4 papers in the archive (2023–2026), average empirical rigor 2/10, average math complexity 8.5/10. Quadrant mix: Lab Rats ×4.
Works mostly in Stochastic Control & Optimal Stopping, Options & Derivatives Pricing, Commodities & Energy Markets, Fixed Income & Interest Rates.
Frequent co-authors: Jin Liang (2), Min Dai (1), Yanwei Jia (1), Xun Yu Zhou (1), Xinfu Chen (1), Wenlin Huang (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 work, a pricing model for a defaultable corporate bond with credit rating migration risk is established. The model turns out to be a free boundary problem with two free boundaries. The latter are the level sets of the solution but of different kinds. One is from the discontinuous second orde
In this paper, we consider a company can simultaneously reduce its emissions and buy carbon allowances at any time. We establish an optimal control model involving two stochastic processes with two control variables, which is a singular control problem. This model can then be converted into a Hamilt
The classical Merton investment problem predicts deterministic, state-dependent portfolio rules; however, laboratory and field evidence suggests that individuals often prefer randomized decisions leading to stochastic and noisy choices. Fudenberg et al. (2015) develop the additive perturbed utility
This paper studies the time-inconsistent MV optimal stopping problem via a game-theoretic approach to find equilibrium strategies. To overcome the mathematical intractability of direct equilibrium analysis, we propose a vanishing regularization method: first, we introduce an entropy-based regulariza