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 control and differential games;
Reinforcement learning on mean-field control and 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, July 23 - Dec. 24, first position: Tenure-tract Asst. Prof. at American U of Beirut)
Quyuan Lin (Math, July 21 - June 23, first position: Tenure-track Asst. Prof. at Clemson U)
Jea-Hyun Park (Math, July 21- June 24, first position: Tenure-track Asst. Prof. at Milwaukee School of Engineering)
Graduate students:
Botao Jin (PSTAT, 2024-, )
Daniel Ralston (Math, 2024-, jointly with Dr. Yang)
Hezhong Zhang (PSTAT 2023-, )
Haosheng Zhou (PSTAT 2023-, )
Juan Diego Mejia Becerra (PSTAT 2022-, )
Alan Raydan (Math, 2020-2024, first position: Amazon)
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.