Preprints

[35]  Optimal consumption under loss-averse multiplicative habit-formation preferences.  (with Bahman Angoshtari and  Fengyi Yuan)

           Submitted, 2024.  [ArXiv]

[34]  Optimal portfolio under ratio-type periodic evaluation in incomplete markets with stochastic factors.  (with Wenyuan Wang and Kaixin Yan) 

           Submitted,  2024.   [ArXiv]

[33]  On optimal tracking portfolio in incomplete markets: The classical control and the reinforcement learning approaches.   (with Lijun Bo and Yijie Huang)

           Submitted,  2023.   [ArXiv]

[32]  Optimal portfolio with ratio type periodic evaluation under short-selling prohibition.   (with Wenyuan Wang and Kaixin Yan) 

           Submitted, 2023.   [ArXiv]

[31]  Time-inconsistent mean-field stopping problems: A regularized equilibrium approach.   (with Fengyi Yuan)

           Submitted, 2023.  [ArXiv]

[30] Continuous-time q-learning for mean-field control problems.  (with Xiaoli Wei)

          Submitted, 2023.   [ArXiv]

[29]  A decomposition-homogenization method for Robin boundary problems on the nonnegative orthant.   (with Lijun Bo and Yijie Huang)

           Submitted, 2023.   [ArXiv]

[28]  An extended Merton problem with relaxed benchmark tracking.   (with Lijun Bo and Yijie Huang)

           Submitted,  2023.   [ArXiv]

[27]  On time-consistent equilibrium stopping under aggregation of diverse discount rates.  (with Shuoqing Deng and Jiacheng Zhang)

           Submitted, 2023.   [ArXiv]

[26]  Stochastic control problems with state-reflections arising from relaxed benchmark tracking.  (with Lijun Bo and Yijie Huang)

           Submitted, 2023.   [ArXiv]

[25]  Optimal consumption under a drawdown constraint over a finite horizon.  (with Xiaoshan Chen, Xun Li and Fahuai Yi) 

           Submitted,  2022.    [ArXiv]

[24]  Optimal dividend and capital injection under spectrally positive Markov additive models.  (with Wenyuan Wang and Kaixin Yan)

           Submitted,  2022.   [ArXiv] 

[23]  A mean field game approach to equilibrium consumption under external habit formation.  (with Lijun Bo and Shihua Wang)

           Submitted,  2022.   [ArXiv]

Publications 

[22]  Optimal consumption with loss aversion and reference to past spending maximum.  (with Xun Li and Qinyi Zhang) 

           SIAM Journal on Financial Mathematics.  15 (1),  121-160, 2024.   [Article]  [ArXiv]

[21]  On optimality of barrier dividend control under endogenous regime switching with application to Chapter 11 bankruptcy.  (with Wenyuan Wang and Xiaowen Zhou) 

          Applied Mathematics & Optimization.  89, 13,  2024.   [Article]   [ArXiv]

[20]  Mean field game of optimal relative investment with jump risk.  (with Lijun Bo and Shihua Wang)

           Science China Mathematics,  67, 1159-1188, 2024.   [Article]   [ArXiv]

[19]  Optimal consumption and life insurance under shortfall aversion and a drawdown constraint.  (with Xun Li and Qinyi Zhang)

           Insurance: Mathematics and Economics.  108, 25-45,  2023.   [Article]   [ArXiv]

[18]  Centralized systemic risk control in the interbank system: Weak formulation and Gamma-convergence.  (with Lijun Bo and Tongqing Li).

           Stochastic Processes and their Applications.  150, 622-654,  2022.   [Article]   [ArXiv]

[17]  Optimal consumption with reference to past spending maximum.   (with Shuoqing Deng, Xun Li and Huyên Pham). 

          Finance and Stochastics.  26, 217-266,  2022.    [Article]   [ArXiv]   [SSRN]

[16]  Risk-sensitive credit portfolio optimization under partial information and contagion risk.  (with Lijun Bo and Huafu Liao).  

           The Annals of Applied Probability.  32 (4), 2355-2399,  2022.   [Article]   [ArXiv] 

[15]  Optimal entry and consumption under habit formation.   (with Yue Yang).  

           Advances in Applied Probability. 54 (2), 433-459,  2022.    [Article]   [ArXiv]

[14]  Teamwise mean field competitions.  (with Yuchong Zhang and Zhou Zhou).  

           Applied Mathematics & Optimization.  84, 903-942,  2021.    [Article]   [ArXiv]  

[13]  Optimal tracking portfolio with a ratcheting capital benchmark.  (with Lijun Bo and Huafu Liao).  

          SIAM Journal on Control and Optimization.  59 (3), 2346-2380,  2021.   [Article]   [ArXiv] 

[12]  Optimal stopping under model ambiguity: a time-consistent equilibrium approach.   (with Yu-Jui Huang).   

           Mathematical Finance.  31 (3), 979-1012,  2021.   [Article]   [ArXiv]

[11]  Optimal dividend strategy for an insurance group with contagious default risk.   (with Zhuo Jin,  Huafu Liao and Yue Yang).  

          Scandinavian Actuarial Journal.  2021 (4), 335-361,  2021.   [Article]    [ArXiv]

[10]  Lifetime ruin under high-water mark fees and drift uncertainty.   (with Junbeom Lee and Chao Zhou). 

          Applied Mathematics & Optimization.  84 (3): 2743-2773,  2021.   [Article]    [ArXiv]

[9]  On dynamic programming principle for stochastic control under expectation constraints.   (with Yuk-Loong Chow and  Chao Zhou).  

          Journal of Optimization Theory and Applications.  185 (3), 803-818,  2020.   [Article]   [ArXiv]

[8]  On the bail-out dividend problem for spectrally negative Markov additive models.   (with Kei Noba and José-Luis Pérez).  

          SIAM Journal on Control and Optimization.  58 (2), 1049-1076, 2020.   [Article]   [ArXiv]

[7]   Utility maximization with proportional transaction costs under model uncertainty.   (with Shuoqing Deng and Xiaolu Tan).   

          Mathematics of Operations Research.   45 (4), 1210-1236,   2020.   [Article]   [ArXiv]

[6]   Risk sensitive portfolio optimization with default contagion and regime-switching.  (with Lijun Bo and Huafu Liao).      

          SIAM Journal on Control and Optimization.  57 (1), 366-401, 2019.  [Article]   [ArXiv]

[5]   Optimal investment with random endowments and transaction costs: duality theory and shadow prices.  (with Erhan Bayraktar).  

          Mathematics and Financial Economics.  13 (2), 253-286, 2019.  [Article]   [ArXiv]

[4]   On the bail-out optimal dividend problem.   (with José-Luis Pérez and Kazutoshi Yamazaki).  

          Journal of Optimization Theory and Applications.  179 (2), 553-568, 2018.  [Article]   [ArXiv]

[3]   On the market viability under proportional transaction costs.   (with Erhan Bayraktar).   

          Mathematical Finance.  28 (3), 800-838, 2018.  [Article]   [ArXiv]

[2]   Optimal consumption under habit formation in markets with transaction costs and random endowments.  

          The Annals of Applied Probability.  27 (2), 960-1002, 2017.  [Article]   [ArXiv]

[1]   Utility maximization with addictive consumption habit formation in incomplete semimartingale markets.   

          The Annals of Applied Probability.  25 (3), 1383-1419, 2015.  [Article]   [ArXiv]

External Research Grants

[1]  PI, Hong Kong RGC Early Career Scheme (ECS), "Duality approach with auxiliary processes in some path-dependent portfolio choice problems",  grant no. 25302116,  1/2017-12/2019, completed. 

[2]  PI, PROCORE-France/Hong Kong Joint Research Scheme (French PI: Huyên Pham), "Optimal relative consumption with reference to past spending maximum and the large time asymptotics",  grant no. F-PolyU501/17,  1/2018-12/2019, completed.

[3] PI, Hong Kong RGC General Research Fund (GRF), "Optimal tracking portfolio using capital injection and related stochastic control problems", grant no. 15304122, 1/2023-12/2025, on-going.

[4] PI, Hong Kong RGC General Research Fund (GRF), "Relaxed wealth drawdown constraint in fund management: New stochastic control and mean field game problems",  grant no. 15306523, 1/2024-12/2026, on-going.

[5]  PI, Hong Kong RGC General Research Fund (GRF), "New advances in continuous-time q-learning for mean-field control problems", grant no. 15211524, 1/2025-12/2027, on-going.

Research Presentations

•  Recent Advances on Quantitative Finance, The Hong Kong Polytechnic University, Aug 2023

•  ICIAM 2023, Tokyo, Aug 2023

•  AI, Stochastic Control and Related Topics in Mathematical Finance, SJTU, China, June 2023

•  Department Seminar, Fudan University, China, June 2023

•  SIAM Conference on Financial Mathematics and Engineering, Philadelphia, U.S., June 2023 

•  2022 Workshop on Stochastic Analysis and Applications, Xiamen University, Nov 2022

•  Seminar on Financial Mathematics, Xidian University, Nov 2022

•  Mathematics of Risk-2022, Australia, Nov 2022

•  11th World Congress of Bachelier Finance Society (online), Hong Kong, June 2022 

•  Workshop on stochastic control and quantitative finance (online), Xidian University, June 2022

•  4th International Conference on Econometrics and Statistics (EcoSta2021), Hong Kong, June 2021

•  Fifth PKU-NUS Annual International Conference on Quantitative Finance and Economics, May 2021

 •  Stochastics and Finance Seminar, The University of Sydney, April 2021

 •  International online workshop on financial mathematics, financial engineering & insurance actuary by CSIAM, Dec 2020

 •  18th Annual Meeting of China Society for Industrial and Applied Mathematics, Oct 2020

 •  Workshop on collaboration and exchange project between Shandong University and PolyU, Aug 2020

 •   Asian Quantitative Finance Seminar Series, Aug 2020  

 •  2020 SIAM-CAIMS 2nd Joint Annual Meeting (Virtual AN20), July 2020 

 •  Workshop on Finance 2019, Tokyo Metropolitan University, Japan, Sep 2019. 

 •  Seminar on Applied Probability and Stochastic Control, Xidian University, Xi'an, China, July 2019  

 •  SIAM Conference on Control and Its Applications, Chengdu, China,  June 19-21, 2019

 •  Workshop for Young Researchers in Probability and Statistics, Yinchuan, China, June 14-17, 2019 

 •  Seminar on Financial Mathematics, South China Normal University, Guangzhou, Dec 2018  

 •  Joint Seminar on Financial Mathematics, Probability and Stochastic Processes, LPSM, Paris 6 and Paris 7, Oct 2018

 •  10th World Congress of the Bachelier Finance Society, Dublin, Ireland, July 16-20, 2018

 •  The 12th AIMS Conference on Dynamical Systems, Differential Equations and Applications, Taipei, Taiwan, July 5-9, 2018 

 •  Two days Workshop on Stochastic Control and Applications, VPSMS, Verona, Italy, May 10-11, 2018

 •  The Fourth Young Researchers Meeting on BSDEs, Nonlinear Expectations and Mathematical Finance, Shanghai, China, April 2018.

 •  Workshop on Stochastic Control and Related Issues, Osaka, Japan, March 2018

 •  Shandong-PolyU JRC Workshop on Applied Mathematics with Financial Applications, Hong Kong, Feb 2018

 •  Financial Mathematics Seminar, Key Laboratory of Mathematical Economics and Quantitative Finance, Peking University, China, Jan 2018

 •  Paris Bachelier Seminar, Institut Henri Poincaré, Paris, France,  January 2018

 •  Probability Seminar, Nankai University, Tianjin, China, November 2017

 •   Workshop on Stochastic Processes in Actuarial Science and Finance, Vietnam Institute for Advanced Study in Mathematics, Vietnam, July 2017

 •  Conference on Asymptotic Statistics of Stochastic Processes and Applications in Finance, Steklov Institute, Saint Petersburg, Russia, July 2017

 •  Probability Seminar, Nankai University, Tianjin, China, June 2017

 •  The Second Paris-Asia Conference in Quantitative Finance, Suzhou, China, May 2017

 •  The 5th Asian Quantitative Finance Conference, Seoul, Korea, April 2017

 •  The 2nd NUS-USPC Workshop on New Challenges in Financial Risk Control, Singapore, April 2017

 •   Department Seminar in System Engineering and Engineering Management, The Chinese University of Hong Kong, Feb 2017

 •   Probability Seminar, University of Science and Technology of China, December 2016

 •  Mini-symposium speaker at SIAM Conference on Financial Mathematics and Engineering, Austin, Texas, USA, November 2016.

 •   Probability Seminar, Osaka University, Japan, November 2016

 •  Workshop on Dirichlet Forms and Stochastic Analysis, Kansai University, Japan, November 2016

 •  Workshop on Applied Mathematics, Shandong University, China, June 2016

 •  4th workshop on Optimization and Risk Management, Hong Kong Polytechnic University, December 2015

 •  Financial/Actuarial Mathematics Seminar, University of Michigan, USA, April 2015

 •  Department Seminar, Vienna University of Economics and Business, Austria, January 2015

 •  Stochastic Analysis Seminar, Worcester Polytechnic Institute, Massachusetts, USA, November 2014.

 •  Mini-symposium speaker at SIAM Conference on Financial Mathematics and Engineering, Chicago, USA, November, 2014.

 •  Financial/Actuarial Mathematics Seminar, University of Michigan, USA, Feb 2014

 •  AMS Sectional Meeting, Special Session on Financial Mathematics, Boston College, MA, USA, April 2013.

 •  The 4th Berlin Workshop on Mathematical Finance for Young Researchers, Humboldt Universitaet zu Berlin, Berlin, Germany, October 2012.

 •  Financial/Actuarial Mathematics Seminar, University of Michigan, Michigan, USA, September 2012

 •  Mini-symposium speaker at SIAM Conference on Financial Mathematics and Engineering, Minneapolis, Minnesota, USA, July 2012.

 •  Probability and Computational Finance Seminar, Carnegie Mellon University, Pennsylvania, USA, September 2011.

 •  Mathematical Finance and Probability Seminar, University of Texas at Austin, Texas, USA, April 2011 and October 2011