3 papers in the archive (2024–2025), average empirical rigor 1.3/10, average math complexity 8.8/10. Quadrant mix: Lab Rats ×3.
Works mostly in Stochastic Control & Optimal Stopping, Portfolio Optimization.
Frequent co-authors: Yike Wang (2), Jingzhen Liu (2), Jianming Xia (1), Qian Zhao (1), Alain Bensoussan (1), Ka-Fai Cedric Yiu (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%).
In this paper we derive a novel characterization result for time-consistent stochastic control problems with higher-order moments, originally formulated by Wang et al. [SIAM J. Control. Optim., 63 (2025), 1560–1589], and newly explore many solvable instances including a mean-variance-excess kurtosi
We investigate the portfolio selection problem for an agent with rank-dependent utility in an incomplete financial market. For a constant-coefficient market and CRRA utilities, we characterize the deterministic strict equilibrium strategies. In the case of time-invariant probability weighting functi
In this paper, we focus on a class of time-inconsistent stochastic control problems, where the objective function includes the mean and several higher-order central moments of the terminal value of state. To tackle the time-inconsistency, we seek both the closed-loop and the open-loop Nash equilibri