Research Interests
Research Interests
Portfolio selection
Free boundary problems
Regularity theory for degeneate equations
Statistical testing
Portfolio selection
Free boundary problems
Regularity theory for degeneate equations
Statistical testing
08. Liouville-type theorems for Lane--Emden inequalities involving nonlocal operators (2026), arXiv:2602.13822, 10pp
(with Taehun Lee)
07. When do loss-averse households retire? Intertemporal loss aversion and sticky consumption (2026), ssrn.6199978, 14pp
(with Junkee Jeon)
06. Optimal early retirement with target wealth and borrowing constraints (2025), 10.2139/ssrn.5956194, 34pp
(with Jongbong An and Junkee Jeon)
05. Dynamic asset allocation with partially reversible retirement decisions (2025), 10.2139/ssrn.5362992, 31pp
(with Jongbong An and Junkee Jeon)
04. Finite-horizon optimal consumption, investment, and retirement decisions with a subsistence consumption constraint (2025), 10.2139/ssrn.5188179, 21pp
(with Jongbong An and Junkee Jeon)
03. Optimal portfolio selection and early retirement with target wealth Constraints (2025), 10.2139/ssrn.5143989, 20pp
(with Jongbong An and Junkee Jeon)
02. 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)
01. The finite-horizon retirement problem with borrowing constraint: A zero-sum stopper vs. singular-controller game (2023), 10.2139/ssrn.5188179, 46pp
revise and resubmit (for 3rd round review) at Mathematics of Operations Research (with Junkee Jeon and Zhou Yang)
11. The finite-horizon reversible investment problem with a constant elasticity of variance model (2026), SSRN
(with Junkee Jeon)
to appear in SIAM Journal on Control and Optimization
10. Working longer, not harder: target wealth, leisure, and retirement (2026)
(with Jongbong An and Junkee Jeon)
Finance Research Letters 96, 109756
09. Optimal contract design with labor-leisure choice under limited commitment: a free boundary approach (2026)
(with Jongbong An and Junkee Jeon)
Mathematics and Computers in Simulation 239, 967-985
08. Optimal portfolio and labor-leisure decisions with intolerance for declining standard of living (2025)
(with Jongbong An and Junkee Jeon)
Quantitative Finance 25(8), 1293-1313
07. Weighted conditional network testing for multiple high-dimensional correlated data sets (2026+)
(with Inyoung Kim and Ki-Ahm Lee)
to appear at Statistica Sinica
06. Optimal portfolio and retirement decisions with costly job switching options (2025)
(with Jongbong An and Junkee Jeon)
Applied Mathematics and Computation 491, 129215
05. Generalized Schauder theory and its application to degenerate/singular parabolic equations (2024)
(with Ki-Ahm Lee and Hyungsung Yun)
Mathematische Annalen 390, 6049–6109
04. 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.
03. A double obstacle problem in an optimal investment problem (2023)
(with Ki-Ahm Lee and Jinwan Park)
Nonlinear Analysis 232, Paper No. 113282.
02. Higher regularity up to boundary for degenerate parabolic equations (2023)
(with Ki-Ahm Lee and Hyungsung Yun)
Journal of Differential Equations 348, 223-277.
01. 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.