Recent Articles

Articles to appear

  • Large Tournament Games , (with Jaksa Cvitanic and Yuchong Zhang), to appear in the Annals of Applied Probability. [ArXiv], [SSRN].
  • Controlled Reflected SDEs and Neumann Problem for Backward SPDEs, (with Jinniao Qiu), to appear in Annals of Applied Probability, [ArXiv].

Preprints

  • Terminal Ranking Games, with Yuchong Zhang. [SSRN], [ArXiv].
  • Embedding of Walsh Brownian Motion, with Xin Zhang. [ArXiv].
  • Kr,s graph bootstrap percolation, with Suman Chakraborty. [ArXiv].
  • On the Adversarial Robustness of Multivariate Robust Estimation, with Lifeng Lai. [ArXiv].
  • On the asymptotic optimality of the comb strategy for prediction with expert advice, with Ibrahim Ekren and Yili Zhang. [ArXiv].
  • Asymptotics for Small Nonlinear Price Impact: a PDE Homogenization Approach to the Multidimensional Case, with Thomas Caye and Ibrahim Ekren, [SSRN], [ArXiv].
  • Continuity of Utility Maximization under Weak Convergence, with Yan Dolinsky and Jia Guo. [SSRN], [ArXiv].
  • On the quasi-sure superhedging duality with frictions, with Matteo Burzoni. [ArXiv].
  • On the adversarial robustness of robust estimators, with Lifeng Lai. [ArXiv].
  • Existence of Transport Plans with Domain Constraints, with Xin Zhang and Zhou Zhou. [ArXiv], [SSRN].
  • Multi-Chart Detection Procedure for Bayesian Quickest Change-Point Detection with Unknown Post-Change Parameters, with Jun Geng and Lifeng Lai. [ArXiv].
  • Dynamic Programming Principles for Optimal Stopping with Expectation Constraint, with Song Yao. [ArXiv].