Research Interests

• Option pricing

• Portfolio selection

• Free boundary problems

• Regularity theory

• Statistical testing

Preprints

• Dynamic Asset Allocation with Partially Reversible Retirement Decisions (2025), SSRN, 31pp
  (with Jongbong An and Junkee Jeon)

• Finite-Horizon Optimal Consumption, Investment, and Retirement Decisions with a Subsistence Consumption Constraint (2025), SSRN, 21pp
  (with Jongbong An and Junkee Jeon)

• Optimal Portfolio Selection and Early Retirement with Target Wealth Constraints (2025), SSRN, 20pp
  (with Jongbong An and Junkee Jeon)

• Existence of solutions and Lipschitz continuity of free boundary for the obstacle problem of the porous medium equations (2024), 19pp 

(with Sunghoon Kim and Jinwan Park)

• The finite-horizon reversible investment problem with a CEV-like diffusion model (2023), SSRN, 24pp 

revision requested (for 3rd round review) at SIAM Journal on Control and Optimization (with Junkee Jeon)

• The finite-horizon retirement problem with borrowing constraint: A zero-sum stopper vs. singular-controller game (2023), SSRN, 46pp

revise and resubmit (for 2nd round review) at Mathematics of Operations Research (with Junkee Jeon and Zhou Yang)

Publications

• Optimal Contract Design with Labor-Leisure Choice under Limited Commitment: A Free Boundary Approach (2025+), SSRN, 20pp
  to appear at Mathematics and Computers in Simulation (with Jongbong An and Junkee Jeon)

• Optimal Portfolio and Labor-Leisure Decisions with intolerance for declining standard of living (2025+)

to appear at Quantitative Finance (with Jongbong An and Junkee Jeon)

• Weighted conditional network testing for multiple high-dimensional correlated data sets (2025+)

to appear at Statistica Sinica (with Inyoung Kim and Ki-Ahm Lee)

• Optimal portfolio and retirement decisions with costly job switching options (2025)

(with Jongbong An and Junkee Jeon)

Applied Mathematics and Computation 491, 129215

• Generalized Schauder theory and its application to degenerate/singular parabolic equations (2024)

(with Ki-Ahm Lee and Hyungsung Yun)

Mathematische Annalen 390, 6049–6109

• Pricing vulnerable options in fractional Brownian markets: a partial differential equations approach (2024)

(with Ki-Ahm Lee, Jinwan Park, and Ji-Hun Yoon)

Fractional Calculus and Applied Analysis 27(1), 247-280.

• A double obstacle problem in an optimal investment problem (2023)

(with Ki-Ahm Lee and Jinwan Park)

Nonlinear Analysis 232, Paper No. 113282.

• Higher regularity up to boundary for degenerate parabolic equations (2023)

(with Ki-Ahm Lee and Hyungsung Yun)
Journal of Differential Equations 348, 223-277.

• New approach and analysis of the generalized constant elasticity of variance model (2023)

(with Inyoung Kim, Ki-Ahm Lee, and Ji-Hun Yoon)
Applied Stochastic Models in Business and Industry 39(1), 114-155.