Control with partial observations and an explicit solution of Mortensen equation (with V. Benes, I. Karatzas, and D.Ocone). Appl. Math. Optim. 49 (2004), 217-239.
Option pricing under a double exponential jump diffusion models (with S. Kou). To appear in Management Sciences (2004) .
Optimal stopping with Forced exits. To appear in Math. Oper. Res. (2004).
On the convergence from discrete to continuous time in an optimal stopping problem (with P. Dupuis). To appear in Ann. Appl. Prob. (2004).
Adaptive importance sampling for uniformly recurrent Markov chains (with P. Dupuis). To appear in Ann. Appl. Prob. (2004).
A capacity expansion problem featuring exponential jump diffusion processes. Stochastics and Stochastics Reports 75 (2003), 259-274.
First passage times of a jump diffusion process (with S. Kou). Adv. Appl. Prob. 35 (2003), 504-531.
Optimal stopping with random intervention times (with P. Dupuis). Adv. Appl. Prob. 34 (2002), 1-17.
Connections between bounded variation control and Dynkin games (with I. Karatzas). Optimal Control and Partial Differential Equations 353-362 (2001). IOS Press, Amsterdam.
Utility maximization with random endowments in incomplete markets (with J. Cvitanic and W. Schachermayer). Finan. and Stoch. 5 (2001), 259-272.
Some control problems with random intervention times. Adv. Appl. Prob. 33 (2001), 402-422.
On optimal terminal wealth under transaction costs (with J. Cvitanic). J. Math. Econ. 35 (2001), 223-231.
A finite-fuel control problem with discretionary stopping (with I. Karatzas, D. Ocone, and M. Zervos". Stoch. and Stoch. Rep. 71 (2000), 1-50.
A barrier option of American type (with I. Karatzas). Appl. Math. Optim. 42 (2000), 259-280.
Discretization of deflated bond prices (with P. Glasserman). Adv. Appl. Prob. 32 (2000), 540-563.
Utility maximization with discretionary stopping (with I. Karatzas). SIAM J. on Control and Optim. 39 (2000), 306-329.
A minimization problem arising from prescribing scalar curvature functions (with L. Ma). Math. Z. 222 (1996), 1-6.
On the optimality of conditional expectation as a Bregman predictor (with A. Banerjee and X. Guo).
Importance Sampling, Large Deviations, and Differential Games (with P. Dupuis).
Year | Degree | Institution |
---|---|---|
2000 | PhD | Columbia University |
1996 | MS | Tsinghua University |
APMA 1200 - Operations Research: Probabilistic Models |
APMA 1655 - Statistical Inference I |
APMA 1690 - Computational Probability and Statistics |
APMA 2630 - Theory of Probability |
APMA 2640 - Theory of Probability |