4 papers in the archive (2023–2026), average empirical rigor 2.1/10, average math complexity 9.1/10. Quadrant mix: Lab Rats ×4.
Works mostly in Stochastic Control & Optimal Stopping, Risk Management & Tail Risk, Options & Derivatives Pricing.
Frequent co-authors: Moris S. Strub (2), Yuwei Wang (2), Wing Fung Chong (1), Roxana Dumitrescu (1), Kenneth Tsz Hin Ng (1), Zhaojun Yang (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 develop a framework for an investor who trades until she either reaches a financial goal or an exogenous deadline arrives. Analogous to utility functions over wealth, we measure satisfaction with the timing of reaching a goal by a discount function. For a continuous-time market where a stochastic
We introduce predictable relative forward performance processes (PRFPP) as a new framework for studying portfolio management within a competitive and incomplete market environment. Each agent trades a distinct stock following a binomial distribution with probabilities for a positive return depending
This article constructs a forward exponential utility in a market with multiple defaultable risks. Using the Jacod-Pham decomposition for random fields, we first characterize forward performance processes in a defaultable market under the default-free filtration. We then construct a forward utility
This paper solves a recursive optimal stopping problem with Poisson stopping constraints using the penalized backward stochastic differential equation (PBSDE) with jumps. Stopping in this problem is only allowed at Poisson random intervention times, and jumps play a significant role not only through