Recent Articles

Articles to appear

  • Deep Signature Algorithm for Multi-dimensional Path-Dependent options, with Qi Feng, Zhaoyu Zhang. [ArXiv], to appear in SIAM Journal on Financial Mathematics.
  • Stability and Sample Complexity of Divergence Regularized Optimal Transport, with Stephan Eckstein and Xin Zhang, to appear in Bernoulli. [ArXiv], [Journal]
  • Countercyclical unemployment benefits: General Equilibrium Analysis of Transition Dynamics, with Indrajit Mitra and Jingjie Zhang, to appear in  Mathematics and Financial Economics. [SSRN], [Journal]
  • Concentration of measure for Graphon particle system, with Donghan Kim, to appear in Advances in Applied Probability. [ArXiv], [Journal]
  • Quantifying an impact of dimensional change in Stochastic portfolio theory,  with Donghan Kim, and Abhishek Tilva, to appear in Mathematical Finance [SSRN], [Journal]
  • Arbitrage theory in a market of stochastic dimension, with Donghan Kim, and Abhishek Tilva, to appear in Mathematical Finance. [ArXiv], [Journal]

Preprints

  • On Time-inconsistency in Mean Field Games, with Zhenhua Wang. [ArXiv]
  • Infinite Horizon Average Cost Optimality Criteria for Mean-Field Control, with Ali Kara. [ArXiv]
  • Comparison of viscosity solutions for a class of second-order PDEs on the Wasserstein space, with Ibrahim Ekren and Xin Zhang. [ArXiv
  • Relaxed Equilibria for Time-Inconsistent Markov Decision Processes, with Yu-Jui Huang, Zhenhua Wang and Zhou Zhou. [ArXiv]
  • Fitted Value Iteration Methods for Bicausal Optimal Transport, with Bingyan Han. [ArXiv]
  • Stochastic Control/Stopping Problem with Expectation Constraints, with Song Yao. [ArXiv]
  • Applications of Schauder-type basis: estimating Holder exponent, fake fractional Brownian motion, with Purba Das and Donghan Kim. [ArXiv]
  • A Quantitative Comparison of Unemployment Benefit Extension and Level Increase, with Indrajit Mitra and Jingjie Zhang [SSRN]
  • Equilibrium transport with time-inconsistent costs: An application to matching problems in the job market, with Bingyan Han. [SSRN]
  • Systemic robustness: a mean-field particle system approach, with Gaoyue Guo, Wenpin Tang, Yuming Paul Zhang. [ArXiv]
  • Finite Approximations and Q learning for Mean Field Type Multi-Agent Control with Nicole Bauerle, Ali Devran Kara. [ArXiv]
  • A Rank-Based Reward between a Principal and a Field of Agents: Application to Energy Savings, with, ClĂ©mence Alasseur, Roxana Dumitrescu, and Quentin Jacquet. [SSRN]
  • Diffusions on Graph as Time Changed Multi-parameter Processes, with Jingjie Zhang and Xin Zhang. [ArXiv]
  • K-core in percolated dense graph sequences, with Suman Chakraborty and Xin Zhang. [ArXiv]