3 papers in the archive (2022–2026), average empirical rigor 1.7/10, average math complexity 9.1/10. Quadrant mix: Lab Rats ×3.
Works mostly in Risk Management & Tail Risk, Stochastic Control & Optimal Stopping.
Frequent co-authors: Erhan Bayraktar (1), Wenpin Tang (1), Yuming Paul Zhang (1), Mao Fabrice Djete (1), Nizar Touzi (1), Shuoqing Deng (1).
Scores are our LLM-assisted heuristics (methodology), not peer review or citation counts. Author pages are generated from paper metadata; name variants may split one person across pages. arXiv author page →
Ordered by a blend of empirical rigor (60%) and math complexity (40%).
We introduce the possibility of default in the mean field game of mutual holding of Djete and Touzi [11]. This is modeled by introducing absorption at the origin of the equity process. We provide an explicit solution of this mean field game. Moreover, we provide a particle system approximation, and
We investigate stability properties of weak supermartingale optimal transport (WSOT) problems on $\mathbb{R}$. For probability measures $μ,ν\in\mathcal{P}r$ satisfying $μ\leq{cd} ν$ (equivalently, $Π_S(μ,ν)\neq\emptyset$), we consider supermartingale couplings $π=μ(d x)π_x(d y)$ and the weak trans
This paper is concerned with the problem of budget control in a large particle system modeled by stochastic differential equations involving hitting times, which arises from considerations of systemic risk in a regional financial network. Motivated by Tang and Tsai (Ann. Probab., 46(2018), pp. 1597{