Research Interests
Stocahstic analysis/optimization and its application to mathematical finance
Main Research Topics
Stochastic Portfolio Theory
Stochastic Volterra Integral Equation
Free Boundary Problems in Mathematical Finance
Preprints
Optimal Portfolio Selection and Early Retirement with Target Wealth Constraints (2025), SSRN, 39pp (with Junkee Jeon and Takwon Kim)
Revise and resubmit (for 2nd round review) at Mathematics and Financial Economics
Finite-Horizon Optimal Retirement Decisions under Subsistence Consumption Constraints (2026), SSRN, 21pp (with Junkee Jeon and Takwon Kim)
Revise and resubmit (for 2nd round review) at Mathematical Control and Related Fields
Dynamic Asset Allocation with Partially Reversible Retirement Decisions (2025), SSRN, 31pp (with Junkee Jeon and Takwon Kim)
Working Longer, Not Harder: Target Wealth, Leisure, and Retirement (2026), SSRN, 14pp (with Junkee Jeon and Takwon Kim)
Revise and resubmit at Finance Research Letters
Publications
On equisingular approximation of plurisubharmonic functions (2023) (with Hoseob Seo)
Journal of Mathematical Anlaysis and Applications 521, no. 2, 126987
Optimal portfolio and retirement decisions with costly job switching options (2025) (with Junkee Jeon and Takwon Kim)
Applied Mathematics and Computation 491, 129215
Optimal portfolio and labor-leisure decisions with intolerance for declining standard living (2025) (with Junkee Jeon and Takwon Kim)
Quantitative Finance, 25, no. 8, 1293-1313
Optimal Contract Design with Labor-Leisure Choice under Limited Commitment: A Free Boundary Approach (2026) (with Junkee Jeon and Takwon Kim)
Mathematics and Computers in Simulation, 239, 967-985