Publications
W. Tian and Z. Zhu. A Portfolio Choice Problem Under Risk Capacity Constraint.
Annals of Finance 18, 285–326 (2022). [arXiv, DOI]
2. C.Gao, S.Gao, R. Hu and Z. Zhu. Convergence of the Backward Deep BSDE Method with Applications to Optimal Stopping Problems.
SIAM Journal on Financial Mathematics 14 (4), 1290-1303 (2023). [arXiv, DOI]
3. J. Zhang and Z. Zhu. A Dynamic Principal Agent Problem with One-sided Commitment.
Mathematics of Operations Research 50 (4), 2600-2632 (2025). [arXiv,DOI]
Preprints
J.Li, J.Zhang and Z.Zhu. Stackelberg Games with a Robust Leader. Preprint. [arxiv]
J.Sung, J.Zhang and Z.Zhu. A General Model for Continuous Time Principal-Agent Problem Under Hidden Action. Preprint. [arxiv]
M.Ludkovski, C.Xie and Z.Zhu. DeepPAAC: A New Deep Galerkin Method for Principal-Agent Problems. Preprint. [arxiv][github]
D.Tian, W.Tian, J.Zhou and Z.Zhu. Optimal Consumption-Investment with Epstein-Zin Utility under Leverage Constraint. Preprint. [arxiv]
D.Tian, W.Tian, J.Zhou and Z.Zhu. Optimal Comfortable Consumption under Epstein-Zin utility. Preprint. [arxiv]
6. W. Tian and Z. Zhu. Smoothness of the Value Function for Optimal Consumption Model with Consumption-Wealth Utility and Borrowing Constraint. Preprint. [arXiv]