Publications

Published Journal Articles

  1. A Central Limit Theorem for Diffusion in Sparse Random Graphs, with Hamed Amini and Suman Chakraborty, Journal of Statistical Physics, 190, Article number: 57 (2023) [ArXiv], [Journal]
  2. Graphon particle system: Uniform-in-time concentration bounds, with Ruoyu Wu,  Stochastic Processes and Their Applications , Volume 156, February 2023, Pages 196-225. [ArXiv], [Journal]
  3. Solvability of Infinite horizon McKean-Vlasov FBSDEs in Mean Field Control Problems and Games, with Xin Zhang, Applied Mathematics and Optimization,  87, Article number: 13 (2023) [ArXiv], [Journal].
  4. Finite state mean field games with Wright Fisher common noise as limits of N-player weighted games, with Asaf Cohen, Alekos Cecchin, and Francois Delarue,  Mathematics of Operations Research, 47 (4), 2840-2890, November 2022. [ArXiv], [Journal]
  5. Stability of Time-inconsistent Stopping for One-dimensional Diffusion, with Zhenhua Wang and Zhou Zhou, SIAM Journal on Financial Mathematics 13 (4), SC123-SC135. [ArXiv]
  6. Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit, with Christoph Belak, Soren Christensen and Frank Seifried, SIAM Journal on Control and Optimization, Vol. 60, No. 5, pp. 2712-2736. [SSRN], [Journal]
  7. Disorder detection with costly observations, with Erik Ekstrom and Jia Guo, Journal of Applied Probability , Volume 59 , Issue 2 , June 2022 , pp. 338 – 349. [ArXiv], [Journal]
  8. Stationarity and uniform in time convergence for the graphon particle system, with Ruoyu Wu, Stochastic Processes and Their Applications, Volume 150, August 2022, Pages 532-568 [ArXiv], [Journal].
  9. On the Continuity of the Root Barrier, with Thomas Bernhardt, Proceedings of the AMS, 150 (7), 3133-3145, July 2022 [ArXiv], [Journal]
  10. Path-dependent Hamilton-Jacobi equations with super-quadratic growth in the gradient and the vanishing viscosity method, with Christian Keller, SIAM Journal on Control and Optimization, 60 (3), 1690-1711.  [ArXiv], [Journal]
  11. Kr,s graph bootstrap percolation, with Suman Chakraborty,  Electronic Journal of Combinatorics, Vol 29 (1), article number P1.46, 2022, 17 pages [ArXiv] [Journal]
  12. Optimal Investment and Consumption under a Habit-Formation Constraint, with Bahman Angoshtari and Jenny Young, SIAM Journal on Financial Mathematics, SIAM Journal on Financial Mathematics 13(1):321-352, March 2022. [ArXiv], [Journal]
  13. A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios, with Christoph Czichowsky, Leonid Dolinskyi, Yan Dolinsky, SIAM Journal on Financial Mathematics, 12(4), SC115–SC125. [ArXiv], [Article]
  14. Terminal Ranking Games, with Yuchong Zhang, Mathematics of Operations Research, Vol. 46, No. 4, November 2021, pp. 1349-1365. [SSRN], [ArXiv], [Article].
  15. Mean field interaction on random graphs with dynamically changing multi-color edges, with Ruoyu Wu, Stochastic Processes and Their Applications, Volume 141, November 2021, Pages 197-244. [ArXiv], [Article]
  16. A Macroeconomic SIR Model for COVID-19, with Asaf Cohen and April Nellis , Mathematics, 9 (16), Special Issue on Mathematics on Pandemic, 24 pages. [SSRN], [medRxiv], [Article]
  17. Existence of Transport Plans with Domain Constraints, with Xin Zhang and Zhou Zhou, Applied Mathematics and Optimization, 84(1), 1131-1158. [ArXiv], [SSRN], [Article]
  18. Finite state Mean Field Games with Wright-Fisher common noise, with Asaf Cohen, Alekos Cecchin, and Francois Delarue, Journal de Mathématiques Pures et Appliquées, 147, 98-162, 2021. [ArXiv], [Article]
  19. Prediction against limited adversary, with Ibrahim Ekren and Xin Zhang, Journal of Machine Learning Research , 22(72):1-33. [ArXiv], [Article].
  20. Embedding of Walsh Brownian Motion, with Xin Zhang, Stochastic Processes and Their Applications, Volume 134, April 2021, Pages 1-28. [ArXiv], [Article].
  21. Strong equivalence between metrics of Wasserstein type, with Gaoyue Guo, Electronic Communications in Probability , 26, 1-13, 2021. [ArXiv], [Article]
  22. Equilibrium concepts for time-inconsistent stopping problems in continuous time, with Jingjie Zhang and Zhou Zhou, Mathematical Finance, Volume 31, Issue 1, January, Pages 508-530. [SSRN], [ArXiv], [Article]
  23. Malicious Experts versus the multiplicative weights algorithm in online prediction, with H. Vincent Poor and Xin Zhang, IEEE Transactions on Information Theory, Volume: 67, Issue: 1, 559 – 565, 2021. [ArXiv], [Article]
  24. Asymptotics for Small Nonlinear Price Impact: a PDE Homogenization Approach to the Multidimensional Case, with Thomas Caye and Ibrahim Ekren, Mathematical Finance, Volume 31, Issue 1, January, Pages 36-108. [SSRN], [ArXiv], [Article]
  25. On the asymptotic optimality of the comb strategy for prediction with expert advice, with Ibrahim Ekren and Yili Zhang, , 30 (6), 2517-
    2546, 2020. Annals of Probability. [ArXiv], [Article]
  26. Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs, with with Leonid Dolinskyi, Yan Dolinsky, Finance and Stochastics, 24, 1013–1034, 2020. [SSRN], [ArXiv], [Article]
  27. Continuity of Utility Maximization under Weak Convergence, with Yan Dolinsky and Jia Guo, Mathematics and Financial Economics, 14(4), 725-757, 2020. [SSRN], [ArXiv], [Article]
  28. Finite-Time 4-Expert Prediction Problem, with Ibrahim Ekren and Xin Zhang, Communications in Partial Differential Equations, 45 (7), 714-757, 2020. [ArXiv], [Article]
  29. On non-uniqueness in mean field games, with Xin Zhang, Proceedings of the AMS, Vol 148, 9, 4091-4106, September 2020. [ArXiv], [Article]
  30. On the adversarial robustness of robust estimators, with Lifeng Lai, IEEE Transactions on Information Theory, 66 (8), 5097-5109, 2020. [ArXiv], [Article]
  31. On the quasi-sure superhedging duality with frictions, with Matteo Burzoni, Finance and Stochastics, Volume 24, Issue 1, pp 249–275, 2020. [ArXiv], [Article]
  32. Large Tournament Games , (with Jaksa Cvitanic and Yuchong Zhang), Annals of Applied Probability,Vol. 29, No. 6, 3695-3744, 2019. [ArXiv], [SSRN], [Article]
  33. Controlled Reflected SDEs and Neumann Problem for Backward SPDEs, (with Jinniao Qiu),  Annals of Applied Probability, 2019, Vol. 29, No. 5, 2819-2848. [ArXiv], [Article]
  34. 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].
  35. 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].
  36. 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], [Article].
  37. No Arbitrage and hedging with liquid American options , (with Zhou Zhou) Mathematics of Operations Research, 44 (2), 468-486, 2019. [SSRN], [ArXiv], [Article].
  38. 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].
  39. 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].
  40. Distribution-Constrained Optimal Stopping, (with Christopher W. Miller), Mathematical Finance, January 2019, Volume 29, Issue1, Pages 368-406. [SSRN], [ArXiv], [Article].
  41. 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].
  42. 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].
  43. 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]
  44. On Zero-sum Optimal Stopping Games, (with Zhou Zhou), Applied Mathematics and Optimization, 78 (3), 457–468, 2018. [SSRN], [ArXiv], [Article].
  45. 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].
  46. 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].
  47. 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.
  48. On the Market Viability under Proportional Transaction Costs , (with Xiang Yu), Mathematical Finance, 28 (3), 800-838, July 2018. [SSRN], [ArXiv], [Article].
  49. 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].
  50. 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].
  51. Efficient Byzantine Sequential Change Detection, (with Georgios Fellouris and Lifeng Lai), IEEE Transactions on Information Theory , 64 (5), 1-15, May 2018. [ArXiv], [Article].
  52. 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].
  53. 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].
  54. 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].
  55. 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].
  56. 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].
  57. 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].
  58. On the Robust Dynkin Game, (with Song Yao), Annals of Applied Probability, 2017, 27 (3), 1702-1755. [SSRN], [ArXiv], [Article]
  59. 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]
  60. 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]
  61. Optimal Stopping with Random Maturity under Nonlinear Expectations, (with Song Yao), Stochastic Processes and Their Applications , 2017, 127(8), Pages 2586-2629 [ArXiv], [Article].
  62. 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]
  63. 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]
  64. 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].
  65. 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].
  66. 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].
  67. Optimally Investing to Reach a Bequest Goal , (with Jenny Young), Insurance: Mathematics and Economics, Volume 70, September 2016, 1–10. [SSRN], [ArXiv], [Article].
  68. 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].
  69. Optimal Investment to Minimize the Probability of Drawdown, (with Bahman Angoshtari and Jenny Young), Stochastics, Volume 88 (6), 2016, 946-958. [SSRN], [ArXiv], [Article]
  70. 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].
  71. On a Stopping Game in continuous time , (with Zhou Zhou),Proceedings of the AMS 144 (8), 3589-3596, 2016. [ArXiv], [Article].
  72. An alpha-Stable Limit Theorem Under Sublinear Expectation , (with Alex Munk), Bernoulli, 22 (4), 2548-2578, 2016. [ArXiv].
  73. Stochastic Perron for Stochastic Target Games, (with Jiaqi Li), Annals of Applied Probability, 26 (2), 1082-1110, 2016. [ArXiv/Article].
  74. 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].
  75. 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].
  76. 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].
  77. Weak reflection principle for Levy processes , (with Sergey Nadtochiy), Annals of Applied Probability, 25 (6), 3251-3294, 2015. [SSRN], [ArXiv], [Article].
  78. 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].
  79. Comparing the $G$-Normal Distribution to its Classical Counterpart, (with Alexander Munk), Communications on Stochastic Analysis , 9 (1), 1-18, 2015. [ArXiv], [SSRN], [Article].
  80. 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].
  81. Byzantine Fault Tolerant Distributed Quickest Change Detection, (with Lifeng Lai), SIAM Journal on Control and Optimization , 53(2), 575-591, 2015. [ArXiv], [Article].
  82. Quickest Detection with Discretely Controlled Observations, (with Ross Kravitz), Sequential Analysis, 34 (1), 77-133, 2015. [ArXiv], [Article].
  83. 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].
  84. 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].
  85. 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].
  86. On the Robust Optimal Stopping Problem , (with Song Yao), SIAM Journal on Control and Optimization, 52(5), 3135-3175, 2014. [SSRN], [ArXiv], [Article].
  87. 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 ]
  88. 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].
  89. 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].
  90. Quickest Search over Brownian Channels, (with Ross Kravitz), Stochastics, Volume 86, Issue 3, 473-490, 2014. [ArXiv], [Article].
  91. 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].
  92. 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].
  93. 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].
  94. 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].
  95. 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].
  96. 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]
  97. On the Existence of Consistent Price Systems, (with Mikko S. Pakkanen and Hasanjan Sayit), Stochastic Analysis and Applications, 32, 152-162, 2014. [ ArXiv], [ Article]
  98. 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].
  99. Robust maximization of asymptotic growth under covariance uncertainty , (with Yu-Jui Huang) Annals of Applied Probability , 23 (5), 1817-1840, 2013. [ArXiv, Article ], [SSRN].
  100. On optimal dividends in the dual model, (with Andreas Kyprianou and Kazutoshi Yamazaki), ASTIN Bulletin, 43 (3), 359-372. [ArXiv], [SSRN], [Article].
  101. 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].
  102. Life Insurance Purchasing to Maximize Utility of Household Consumption , (with Virginia R. Young), NAAJ, 17 (2), 1–22, 2013. [ArXiv], [Article].
  103. 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]
  104. 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].
  105. 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].
  106. 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].
  107. 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]
  108. 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].
  109. Valuation equations for stochastic volatility models, (with Kostas Kardaras and Hao Xing), SIAM Journal on Financial Mathematics, 2012, 3, 351-373. [SSRN], [ArXiv], [Article].
  110. 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].
  111. Quadratic Reflected BSDEs with Unbounded Obstacles, (with Song Yao), Stochastic Processes and Their Applications, (2012), 122, 1155-1203. [ArXiv], [SSRN], [Article].
  112. 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].
  113. Optimal Trade Execution in Illiquid Markets, (with Mike Ludkovski), Mathematical Finance (2011), 21(4), 681-701. [ArXiv], [SSRN], [Article].
  114. A Unified Framework for Pricing Credit and Equity Derivatives (with Bo Yang), Mathematical Finance, (2011), 21 (3), 493-517. [ PDF], [ArXiv], [SSRN], [Article].
  115. On the Perpetual American Put Options for Level Dependent Volatility Models with JumpsQuantitative Finance, (2011), 11 (3), 335-341. [ ArXiv], [ SSRN], [ Article].
  116. 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]
  117. Optimal Stopping for Nonlinear Expectations, Part I (with Song Yao), Stochastic Processes and Their Applications (2011), 121 (2), 185-211. [SSRN], [Article].
  118. 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].
  119. Pricing Asian Options for Jump Diffusions (with Hao Xing), Mathematical Finance (2011), 21 (1), 117-143. [ArXiv], [SSRN], [Article].
  120. 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].
  121. 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].
  122. On the Stickiness Property, (with Hasanjan Sayit), Quantitative Finance, (2010), 10 (10), 1109-1112. [ArXiv], Article].
  123. 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].
  124. On the One-Dimensional Optimal Switching Problem , (with Masahiko Egami), Mathematics of Operations Research, 2010, 35 (1), 140-159. [ArXiv], [Article].
  125. Inventory Management with Partially Observed Non-stationary Demand (with Mike Ludkovski), Annals of Operations Research, 2010, 176 (1), 7-39. [ArXiv], [Article].
  126. Optimal investment strategy to minimize occupation time (with Jenny Young), Annals of Operations Research, 2010, 176 (1), 389-408. [ArXiv], [Article].
  127. 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].
  128. No Arbitrage Conditions For Simple Trading Strategies, (with Hasanjan Sayit), Annals of Finance, (2010), 6 (1), 147-156. [ArXiv], [Article].
  129. 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].
  130. 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].
  131. 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].
  132. 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].
  133. 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].
  134. 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].
  135. 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]
  136. 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].
  137. Relative Hedging of Systematic Mortality Risk (with Mike Ludkovski), NAAJ, (2009), 13 (1), 106-140. [Article].
  138. Minimizing the Lifetime Shortfall or Shortfall at Death (with Jenny Young), Insurance: Mathematics and Economics, 2009, 44 (3), 447-458. [ArXiv], [Article].
  139. 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].
  140. Minimizing the Probability of Lifetime Ruin under Random Consumption (with Kristen Moore and Virginia R. Young), NAAJ, 2008, 12 (4) 384-400. [Article ].
  141. Minimizing the Probability of Ruin when Consumption is Ratcheted (with Virginia R. Young), NAAJ, 2008, 12 (4) 428-442. [Article].
  142. 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].
  143. Pricing Options on Defaultable StocksApplied Mathematical Finance , (2008), Volume 15 (3), 277-304. [ArXiv], [Article]
  144. 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].
  145. An Analysis of Monotone Follower Problems for Diffusion Processes, (with Masa Egami), Mathematics of Operations Research, 33 (2), May 2008, 336-350. [ArXiv], [Article].
  146. 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].
  147. Optimal Time To Change Premiums , (with H. Vincent Poor), Mathematical Methods of Operations Research, 2008, 68 (1), 125-158.[ArXiv], [Article].
  148. Optimizing Venture Capital Investments in a Jump Diffusion Model, (with Masahiko Egami), Mathematical Methods of Operations Research, 2008, 67 (1), 21-42. [ ArXiv], [ Article].
  149. 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].
  150. 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].
  151. Minimizing the Probability of Lifetime Ruin under Borrowing Constraints, (with Virginia R. Young), Insurance: Mathematics and Economics,, 2007, 41: 196-221 . [ArXiv], [Article].
  152. 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].
  153. Hedging Life Insurance: with Pure Endowments , (with V. R. Young), Insurance: Mathematics and Economics , (2007), Volume 40 (3), 435-444. [ Article].
  154. Adaptive Poisson Disorder Problem, (with Savas Dayanik and Ioannis Karatzas), Annals of Applied Probability, 16, no. 3 (2006), 1190-1261. [ ArXiv, Article].
  155. 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].
  156. 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].
  157. 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].
  158. 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].
  159. Standard Poisson Disorder Problem Revisited, (with Savas Dayanik and Ioannis Karatzas), Stochastic Processes and Their Applications, 2005, 115 (9), 1437-1450. [ PDF ], [ Article].
  160. Consistency Problems for Jump-Diffusion Models (with Li Chen and H. Vincent Poor), Applied Mathematical Finance, 2005, Volume 12 (2), 101-119. [ ArXiv], [ Article].
  161. 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].
  162. 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].
  163. 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.
  • Near Optimality of Approximations for POMPDs with Continuous Spaces, with Ali Devran Kara and Serdar Yuksel, 61st IEEE Conference on Decision and Control, 2022. [Article]