Submitted Manuscripts

• Generative Modeling by Minimizing the Wasserstein-2 Loss (with Zachariah Malik)
  arXiv  slides

• A Differential Equation Approach for Wasserstein GANs and Beyond (with Zachariah Malik)
  arXiv

• Partial Information in a Mean-Variance Portfolio Selection Game (with Li-Hsien Sun)
  arXiv  slides

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

Publications

Journal Articles

• Convergence of Policy Iteration for Entropy-Regularized Stochastic Control Problems (with Zhenhua Wang and Zhou Zhou)
  SIAM Journal on Control and Optimization, forthcoming.
  arXiv  slides

• Relaxed Equilibria for Time-Inconsistent Markov Decision Processes (with Erhan Bayraktar, Zhenhua Wang, and Zhou Zhou)
  Mathematics of Operations Research, published online (October 2024).
  doi  arXiv

• Epstein-Zin Utility Maximization on a Random Horizon (with Joshua Aurand)
  Mathematical Finance, Vol. 33 (2023), No. 4, pp. 1370-1411.
  doi  arXiv

• GANs as Gradient Flows that Converge (with Yuchong Zhang)
  Journal of Machine Learning Research, Vol. 24 (2023), No. 217, pp. 1-40. 
  doi  arXiv  slides

• Minimizing the Repayment Cost of Federal Student Loans (with Paolo Guasoni)
  SIAM Review, Vol. 64 (2022), No. 3, pp. 689-709.
  doi  arXiv

• A 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  slides

• Mortality 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  slides

• Asymptotic 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  arXiv

• Optimal Stopping under Model Ambiguity: A Time-Consistent Equilibrium Approach (with Xiang Yu)
  Mathematical Finance, 31 (2021), No. 3, pp. 979-1012.
  doi  arXiv  slides

• Strong 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  slides

• Optimal 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  arXiv

• American 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 Magazine

• Optimal Equilibria for Time-Inconsistent Stopping Problems in Continuous Time (with Zhou Zhou)
  Mathematical Finance, 30 (2020), No. 3, pp 1103-1134.
  doi  arXiv  slides

• General 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  SSRN

• Consumption, Investment, and Healthcare with Aging (with Paolo Guasoni)
  Finance and Stochastics, 23 (2019), No. 2, pp 313-358.
  doi  arXiv  SSRN  slides

• Optimal 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  arXiv

• The 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  arXiv

• Time-Consistent Stopping under Decreasing Impatience (with Adrien Nguyen-Huu)
  Finance and Stochastics, 22 (2018), No. 1, pp 69-95.
  doi  arXiv  slides

• The 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  slides

• Model-Independent Superhedging under Portfolio Constraints (with Arash Fahim)
  Finance and Stochastics, 20 (2016), No. 1, pp. 51-81.
  doi  arXiv  slides

• On 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  arXiv 

• Robust 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  poster 

• On 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  slides

• Outperforming 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, pp. 909-914.
  doi  pdf  slides

• A 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  pdf

• On 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