Research Interests
My primary research interests lie at the interface of partial differential equations and probability, with an emphasis on optimization, control theory, and applications in finance and engineering.
Recent papers:
- "Nonlinear PDE Approach to Time-Inconsistent Optimal Stopping." SIAM Journal on Control and Optimization 55 (1), 557-573. [ArXiv]
- "A Duality Result for Robust Optimization with Expectation Constraints."
- "Distribution-Constrained Optimal Stopping." (with Erhan Bayraktar).
- "Optimal Control of Conditional Value-at-Risk in Continuous Time," to appear in SIAM Journal on Control and Optimization (with Insoon Yang).
- "Optimal dynamic contracts for a large-scale principal-agent hierarchy." (with Insoon Yang).
- "Convexity and optimality conditions for continuous time principal-agent problems." (with Lawrence C. Evans and Insoon Yang).
Unpublished notes:
- "Duality Methods in Portfolio Allocation with Transaction Constraints and Uncertainty."
- First Prize, Morgan Stanley Prize for Excellence in Financial Markets, Jan. 9, 2014
- Lecture notes available here