Research

Research interests

A significant portion of my research focuses on studying multi-objective stochastic control problems, which are often motivated by problems from financial mathematics. One such example is the mean-risk approach to portfolio selection, where a bi-objective problem arises naturally. I am interested in time consistency properties of these problems and how dynamic programming can be used to handle these problems. 

Relatedly, I am also interested in numerical algorithms for solving multi-objective (and vector) optimization problems. In particular, I have worked on algorithms for approximately solving convex vector optimization problems and algorithms for convex projection problems.

Research visits

• Department of Applied Mathematics, Illinois Institute of Technology (March 2024)

  • supported by the SIAM Postdoctoral Support Funding grant

• Department of Applied Mathematics, Illinois Institute of Technology (February 2023)

  • supported by the WU International Research Fellow grant

• Department of Industrial Engineering, Bilkent University (November-December 2021)

  • supported by Vienna Graduate School on Computational Optimization funding

Awards

• 2022 Stephen Koren Prize for dissertation

• 2022 Dr. Maria Schaumayer Stiftung prize for dissertation

• 2021 SIAM Activity Group on Financial Mathematics and Engineering Conference Paper Prize

• 2021 WU Award for a Star Journal Article

Grants

• Association of Women in Mathematics (AWM-NSF) travel grant (2024)

• SIAM Postdoctoral Support Funding grant with I. Cialenco as a mentor for a project on model uncertainty in multi-objective stochastic control problems (2023-2024)

• WU International Research Fellow travel grant (2023)