Assistant Professor

Department of Applied Mathematics

Hong Kong Polytechnic University

Email: xiang.yu(at)polyu.edu.hk

Office: TU809, Yip Kit Chuen Building

Phone: (+852) 2766 6930

Research Interests:

  • Financial Mathematics: consumption habit formation, transaction costs, utility maximization, credit risk and default contagion, optimal dividend, high-water mark fees, optimal dynamic contracting, teamwise MFG
  • Applied Probability and Stochastic Analysis: duality method, martingale theories, Levy process, model uncertainty, measurable selection and projection
  • Stochastic Control and Optimization: singular stochastic control, time inconsistent stopping, path-dependent control, risk-sensitive control, relaxed control, optimal tracking, stochastic equilibrium