Publications and Preprints
Stochastic Control/Optimal Stopping Problems in Mathematical Finance and Economics
7. Shuoqing Deng, Jixin Wang, Xiang Yu and Jiacheng Zhang.
RL for stochastic target.
Working Paper.
6. Shuoqing Deng, Zhichao Luo and Zhenhua Wang.
Kyle meets time-inconsistency: a dynamic mean-variance informed trading problem.
arXiv Preprint.
5. Shuoqing Deng, Xiang Yu and Jiacheng Zhang.
On time-consistent equilibrium stopping under aggregation of diverse discount rates.
Mathematics of Operations Research, to appear, 2025.
4. Shuoqing Deng, Xun Li, Huyen Pham and Xiang Yu.
Optimal consumption with reference to past spending maximum.
Finance and Stochastics, 26: 217-266, 2022.
3. Shuoqing Deng, Xiaolu Tan and Xiang Yu.
Utility maximization with proportional transaction costs under model uncertainty.
Mathematics of Operations Research, 45(4): 1210-1236, 2020.
2. Cyril Benezet, Jeremie Bonnefoy, Jean-Francois Chassagneux, Shuoqing Deng, Camilo Garcia Trillos and Lionel Lenotre.
A Sparse grid approach to balance sheet risk measurement.
ESAIM: Proceedings and Surveys, 65: 236-265, 2019.
Bruno Bouchard, Shuoqing Deng and Xiaolu Tan.
Superreplication with proportional transaction cost under model uncertainty.
Mathematical Finance, 29(3): 837-860, 2019.
Mean Field Games/McKean-Vlasov Dynamics
4. Shuoqing Deng, Gaoyue Guo and Mengtian Wang.
Systemic robustness in the positive market.
Working Paper.
3. Shuoqing Deng, Gaoyue Guo and Mingxin Guo.
Major-Minor Mean Field Game of mutual holding.
Preprint.
2. Daorong Cui, Shuoqing Deng and Yang Xiang.
Convex ordering for graphon mean-field systems.
arXiv Preprint.
1. Daorong Cui, Shuoqing Deng and Yang Xiang.
Graphon Mean Field Game of mutual holding.
arXiv Preprint.
(Martingale) Optimal Transport/ Distribution-constrained stopping
9. Shuoqing Deng, Daxin Huang and Dominykas Norgilas.
On the monotonicity principle of distribution-constrained multiple stopping.
Working Paper.
8. Erhan Bayraktar, Shuoqing Deng, Daxin Huang and Dominykas Norgilas.
On the BAMOT.
Preprint.
7. Shuoqing Deng and Xin Zhang.
Distribution-constrained maximum stopping of maximum type.
arXiv Preprint.
6. Shuoqing Deng and Daxin Huang.
Distribution-constrained optimal multiple stopping: the Root-type solution.
arXiv Preprint.
5. Shuoqing Deng, Gaoyue Guo and Dominykas Norgilas.
Stability of supermartingale optimal transport problems.
arXiv Preprint.
4. Erhan Bayraktar, Shuoqing Deng and Dominykas Norgilas.
Supermartingale shadow couplings: the decreasing case.
Bernoulli, 30(1): 143-169, 2024.
3. Erhan Bayraktar, Shuoqing Deng and Dominykas Norgilas.
A potential-based construction of the increasing supermartingale coupling.
Annals of Applied Probability, 33(5): 3803-3834, 2023.
2. Erhan Bayraktar, Shuoqing Deng and Dominykas Norgilas.
Supermartingale Brenier’s Theorem with full-marginals constraint.
Frontiers of Mathematical Finance, 2(2): 202-243, 2023.
1. Anna Aksamit, Shuoqing Deng, Jan Obloj and Xiaolu Tan.
The robust pricing-hedging duality for American options in discrete time financial markets.
Mathematical Finance, 29(3): 861-897, 2019.