Publications and Preprints
Preprints
D. Cui, S. Deng and Y. Xiang.
Convex order preservation for Graphon Mean Field systems.
Preprint.
S. Deng and D. Huang.
Distribution-constrained optimal multiple stopping: the Root-type solution.
Preprint.
D. Cui, S. Deng and Y. Xiang.
Graphon Mean Field Game of mutual holding.
Preprint, available at arXiv 2606.28254.
S. Deng, G. Guo and D. Norgilas.
Stability of supermartingale optimal transport problems.
Preprint, available at arXiv 2603.27940.
Publications
S. Deng, X. Yu and J. Zhang.
On time-consistent equilibrium stopping under aggregation of diverse discount rates.
Mathematics of Operations Research, to appear, 2025.
E. Bayraktar, S. Deng and D. Norgilas.
Supermartingale shadow couplings: the decreasing case.
Bernoulli, 30(1): 143-169, 2024.
E. Bayraktar, S. Deng and D. Norgilas.
A potential-based construction of the increasing supermartingale coupling.
Annals of Applied Probability, 33(5): 3803-3834, 2023.
E. Bayraktar, S. Deng and D. Norgilas.
Supermartingale Brenier’s Theorem with full-marginals constraint.
Frontiers of Mathematical Finance, 2(2): 202-243, 2023.
S. Deng, X. Li, H. Pham and X. Yu.
Optimal consumption with reference to past spending maximum.
Finance and Stochastics, 26: 217-266, 2022.
S. Deng, X. Tan and X. Yu.
Utility maximization with proportional transaction costs under model uncertainty.
Mathematics of Operations Research, 45(4): 1210-1236, 2020.
C. Benezet, J. Bonnefoy, J.F. Chassagneux, S. Deng, C. Trillos and L. Lenotre.
A Sparse grid approach to balance sheet risk measurement.
ESAIM: Proceedings and Surveys, 65: 236-265, 2019.
A. Aksamit, S. Deng, J. Obloj and X. Tan.
The robust pricing-hedging duality for American options in discrete time financial markets.
Mathematical Finance, 29(3): 861-897, 2019.
B. Bouchard, S. Deng and X. Tan.
Superreplication with proportional transaction cost under model uncertainty.
Mathematical Finance, 29(3): 837-860, 2019.