My research is in stochastic control and its applications in mathematical finance and insurance. Publications and preprints are listed below.

Publications

1. Optimal ratcheting of dividends with irreversible reinsurance, Insurance: Mathematics and Economics, 128:103243. (2026) [Journal] [arXiv] (with Tim J. Boonen)

2. Duality method for multidimensional nonsmooth constrained linear convex stochastic control, Journal of Optimization Theory and Applications, 199(1):80–111. (2023) [Journal] (with Harry Zheng)

3. A stochastic control approach to bid-ask price modelling, International Journal of Theoretical and Applied Finance, 25(04n05):2250021. (2022) [Journal] [arXiv] (with Robert J. Elliott)

4. Backward stochastic differential equations with regime-switching and sublinear expectations, Stochastic Processes and their Applications, 148:278–298. (2022) [Journal] [arXiv] (with Robert J. Elliott)

5. Conditional coherent risk measures and regime-switching conic pricing, Probability, Uncertainty and Quantitative Risk, 6(4):267–300. (2021) [Journal] (with Robert J. Elliott)

Preprints

1. Optimal dividend, reinsurance, and capital injection for collaborating business lines under model uncertainty (2026) [arXiv] (with Tim J. Boonen and Len Patrick Dominic M. Garces)

2. Optimal dividend, reinsurance, and capital injection strategies for collaborating business lines: The case of excess-of-loss reinsurance (2025) [arXiv] (with Tim J. Boonen)

3. Optimal dividend, reinsurance, and capital injection strategies for an insurer with two collaborating business lines (2025) [arXiv] (with Tim J. Boonen and Bin Zou)