Working Papers and Preprints
Exploratory Optimal Stopping: A Singular Control Formulation
with Jodi Dianetti and Giorgio Ferrari (2024)
Preprint
arXiv
Periodic Trading Activities in Financial Markets: Mean-field Liquidation Game with Major-Minor Players
with Yufan Chen, Lan Wu and Ruixun Zhang (2024)
Preprint
SSRN
Inference of Utilities and Time Preference in Sequential Decision-Making
with Haoyang Cao and Zhengqi Wu (2024)
Submitted
SSRN
Decision Making Under Costly Sequential Information Acquisition: The Paradigm of Reversible and Irreversible Decisions
with Thaleia Zariphopoulou and Luhao Zhang (2023)
Submitted
SSRN
Implicit Regularization and Convergence of
Gradient Descent for Deep Residual Networks
with Rama Cont and Alain Rossier (2022)
Submitted
arXiv
Asymptotic Analysis of Deep
Residual Networks
with Rama Cont and Alain Rossier (2022)
Submitted
arXiv
Fast Policy Learning for Linear Quadratic Control with Entropy Regularization
with Xin Guo and Xinyu Li (2023)
Revision, SIAM Journal on Control and Optimization
SSRN
Risk-sensitive Markov Decision Process and Learning under General Utilities
with Zhengqi Wu (2023)
Revision, JMLR
SSRN
Linear-quadratic Gaussian Games with Asymmetric Information: Belief Corrections Using the Opponents Actions
with Huining Yang and Ben Hambly (2023)
Revision, SIAM Journal on Control and Optimization
arXiv
Model-free Analysis of Dynamic Trading Strategies
with Rama Cont and Anna Ananova (2023)
Revision, SIAM Journal on Financial Mathematics
arXiv
Policy Gradient Finds Global Optimum of
Nearly Linear-quadratic Control Systems
with Yinbin Han amd Meisam Razaviyayn (2022)
Revision, SIAM Journal on Control and Optimization
arXiv
Risk-Aware Linear Bandits: Theory and Applications in Smart Order Routing
with Jingwei Ji and Ruihao Zhu (2023)
Revision, Operations Research
arXiv
TailGAN: Nonparametric Scenario
Generation for Tail Risk Estimation
with Rama Cont, Mihai Cucuringu and Chao Zhang (2022)
Major revision, Management Science
arXiv
Jounal Publications
Mean-Field Multi-Agent Reinforcement
Learning: A Decentralized Network Approach
with Xin Guo, Haotian Gu and Xiaoli Wei (2021)
Accepted, Mathematics of Operations Research (2024)
arXiv
Recent Advances in Reinforcement Learning in Finance
with Ben Hambly and Huining Yang (2021)
Mathematical Finance (2023)
arXiv
DOI
Policy Gradient Methods Find the Nash Equilibrium in N-player General-sum Linear-quadratic Games
with Ben Hambly and Huining Yang (2021)
Journal of Machine Learning Research (2022)
arXiv
DOI
Modelling COVID-19 Contagion: Risk Assessment and Targeted Mitigation Policies
with Rama Cont and Artur Kotlicki (2020)
Royal Society Open Science (2021)
medRxiv
DOI
Interbank Lending with Benchmark Rates: Pareto Optima for a Class of Singular Control Games
with Xin Guo and Rama Cont (2020)
Mathematical Finance (2021)
arXiv
DOI
Policy Gradient Methods for the Noisy Linear Quadratic Regulator over a Finite Horizon
with Ben Hambly and Huining Yang (2020)
SIAM Journal on Control and Optimization (2021)
arXiv
DOI
Entropy Regularization for Mean Field Games with Learning
with Xin Guo and Thaleia Zariphopoulou (2020)
Mathematics of Operations Research (2022)
arXiv
DOI
Mean-Field Controls with Q-learning for Cooperative MARL: Convergence and Complexity Analysis
with Xin Guo, Haotian Gu and Xiaoli Wei (2020)
SIAM Journal on Mathematics of Data Science (2021)
arXiv
DOI
A General Framework for Learning Mean-Field Games
with Xin Guo, Anran Hu and Junzi Zhang (2020)
Mathematics of Operations Research (2022)
arXiv
DOI
Delay-Adaptive Learning in Generalized Linear Contextual Bandits
with Jose Blanchet and Zhengyuan Zhou (2020)
Mathematics of Operations Research (2022)
arXiv
DOI
Dynamic Programming Principles for Mean-Field Controls with Learning
with Xin Guo, Haotian Gu and Xiaoli Wei (2019)
Operations Research (2022)
arXiv
DOI
Transaction Cost Data Analytics for Corporate Bonds
with Xin Guo and Charles-Albert Lehalle (2019)
Quantitative Finance (2022)
arXiv
DOI
A Class of Stochastic Games and Moving Free Boundary Problems
with Xin Guo and Wenpin Tang (2018)
SIAM Journal on Control and Optimization (2022)
arXiv
DOI
Stochastic Games for Fuel Followers Problem: N versus MFG
with Xin Guo (2018)
SIAM Journal on Control and Optimization (2019)
arXiv
DOI
Conference Preceedings
Neural Network-based Score
Estimation in Diffusion Models: Optimization and
Generalization
with Yinbin Han and Meisam Razaviyayn (2023)
International Conference on Learning Representation (ICLR) '24
arXiv
Risk-Aware Linear Bandits with Application in Smart Order Routing
with Jingwei Ji and Ruihao Zhu (2022)
proceeding
Scaling Properties of Deep Residual Networks
with Alain–Sam Cohen, Rama Cont, and Alain Rossier (2021)
ICML'21 | International Conference on Machine Learning
arXiv
proceeding
Learning in Generalized
Linear Contextual Bandits with Stochastic Delays
with Jose Blanchet and Zhengyuan Zhou (2019)
NeurIPS'19 (Spotlight) | Conference on Neural Information Processing Systems
proceeding
Learning Mean-Field Games
with Xin Guo, Anran Hu and Junzi Zhang (2019)
NeurIPS'19 | Conference on Neural Information Processing Systems
arXiv
proceeding
Ph.D. Students
I am very fortunate to advise and work with the following Ph.D. students:Recognitions and Awards
Teaching
I am offering a new Ph.D. level course at NYU in Fall 2024: