- R E S E A R C H -

My research is focused on mathematical finance and the mathematics of machine learning. It involves the areas of stochastic analysis, stochastic control, optimal stopping, and the theory of viscosity solutions to fully nonlinear PDEs.

My Google Scholar Citations profile.

### Submitted Manuscripts

Convergence of Policy Improvement for Entropy-Regularized Stochastic Control Problems (with Zhenhua Wang and Zhou Zhou)

arXiv slidesGANs as Gradient Flows that Converge (with Yuchong Zhang)

arXiv slidesGeneralized Duality for Model-Free Superhedging given Marginals (with Arash Fahim and Saeed Khalili)

arXiv

### Publications

Journal Articles

Epstein-Zin Utility Maximization on a Random Horizon (with Joshua Aurand)

Mathematical Finance, forthcoming.

arXivMinimizing the Repayment Cost of Federal Student Loans (with Paolo Guasoni)

SIAM Review, Vol. 64 (2022), No. 3, pp. 689-709.

doi arXivA Time-Inconsistent Dynkin Game: from Intra-personal to Inter-personal Equilibria (with Zhou Zhou)

Finance and Stochastics, Vol. 26 (2022), No. 2, pp 301-334.

doi arXiv slidesMortality and Healthcare: A Stochastic Control Analysis under Epstein-Zin Preferences (with Joshua Aurand)

SIAM Journal on Control and Optimization, Vol. 59 (2021), No. 5, pp 4051-4080.

doi arXiv slidesAsymptotic Optimality in Byzantine Distributed Quickest Change Detection (with Yu-Chih Huang and Shih-Chun Lin)

IEEE Transactions on Information Theory, Vol. 67 (2021), No. 9, pp 5942-5962.

doi arXivOptimal Stopping under Model Ambiguity: A Time-Consistent Equilibrium Approach (with Xiang Yu)

Mathematical Finance, 31 (2021), No. 3, pp. 979-1012.

doi arXiv slidesStrong and Weak Equilibria for Time-Inconsistent Stochastic Control in Continuous Time (with Zhou Zhou)

Mathematics of Operations Research, 46 (2021), No. 2, pp 428-451.

doi arXiv slidesOptimal Equilibria for Multi-Dimensional Time-Inconsistent Stopping Problems (with Zhenhua Wang)

SIAM Journal on Control and Optimization, 59 (2021), No. 2, pp 1705-1729.

doi arXivAmerican Student Loans: Repayment and Valuation (with Paolo Guasoni and Saeed Khalili)

SIAM Journal on Financial Mathematics, 12 (2021), No. 2, pp SC-16-SC-30.

doi SSRN Denver Post SIAM News Colorado A&S MagazineOptimal Equilibria for Time-Inconsistent Stopping Problems in Continuous Time (with Zhou Zhou)

Mathematical Finance, 30 (2020), No. 3, pp 1103-1134.

doi arXiv slidesGeneral Stopping Behaviors of Naive and Non-Committed Sophisticated Agents, with Application to Probability Distortion (with Adrien Nguyen-Huu and Xunyu Zhou)

Mathematical Finance, 30 (2020), No. 1, pp 310-340.

doi arXiv SSRNConsumption, Investment, and Healthcare with Aging (with Paolo Guasoni)

Finance and Stochastics, 23 (2019), No. 2, pp 313-358.

doi arXiv SSRN slidesOptimal Consumption in the Stochastic Ramsey Problem without Boundedness Constraints (with Saeed Khalili)

SIAM Journal on Control and Optimization, 57 (2019), No. 2, pp 783-809.

doi arXivThe Optimal Equilibrium for Time-Inconsistent Stopping Problems - the Discrete-Time Case (with Zhou Zhou)

SIAM Journal on Control and Optimization, 57 (2019), No. 1, pp 590-609.

doi arXivTime-Consistent Stopping under Decreasing Impatience (with Adrien Nguyen-Huu)

Finance and Stochastics, 22 (2018), No. 1, pp 69-95.

doi arXiv slidesThe Stochastic Solution to a Cauchy Problem for Degenerate Parabolic Equations (with Xiaoshen Chen, Qingshuo Song, and Chao Zhu)

Journal of Mathematical Analysis and Applications, 451 (2017), No. 1, pp 448-472.

doi arXiv slidesModel-Independent Superhedging under Portfolio Constraints (with Arash Fahim)

Finance and Stochastics, 20 (2016), No. 1, pp. 51-81.

doi arXiv slidesOn Hedging American Options under Model Uncertainty (with Erhan Bayraktar and Zhou Zhou)

SIAM Journal on Financial Mathematics, 6 (2015), No.1, pp. 425-447.

doi arXivRobust Maximization of Asymptotic Growth under Covariance Uncertainty (with Erhan Bayraktar)

Annals of Applied Probability, 23 (2013), No. 5, pp. 1817-1840.

doi arXiv audio & slides posterOn the Multi-Dimensional Controller-and-Stopper Games (with Erhan Bayraktar)

SIAM Journal on Control and Optimization, 51 (2013), No. 2, pp. 1263-1297.

doi arXiv slidesOutperforming the Market Portfolio with a Given Probability (with Erhan Bayraktar and Qingshuo Song)

Annals of Applied Probability, 22 (2012), No. 4, pp. 1465-1494.

doi arXiv slides

Conference Articles

On Characterizing Optimal Wasserstein GAN Solutions for Non-Gaussian Data (with Shih-Chun Lin, Yu-Chih Huang, Kuan-Hui Lyu, Hsin-Hua Shen, and Wan-Yi Lin)

2023 IEEE International Symposium on Information Theory, forthcoming.

pdfA Tight Converse to the Asymptotic Performance of Byzantine Distributed Sequential Change Detection (with Shih-Chun Lin and Yu-Chih Huang)

2019 IEEE International Symposium on Information Theory, pp. 2404-2408.

doi pdfOn Byzantine Distributed Sequential Change Detection with Multiple Hypotheses (with Shih-Chun Lin and Yu-Chih Huang)

2019 IEEE International Symposium on Information Theory, pp. 2209-2213.

doi pdf

- YU-JUI HUANG 2023 -