Publications

Published Journal Articles

  1. Time Consistent Stopping for the Mean-Standard Deviation Problem — the Discrete Time Case , (with Jingjie Zhang and Zhou Zhou), SIAM Journal on Financial Mathematics, 10(3), 667–697, 2019. [SSRN], [Article].
  2. On the controller-stopper problems with controlled jumps , (with Jiaqi Li), Applied Mathematics and Optimization , August 2019, Volume 80, Issue 1, 195–222. [ArXiv], [Article].
  3. Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates , (with Bahman Angoshtari and Jenny Young), SIAM Journal on Financial Mathematics, 10(2), 547–577, 2019. [SSRN], 468-486, 2019.[Article].
  4. No Arbitrage and hedging with liquid American options , (with Zhou Zhou) Mathematics of Operations Research, 44 (2), 468-486, 2019. [SSRN], [ArXiv], [Article].
  5. Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices , (with Xiang Yu), Mathematics and Financial Economics, March 2019, 13 (2), 253-286. [SSRN], [ArXiv], [Article].
  6. High order Bellman equations and weakly chained diagonally dominant tensors, (with Parsiad Azimzadeh), SIAM Journal on Matrix Analysis and Applications, 40(1), 276-298, 2019. [ArXiv], [Article].
  7. Distribution-Constrained Optimal Stopping, (with Christopher W. Miller), Mathematical Finance, January 2019, Volume 29, Issue1, Pages 368-406. [SSRN], [ArXiv], [Article].
  8. Rate Control under Heavy Traffic with Strategic Servers , (with Amarjit Budhiraja and Asaf Cohen), Annals of Applied Probability, Vol. 29, No. 1, 1-35, 2019. [ArXiv], [Article].
  9. Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities, (with Parsiad Azimzadeh and George Labahn), SIAM Journal on Control and Optimization , 56(6), 3994–4016, 2018. [ArXiv], [Article].
  10. A numerical scheme for a mean field game in some queueing systems based on Markov chain approximation method , (with Amarjit Budhiraja and Asaf Cohen), SIAM Journal on Control and Optimization , 56(6), 4017–4044, 2018. [ArXiv]. [Article]
  11. On Zero-sum Optimal Stopping Games, (with Zhou Zhou), Applied Mathematics and Optimization, 78 (3), 457–468, 2018. [SSRN], [ArXiv], [Article].
  12. Analysis of a Finite State Many Player Game Using its Master Equation, (with Asaf Cohen), SIAM Journal on Control and Optimization , 56(5), 3538–3568. [SSRN], [ArXiv], [Article].
  13. Mini-Flash Crashes, Model Risk, and Optimal Execution, (with Alexander Munk), Market Microstructure and Liquidity, Vol 4, No.1, 44 pages. [SSRN], [Article], [News Article].
  14. Path-dependent Hamilton-Jacobi equations in infinite dimensions, (with Christian Keller), Journal of Functional Analysis, [ArXiv], [Article], Volume 275, Issue 8, 15 October 2018, Pages 2096-2161.
  15. On the Market Viability under Proportional Transaction Costs , (with Xiang Yu), Mathematical Finance, 28 (3), 800-838, July 2018. [SSRN], [ArXiv], [Article].
  16. Recombining Tree Approximations for Optimal Stopping for Diffusions, (with Yan Dolinsky and Jia Guo), SIAM Journal on Financial Mathematics , SIAM J. Finan. Math., 9(2), 602–633, 2018. [SSRN], [ArXiv], [Article].
  17. Quantile Hedging in a Semi-Static Market with Model Uncertainty, (with Gu Wang), Mathematical Methods of Operations Research, April 2018, Volume 87, Issue 2, 197–227. [SSRN], [ArXiv], [Article].
  18. Efficient Byzantine Sequential Change Detection, (with Georgios Fellouris and Lifeng Lai), IEEE Transactions on Information Theory , 64 (5), 1-15, May 2018. [ArXiv], [Article].
  19. Risk Sensitive Control of the Lifetime Ruin Problem , (with Asaf Cohen), Applied Mathematics and Optimization, April 2018, Volume 77, Issue 2, 229–252. [SSRN], [ArXiv], [Article].
  20. Martingale optimal transport with stopping , (with Alex Cox and Yavor Stoev), SIAM Journal on Control and Optimization , 56(1), 417–433, 2018. [SSRN], [ArXiv]. [Article].
  21. Solvability of the non-linear Dirichlet problem with Integro-Differential operators , (with Qingshuo Song), SIAM Journal on Control and Optimization , 56:292-315 (2018). [Article].
  22. Randomized dynamic programming principle and Feynman-Kac representation for optimal control of McKean-Vlasov dynamics , (with Andrea Cosso and Huyen Pham), Transactions of the American Mathematical Society , Volume 370, Number 3, March 2018, Pages 2115–2160. [HAL], [ArXiv], [Article].
  23. On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints , (with Zhou Zhou), Mathematical Finance , Vol 27, No. 4, 988-1012, 2017. [SSRN], [ArXiv], [Article].
  24. Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty, (with Zhou Zhou), International Journal of Theoretical and Applied Finance , 20 (6), 10 pages. [SSRN], [ArXiv], [Article].
  25. On the Robust Dynkin Game, (with Song Yao), Annals of Applied Probability, 2017, 27 (3), 1702-1755. [SSRN], [ArXiv], [Article]
  26. High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering, (with Alex Munk), Market Microstructure and Liquidity, 2017, 3 (1), 45 pages. [SSRN], [ArXiv], [Article], [News Article]
  27. Ergodicity of robust switching control and nonlinear system of quasi variational inequalities , (with Andrea Cosso and Huyen Pham), SIAM Journal on Control and Optimization , 2017, 55(3), 1915–1953. [HAL], [ArXiv], [Article]
  28. Optimal Stopping with Random Maturity under Nonlinear Expectations, (with Song Yao), Stochastic Processes and Their Applications , 2017, 127(8), Pages 2586-2629 [ArXiv], [Article].
  29. Arbitrage, hedging and utility maximization using semi-static trading strategies with American options, (with Zhou Zhou), Annals of Applied Probability, 2016, 26 (6), 3531-3558. [SSRN], [ArXiv], [Article]
  30. A rank based mean field game in the strong formulation , (with Yuchong Zhang), Electronic Communications in Probability , 2016, Vol. 21, paper no. 72, 1-12. [SSRN], [ArXiv], [Article]
  31. Robust feedback switching control: dynamic programming and viscosity solutions , (with Andrea Cosso and Huyen Pham), SIAM Journal on Control and Optimization, 54(5), 2594–2628, October 2016. [ArXiv], [HAL], [Article].
  32. Stochastic Perron for Stochastic Target Problems, (with Jiaqi Li), Journal of Optimization Theory and Applications, Volume 170, September 2016, Issue 3, 1026–1054.[ArXiv], [Article].
  33. Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty, (with Yuchong Zhang), Mathematics of Operations Research , 41 (3), 2016, 1039 – 1054. [SSRN], [ArXiv], [Article].
  34. Optimally Investing to Reach a Bequest Goal , (with Jenny Young), Insurance: Mathematics and Economics, Volume 70, September 2016, 1–10. [SSRN], [ArXiv], [Article].
  35. Minimizing the Probability of Lifetime Drawdown under Constant Consumption , (with Bahman Angoshtari and Jenny Young), Insurance: Mathematics and Economics, Volume 69, July 2016, 210–223. [SSRN], [ArXiv], [Article].
  36. Optimal Investment to Minimize the Probability of Drawdown, (with Bahman Angoshtari and Jenny Young), Stochastics, Volume 88 (6), 2016, 946-958. [SSRN], [ArXiv], [Article]
  37. On an Optimal Stopping Problem of an Insider , (with Zhou Zhou), Teoriya Veroyatnoste i i ee Primeneniya, 61 (1), 181-186, 2016; also published as Theory of Probability and its applications 61-1 (2017), pp. 133-139 (SIAM version) [SSRN], [ArXiv], [Russian version], [SIAM version].
  38. On a Stopping Game in continuous time , (with Zhou Zhou),Proceedings of the AMS 144 (8), 3589-3596, 2016. [ArXiv], [Article].
  39. An alpha-Stable Limit Theorem Under Sublinear Expectation , (with Alex Munk), Bernoulli, 22 (4), 2548-2578, 2016. [ArXiv].
  40. Stochastic Perron for Stochastic Target Games, (with Jiaqi Li), Annals of Applied Probability, 26 (2), 1082-1110, 2016. [ArXiv/Article].
  41. Purchasing Term Life Insurance to Reach a Bequest while Consuming, (with David Promislow and Jenny Young), SIAM Journal on Financial Mathematics, 7(1), 183–214, 2016. [SSRN], [ArXiv], [Article].
  42. Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption , (with Bahman Angoshtari and Jenny Young), Finance Research Letters, Volume 15, Pages 106–114, 2015. [SSRN], [ArXiv], [Article].
  43. Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games , (with Song Yao),Stochastic Processes and Their Applications , 125 (12) 4489–4542, 2015. [ArXiv], [Article].
  44. Weak reflection principle for Levy processes , (with Sergey Nadtochiy), Annals of Applied Probability, 25 (6), 3251-3294, 2015. [SSRN], [ArXiv], [Article].
  45. Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case , (with David Promislow and Jenny Young), North American Actuarial Journal , 19 (3), 224-236, 2015. [ArXiv], [Article].
  46. Comparing the $G$-Normal Distribution to its Classical Counterpart, (with Alexander Munk), Communications on Stochastic Analysis , 9 (1), 1-18, 2015. [ArXiv], [SSRN], [Article].
  47. On hedging American options under model uncertainty , (with Yu-Jui Huang and Zhou Zhou), SIAM Journal on Financial Mathematics (SIFIN), , 6(1), 425–447, 2015.[SSRN], [ArXiv], [Article].
  48. Byzantine Fault Tolerant Distributed Quickest Change Detection, (with Lifeng Lai), SIAM Journal on Control and Optimization , 53(2), 575-591, 2015. [ArXiv], [Article].
  49. Quickest Detection with Discretely Controlled Observations, (with Ross Kravitz), Sequential Analysis, 34 (1), 77-133, 2015. [ArXiv], [Article].
  50. Stochastic Perron’s Method for the Probability of lifetime ruin problem under transaction costs, (with Yuchong Zhang), SICON (SIAM Journal on Control and Optimization), 53(1), 91-113, 2015. [SSRN],[ArXiv], [Article].
  51. Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion , (with Yuchong Zhang), SICON (SIAM Journal on Control and Optimization), 53(1), 58-90, 2015. [SSRN], [ArXiv], [Article].
  52. A note on the Fundamental Theorem of Asset Pricing under model uncertainty , (with Yuchong Zhang and Zhou Zhou), Risks , 2(4), 425-433, 2014. [SSRN], [ArXiv], [Article].
  53. On the Robust Optimal Stopping Problem , (with Song Yao), SIAM Journal on Control and Optimization, 52(5), 3135-3175, 2014. [SSRN], [ArXiv], [Article].
  54. Liquidation in Limit Order Books with Controlled Intensity, (with Mike Ludkovski), Mathematical Finance, Volume 24, Issue 4, pages 627-650, October 2014. [SSRN ], [ArXiv ], [Article ]
  55. Bayesian Quickest Change Point Detection with Sampling Right Constraints, (with Jun Geng and Lifeng Lai), IEEE Transactions on Information Theory, Volume 60, No. 10, 6474-6490, 2014. [Article].
  56. Purchasing Life Insurance to Reach a Bequest Goal, (with David Promislow and Jenny Young), Insurance: Mathematics and Economics, Volume 58, 204-216, 2014. [ArXiv], [SSRN], [Article].
  57. Quickest Search over Brownian Channels, (with Ross Kravitz), Stochastics, Volume 86, Issue 3, 473-490, 2014. [ArXiv], [Article].
  58. A Stochastic Approximation for Fully Nonlinear Free Boundary Problems, (with Arash Fahim), Numerical Methods for Partial Differential Equations , Volume 30, Issue 3, pages 902-929, May 2014. [ArXiv], [Article].
  59. A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance, (with Nicole Bauerle), Stochastics, Volume 86, Issue 2, pages 330-340, 2014. [ArXiv], [Article].
  60. Stochastic Perron’s method and verification without smoothness using viscosity comparison: obstacle problems and Dynkin games, (with Mihai Sirbu), Proceedings of the American Mathematical Society , 142 (4), 1399-1412, 2014. [ArXiv], [Article].
  61. On controller-stopper problems with jumps and their applications to indifference pricing of American options, (with Zhou Zhou), SIFIN (SIAM Journal on Financial Mathematics), 5 (1), 20-49, 2014. [ArXiv], [SSRN], [Article].
  62. Optimal reinsurance and investment with unobservable claim size and intensity , (with Zhibin Liang), IME (Insurance: Mathematics and Economics), 55 (March 2014), Pages 156–166. [Article].
  63. Optimal dividends in the dual model under transaction costs, (with Andreas Kyprianou and Kazutoshi Yamazaki), Insurance: Mathematics and Economics., 54, 133-143, 2014. [ArXiv], [SSRN], [Article]
  64. On the Existence of Consistent Price Systems, (with Mikko S. Pakkanen and Hasanjan Sayit), Stochastic Analysis and Applications, 32, 152-162, 2014. [ ArXiv], [ Article]
  65. Stochastic Perron’s method for Hamilton-Jacobi-Bellman equations, (with Mihai Sirbu), SIAM Journal on Control and Optimization , 51(6), 4274-4294, 2013.[ArXiv], [SSRN], [Article].
  66. Robust maximization of asymptotic growth under covariance uncertainty , (with Yu-Jui Huang) Annals of Applied Probability , 23 (5), 1817-1840, 2013. [ArXiv, Article ], [SSRN].
  67. On optimal dividends in the dual model, (with Andreas Kyprianou and Kazutoshi Yamazaki), ASTIN Bulletin, 43 (3), 359-372. [ArXiv], [SSRN], [Article].
  68. On the Impulse Control of Jump Diffusions, (with Tom Emmerling and Jose-Luis Menaldi), SIAM Journal on Control and Optimization , 51(3), 2612–2637, 2013. [PDF], [SSRN], [Article].
  69. Life Insurance Purchasing to Maximize Utility of Household Consumption , (with Virginia R. Young), NAAJ, 17 (2), 1–22, 2013. [ArXiv], [Article].
  70. A Weak Dynamic Programming Principle for Zero-Sum Stochastic Differential Games with Unbounded Controls, (with Song Yao), SIAM Journal on Control and Optimization , 51(3), 2036–2080, 2013. [ArXiv], [SSRN], [Article]
  71. On the Multi-dimensional controller and stopper games, (with Yu-Jui Huang), SIAM Journal on Control and Optimization, 51 (2), 1263–1297, 2013. [ArXiv],[SSRN], [Article].
  72. Stability of exponential utility maximization with respect to market perturbations, (with Ross Kravitz) Stochastic Processes and Their Applications, 123 (5), 1671-1690, 2013. [ArXiv ], [Article].
  73. Outperforming the Market Portfolio with a Given Probability, (with Yu-Jui Huang and Qingshuo Song), Annals of Applied Probability , 22 (4) 1465–1494, 2012. [ArXiv, Article], [SSRN].
  74. Stochastic Perron’s method and verification without smoothness using viscosity comparison: the linear case, (with Mihai Sirbu), Proceedings of the American Mathematical Society , 140, 3645-3654, 2012. [ArXiv ], [Article]
  75. Regularity of the Optimal Stopping Problem for Jump Diffusions, (with Hao Xing), SIAM Journal on Control and Optimization, 50 (3), 1337-1357, 2012.[ ArXiv], [Article].
  76. Valuation equations for stochastic volatility models, (with Kostas Kardaras and Hao Xing), SIAM Journal on Financial Mathematics, 2012, 3, 351-373. [SSRN], [ArXiv], [Article].
  77. Strict Local Martingale Deflators and Pricing American Call-Type Options, (with Constantinos Kardaras and Hao Xing), Finance and Stochastics , (2012), 16(2), 275-291. [SSRN], [Arxiv], [Article].
  78. Quadratic Reflected BSDEs with Unbounded Obstacles, (with Song Yao), Stochastic Processes and Their Applications, (2012), 122, 1155-1203. [ArXiv], [SSRN], [Article].
  79. Proving the Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control, (with Virginia R. Young), Finance and Stochastics (2011), 15 (4), 785-818. [SSRN], [ArXiv], [Article].
  80. Optimal Trade Execution in Illiquid Markets, (with Mike Ludkovski), Mathematical Finance (2011), 21(4), 681-701. [ArXiv], [SSRN], [Article].
  81. A Unified Framework for Pricing Credit and Equity Derivatives (with Bo Yang), Mathematical Finance, (2011), 21 (3), 493-517. [ PDF], [ArXiv], [SSRN], [Article].
  82. On the Perpetual American Put Options for Level Dependent Volatility Models with JumpsQuantitative Finance, (2011), 11 (3), 335-341. [ ArXiv], [ SSRN], [ Article].
  83. Minimizing the Probability of Lifetime Ruin under Stochastic Volatility, (with Xueying Hu and Virginia R. Young), Insurance Mathematics and Economics (2011), 49 (2), 194-206. [ArXiv], [Article]
  84. Optimal Stopping for Nonlinear Expectations, Part I (with Song Yao), Stochastic Processes and Their Applications (2011), 121 (2), 185-211. [SSRN], [Article].
  85. Optimal Stopping for Nonlinear Expectations, Part II (with Song Yao), Stochastic Processes and Their Applications (2011), 121 (2), 212-264. An older version where Part I and II appear together [ArXiv], [SSRN], [Article].
  86. Pricing Asian Options for Jump Diffusions (with Hao Xing), Mathematical Finance (2011), 21 (1), 117-143. [ArXiv], [SSRN], [Article].
  87. On the Continuity of Stochastic Exit Time Control Problems, (with Qingshuo Song and Jie Yang), Stochastic Analysis and Applications (2011), 29, 1-13. [ArXiv], [Article].
  88. Optimal Stopping for Dynamic Convex Risk Measures, (with Ioannis Karatzas and Song Yao), Illinois Journal of Mathematics, 54 (3), 1025-1067 (Fall 2010), A special volume in honor of Donald Burkholder. [ArXiv], [SSRN], [Article].
  89. On the Stickiness Property, (with Hasanjan Sayit), Quantitative Finance, (2010), 10 (10), 1109-1112. [ArXiv], Article].
  90. On the uniqueness of classical solutions of Cauchy problems, (with Hao Xing), Proceedings of the American Mathematical Society, (2010), 138 (6), 2061-2064. [ArXiv], [Article].
  91. On the One-Dimensional Optimal Switching Problem , (with Masahiko Egami), Mathematics of Operations Research, 2010, 35 (1), 140-159. [ArXiv], [Article].
  92. Inventory Management with Partially Observed Non-stationary Demand (with Mike Ludkovski), Annals of Operations Research, 2010, 176 (1), 7-39. [ArXiv], [Article].
  93. Optimal investment strategy to minimize occupation time (with Jenny Young), Annals of Operations Research, 2010, 176 (1), 389-408. [ArXiv], [Article].
  94. A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays, (with Masa Egami), Mathematical Methods of Operations Research, 2010, 71 (2), 325-351. [ArXiv], [Article].
  95. No Arbitrage Conditions For Simple Trading Strategies, (with Hasanjan Sayit), Annals of Finance, (2010), 6 (1), 147-156. [ArXiv], [Article].
  96. Multi-scale Time- Changed Birth Processes for Pricing Multi-Name Credit Derivatives (with Bo Yang), Applied Mathematical Finance, (2009), 16 (5), 429-449. [PDF ], [SSRN], [Article].
  97. Pricing American Options for Jump Diffusions by Iterating optimal stopping problems for Diffusions, (with Hao Xing), Mathematical Methods of Operations Research, (2009), 70 (3), 505-525. [ArXiv], [Article].
  98. Analysis of the Optimal Exercise Boundary of American Options for Jump Diffusions (with Hao Xing), SIAM Journal on Mathematical Analysis (2009), 41 (2), 825-860. [ArXiv], [Article].
  99. A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump DiffusionsSIAM Journal on Control and Optimization (2009), 48 (2), 551-572. [ArXiv], [SSRN], [Article].
  100. A Sequential Tracking of a Hidden Markov Chain Using Point Process Observations (with Mike Ludkovski), Stochastic Processes and Their Applications, 2009, 119 (6) 1792-1822. [ArXiv ], [Article].
  101. Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities (with Moshe Milevsky, David Promislow, Virginia Young), Journal of Economic Dynamics and Control, (2009), 33 (3), 676-691. [ArXiv ], [SSRN], [Article].
  102. Online Change Detection for a Poisson Process with a Phase-Type Change-Time Prior Distribution (with Semih Sezer), Sequential Analysis, 2009, 28 (2), 218-250. [ArXiv] (an older version with a different title), [ArXiv]
  103. Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin (with Jenny Young), North American Actuarial Journal (NAAJ), (2009) 13 (1), 141-154. [Article].
  104. Relative Hedging of Systematic Mortality Risk (with Mike Ludkovski), NAAJ, (2009), 13 (1), 106-140. [Article].
  105. Minimizing the Lifetime Shortfall or Shortfall at Death (with Jenny Young), Insurance: Mathematics and Economics, 2009, 44 (3), 447-458. [ArXiv], [Article].
  106. Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin (with Virginia R. Young), Finance and Research Letters, (2008), 5 (4), 204-212. [ArXiv], [Article].
  107. Minimizing the Probability of Lifetime Ruin under Random Consumption (with Kristen Moore and Virginia R. Young), NAAJ, 2008, 12 (4) 384-400. [Article ].
  108. Minimizing the Probability of Ruin when Consumption is Ratcheted (with Virginia R. Young), NAAJ, 2008, 12 (4) 428-442. [Article].
  109. Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin (with Virginia R. Young), Finance and Research Letters, (2008), 5 (2), 69-78. [ArXiv], [Article].
  110. Pricing Options on Defaultable StocksApplied Mathematical Finance , (2008), Volume 15 (3), 277-304. [ArXiv], [Article]
  111. Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio (with V. R. Young), Annals of Finance, Volume 4 (4), 399-429 (2008). [ArXiv], [Article].
  112. An Analysis of Monotone Follower Problems for Diffusion Processes, (with Masa Egami), Mathematics of Operations Research, 33 (2), May 2008, 336-350. [ArXiv], [Article].
  113. Queuing theoretic approaches to financial price fluctuations (with Ulrich Horst and Ronnie Sircar), [SSRN], Handbooks in OR&MS: Financial Engineering, 15, eds. John Birge and Vadim Linetsky, (Elsevier) , (2008) [ArXiv], [Google books].
  114. Optimal Time To Change Premiums , (with H. Vincent Poor), Mathematical Methods of Operations Research, 2008, 68 (1), 125-158.[ArXiv], [Article].
  115. Optimizing Venture Capital Investments in a Jump Diffusion Model, (with Masahiko Egami), Mathematical Methods of Operations Research, 2008, 67 (1), 21-42. [ ArXiv], [ Article].
  116. Correspondence between Lifetime Minimum Wealth and Utility of Consumption, (with Virginia R. Young), Finance and Stochastics , 2007, Volume 11 (2) 213-236. [SSRN ] [ArXiv ], [Article].
  117. The effects of implementation delay on decision-making under uncertainty , (with Masahiko Egami), Stochastic Processes and Their Applications, 2007, Volume 117 (3), 333-358. [ArXiv], [Article].
  118. Minimizing the Probability of Lifetime Ruin under Borrowing Constraints, (with Virginia R. Young), Insurance: Mathematics and Economics,, 2007, 41: 196-221 . [ArXiv], [Article].
  119. Quickest Detection of a Minimum of Two Poisson Disorder Times (with H. Vincent Poor), SIAM Journal on Control and Optimization, 2007, 46 (1), 308-331. [ArXiv], [Article].
  120. Hedging Life Insurance: with Pure Endowments , (with V. R. Young), Insurance: Mathematics and Economics , (2007), Volume 40 (3), 435-444. [ Article].
  121. Adaptive Poisson Disorder Problem, (with Savas Dayanik and Ioannis Karatzas), Annals of Applied Probability, 16, no. 3 (2006), 1190-1261. [ ArXiv, Article].
  122. A limit Theorem for Financial Markets with Inert Investors (with Ulrich Horst and Ronnie Sircar), Mathematics of Operations Research, 2006, Volume 31 (4), 789-810. [SSRN], [ArXiv], [Article].
  123. Poisson Disorder Problem with Exponential Penalty for Delay, (with Savas Dayanik), Mathematics of Operations Research, 31:2, 217-233, 2006; finalist in INFORMS 2004 Junior Faculty Interest Group Paper Competition. [ PDF], [ Abstract].
  124. Projecting the Forward Rate Flow onto a Finite Dimensional Manifold, (with H. Vincent Poor and Li Chen), International Journal of Theoretical and Applied Finance , 2006, Volume 5, 777-785. [ArXiv], [Article].
  125. Stochastic Differential Games in a Non-Markovian Setting (with H. Vincent Poor), SIAM Journal on Control and Optimization, 2005, Volume 43 (5), 1737-1756. [ArXiv], [Article].
  126. Standard Poisson Disorder Problem Revisited, (with Savas Dayanik and Ioannis Karatzas), Stochastic Processes and Their Applications, 2005, 115 (9), 1437-1450. [ PDF ], [ Article].
  127. Consistency Problems for Jump-Diffusion Models (with Li Chen and H. Vincent Poor), Applied Mathematical Finance, 2005, Volume 12 (2), 101-119. [ ArXiv], [ Article].
  128. Arbitrage in Fractal Modulated Markets When the Volatility is Stochastic (with H. Vincent Poor), International Journal of Theoretical and Applied Finance, Volume 8 (3), 1-18 2005. [ArXiv], [Article].
  129. Prediction and Tracking of Long Range Dependent Sequences, (with H. Vincent Poor and Raghuveer Rao), Systems and Control Letters, 2005, 54 (11), 1083-1090. [Article].
  130. Estimating the Fractal Dimension of the S&P 500 Index Using Wavelet Analysis (with with H. Vincent Poor and Ronnie Sircar), International Journal of theoretical and Applied Finance, Volume 7 (5), 613-643, 2004. [SSRN] [ArXiv], [Article].

Conference Publications

  • Efficient Estimation of the Hurst Parameter in High Frequency Financial Data with Seasonalities Using Wavelets, Proceedings of 2003 International Conference on Computational Intelligence for Financial Engineering (CIFEr2003), Hong-Kong, March 21-25, 2003, [Article].
  • Prediction and Tracking of Long Range Dependent Sequences Proceedings of the 38th Annual Conference on Information Sciences and Systems, March 2004, Princeton.
  • Signal Processing Models for Discrete-Time Self-Similar and Multifractal Processes, Proceedings of the 37th Asilomar Conference on Signals, Systems and Computers, Nov 2003, California. [Article].
  • Quickest Detection of a Minimum of Disorder Times, invited to the 44th IEEE Conference on Decision and Control and European Control Conference ECC 2005, Seville, December 12-15. [Article].
  • Multi-source Change Detection for Compound Poisson Processes , Proceedings of 43th Annual Allerton Conference on Communication, Control, and Computing, September 28-30, 2005.
  • Pricing American Options for Jump Diffusions with Iterated SORProceeding of Financial Engineering and Applications – 2007
  • Quickest Change Point Detection with Sampling Right Constraints, with Jun Geng and Lifeng Lai, Proceedings of the 50th Allerton Conference on Communication, Control, and Computing, October 2012.