (PSTAT): systemic risk modeling

Research supported by: Simons Foundation Travel Support, 2023-2028; NSF DMS-1953035, 2020-2023; Regents' Junior Faculty Fellowship, UCSB, 2022-2023; Faculty Career Development Award, UCSB, 2021-2022; Research Assistance Program Award, UCSB, 2021-2022; Early Career Faculty Acceleration Funding, UCSB, 2021-2022.