Recent Articles

Articles to appear

  • Graphon particle system: Uniform-in-time concentration bounds, with Ruoyu Wu, to appear in Stochastic Processes and Their Applications [ArXiv], [Journal]
  • A Potential-based Construction of the Increasing Spermartingale Coupling, with Dominykas Norgilas and Shuoqing Deng, to appear in Annals of Applied Probability. [ArXiv]
  • Data-Driven Nonparametric Robust Control under Dependence Uncertainty, with Tao Chen, to appear in the Peter Carr Gedenkschrift.  [SSRN]
  • Graphon Mean Field Systems, with Suman Chakraborty and Ruoyu Wu, to appear in Annals of Applied Probability. [ArXiv].
  • Stability of Equilibria in Time-inconsistent Stopping Problems with Zhenhua Wang and Zhou Zhou, to appear in the SIAM Journal on Control and Optimization. [ArXiv]

Preprints

  • Stability and Sample Complexity of Divergence Regularized Optimal Transport, with Stephan Eckstein and Xin Zhang. [ArXiv]
  • Deep Signature Algorithm for Path-Dependent American option pricing, with Qi Feng, Zhaoyu Zhang. [ArXiv]
  • Finite Approximations and Q learning for Mean Field Type Multi Agent Control with Nicole Bauerle, Ali Devran Kara. [ArXiv]
  • A neural network approach to high-dimensional optimal switching problem with jumps in energy markets, with Asaf Cohen and April Nellis. [SSRN]
  • A smooth variational principle on Wasserstein space,  with Ibrahim Ekren, Xin Zhang. [ArXiv]
  • A Rank-Based Reward between a Principal and a Field of Agents: Application to Energy Savings, with, Clémence Alasseur, Roxana Dumitrescu, and Quentin Jacquet. [SSRN]
  • A PDE approach for regret bounds under partial monitoring, with Ibrahim Ekren and Xin Zhang [ArXiv]
  • Supermartingale shadow couplings: the decreasing case, with Dominykas Norgilas and Shuoqing Deng. [ArXiv]
  • Concentration of measure for Graphon particle system, with Donghan Kim. [ArXiv]
  • Exponential Entropy dissipation for weakly self-consistent Vlasov-Fokker-Planck equations, with Qi Feng and Wuchen Li. [ArXiv]
  • Diffusions on Graph as Time Changed Multi-parameter Processes, with Jingjie Zhang and Xin Zhang. [ArXiv]
  • An Approximate Reinforcement Learning Algorithm for Controlled Diffusion Processes, with Ali Kara. [ArXiv]
  • Nonparametric Adaptive Robust Control Under Model Uncertainty, with Tao Chen. [ArXiv]
  • Propagation of Chaos of Forward-Backward Stochastic Differential Equations with Graphon Interactions, with Ruoyu Wu and Xin Zhang. [ArXiv]
  • Equilibria of Time-inconsistent Stopping for One-dimensional Diffusion Processes, with Zhenhua Wang and Zhou Zhou. [ArXiv]
  • Mean field control and finite dimensional approximation for regime-switching jump diffusions, with Alekos Cecchin and Prakash Chakraborty. [ArXiv]
  • Countercyclical unemployment benefits: General Equilibrium Analysis of Transition Dynamics, with Indrajit Mitra and Jingjie Zhang. [SSRN]
  • A Central Limit Theorem for Diffusion in Sparse Random Graphs, with Hamed Amini and Suman Chakraborty [ArXiv]
  • K-core in percolated dense graph sequences, with Suman Chakraborty and Xin Zhang. [ArXiv]
  • Optimal Consumption under a Habit-Formation Constraint: the Deterministic Case, with Bahman Angoshtari and Jenny Young [SSRN]
  • Optimal Stopping with Expectation Constraint, with Song Yao. [ArXiv]
  • McKean-Vlasov equations involving hitting times: blow-ups and global solvability, with Gaoyue Guo, Wenpin Tang, Yuming (Paul) Zhang. [ArXiv]