- R E S E A R C H -
- 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 profile.
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
Journal Articles
Convergence of Policy Iteration for Entropy-Regularized Stochastic Control Problems (with Zhenhua Wang and Zhou Zhou)
SIAM Journal on Control and Optimization, Vol. 63 (2025), No. 2, pp. 752-777.
doi 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
- YU-JUI HUANG 2025 -