Research

Publications

1. 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. accepted.  [arXiv,DOI]

      Preprints

1. D. Tian,  W.Tian and Z.Zhu.  Optimal Comfortable Consumption under Epstein-Zin utility. Preprint. [arxiv]

 2. W. Tian and Z. Zhu.  Smoothness of the Value Function for Optimal Consumption Model with Consumption-Wealth Utility and Borrowing Constraint.

     Preprint.  [arXiv]

   Work in Progress

1.  J. Sung, J. Zhang and Z. Zhu. A unified continuous time Principal-Agent model with hidden action. 

     Working Paper.

2.  M. Ludkovski and Z. Zhu.  A Machine Learning Approach to Principal-Agent Problem.

     Working Paper.