My research is focused on Mathematical Finance and Applied Probability. It in particular involves the areas of stochastic analysis, stochastic control, optimal stopping, and the theory of viscosity solutions to fully nonlinear PDEs.
Working Papers
• 
American Student Loans: Repayment and Valuation
(with Paolo Guasoni and Saeed Khalili)

Submitted [SSRN] 
• 
Optimal Equilibria for MultiDimensional TimeInconsistent Stopping Problems
(with Zhenhua Wang)

Submitted [arXiv] 
• 
Mortality and Healthcare: a Stochastic Control Analysis under EpsteinZin Preferences
(with Joshua Aurand)

Submitted [arXiv] 
• 
Generalized Duality for ModelFree Superhedging given Marginals
(with Arash Fahim and Saeed Khalili)

Submitted [arXiv] 
• 
Asymptotic Optimality in Byzantine Distributed Quickest Change Detection
(with YuChih Huang and ShihChun Lin)

Submitted [arXiv] 
• 
Optimal Stopping under Model Ambiguity: a TimeConsistent Equilibrium Approach
(with Xiang Yu)

Submitted [arXiv] [slides] 
• 
EpsteinZin Utility Maximization on Random Horizons
(with Joshua Aurand)

Submitted [arXiv] 
Publications
Journal Articles
• 
Strong and Weak Equilibria for TimeInconsistent Stochastic Control in Continuous Time
(with Zhou Zhou)
Mathematics of Operations Research, forthcoming.

[arXiv] [slides] 
• 
Optimal Equilibria for TimeInconsistent Stopping Problems in Continuous Time
(with Zhou Zhou)
Mathematical Finance, 30 (2020), No. 3, pp 11031134.

[arXiv] [slides] 
• 
General Stopping Behaviors of Naive and NonCommitted Sophisticated Agents, with Application to Probability Distortion
(with Adrien NguyenHuu and Xunyu Zhou)
Mathematical Finance, 30 (2020), No. 1, pp 310340.

[arXiv] [SSRN] 
• 
Consumption, Investment, and Healthcare with Aging
(with Paolo Guasoni)
Finance and Stochastics, 23 (2019), No. 2, pp 313358.

[arXiv] [SSRN] [slides]

• 
Optimal Consumption in the Stochastic Ramsey Problem without Boundedness Constraints
(with Saeed Khalili)
SIAM Journal on Control and Optimization, 57 (2019), No. 2, pp 783809.

[arXiv] 
• 
The Optimal Equilibrium for TimeInconsistent Stopping Problems  the DiscreteTime Case
(with Zhou Zhou)
SIAM Journal on Control and Optimization, 57 (2019), No. 1, pp 590609.

[arXiv]

• 
TimeConsistent Stopping under Decreasing Impatience
(with Adrien NguyenHuu)
Finance and Stochastics, 22 (2018), No. 1, pp 6995.

[arXiv] [slides] 
• 
The Stochastic Solution to a Cauchy Problem for Degenerate Parabolic Equations
(with Xiaoshen Chen, Qingshuo Song, and Chao Zhu)
Journal of Mathematical Analysis and Applications, 451 (2017), No. 1, pp 448472.

[arXiv] [slides] 
• 
ModelIndependent Superhedging under Portfolio Constraints
(with Arash Fahim)
Finance and Stochastics, 20 (2016), No. 1, pp. 5181.

[arXiv] [slides] 
• 
On Hedging American Options under Model Uncertainty
(with Erhan Bayraktar and Zhou Zhou)
SIAM Journal on Financial Mathematics, 6 (2015), No.1, pp. 425447.

[arXiv] 
• 
Robust Maximization of Asymptotic Growth under Covariance Uncertainty
(with Erhan Bayraktar)
Annals of Applied Probability, 23 (2013), No. 5, pp. 18171840.

[arXiv] [audio & slides] [poster] 
• 
On the MultiDimensional ControllerandStopper Games
(with Erhan Bayraktar)
SIAM Journal on Control and Optimization, 51 (2013), No. 2, pp. 12631297.

[arXiv] [slides] 
• 
Outperforming the Market Portfolio with a Given Probability
(with Erhan Bayraktar and Qingshuo Song)
Annals of Applied Probability, 22 (2012), No. 4, pp. 14651494.

[arXiv] [slides] 
Conference Articles
• 
A Tight Converse to the Asymptotic Performance of Byzantine Distributed Sequential Change Detection
(with ShihChun Lin and YuChih Huang)
2019 IEEE International Symposium on Information Theory, pp. 24042408.

[pdf]

• 
On Byzantine Distributed Sequential Change Detection with Multiple Hypotheses
(with ShihChun Lin and YuChih Huang)
2019 IEEE International Symposium on Information Theory, pp. 22092213.

[pdf]


