My research interests include: Applied Probability, Stochastic Analysis, Control Theory,
Mathematics of Finance, Mathematical Economics, Markov Switching, Actuarial Science, Numerical Methods.
Optimal Trading Algorithms under Regime Switching , The Journal of Financial Data Science , Spring 2022, jfds.2022.1.092; DOI: https://doi.org/10.3905/jfds.2022.1.092
Optimal Oil Production and Taxation under Mean Reverting Jump Diffusion Models , Journal of Mathematical Analysis and Applications Volume 507, Issue 2, 15 March 2022, 125777.
Execution Shortfall Algorithms under Regime Switching, 2021 Proceedings of the Conference on Control and its Applications Publisher SIAM, pp 48-54.
Optimal VWAP Strategies under Regime Switching, Proceedings of 55th Annual Conference on Information Sciences and Systems (CISS 2021), publisher IEEE .
Optimal Resource Extraction in Regime Switching Lévy Markets, Applications of Levy Processes Nova Science Publishers 2021, ISBN: 978-1-53619-525-5
Optimal Extraction and Taxation of Strategic Natural Resources:
A Differential Game Approach, Journal of Energy Markets Volume 12, (Number 2) 2020, pp 63-83.
Optimal Oil Production and Taxation in Presence of Global Disruptions Proceedings of the SIAM Conference on Control 2017
Optimal Oil Production under Mean Reverting Levy Models with Regime Switching, Journal of Energy Markets , Volume 10, Issue 2, (June 2017), pp. 1-15.
Optimal stopping of Markov switching Levy processes,
Stochastics An International Journal of Probability and Stochastic Processes , Vol. 89 (2), 2014, pp. 341-369.
Optimal Algorithms for Trading Large Positions,
Automatica, Volume 48, Issue 7, (July 2012), pp. 1353-1358.
Viscosity Solution of Optimal Stopping Problem for Stochastic Systems with Bounded Memory, with Mou-Hsiung Chang and Tao Pang,
Stochastic Analysis and Applications, Volume 30, Issue 6, (November 2012), pp. 1102 - 1135.
Optimal Selling Rule in a Regime Switching Levy Market,
International Journal of Mathematics and Mathematical Sciences, Volume 2011, No. 264603, 28 pages.
An Approximation scheme for Black-Scholes equations with delays, with Mou-Hsiung Chang and Tao Pang,
Journal of System Science and Complexity, Volume 23, No. 3, (June 2010), pp. 438-455.
Liquidation of a Large Block of Stock under Regime Switching Model,
with Qing Zhang and George Yin,
Mathematical Finance: An International Journal of Mathematics, statistics and Financial Economics, Volume 18 Issue 4 (October 2008), pp. 629-648.
Optimal Control of Stochastic Functional Differential
Equations with a Bounded Memory, with Mou-Hsiung Chang and Tao Pang,
Stochastics: An international Journal of Probability and Stochastic Processes Volume 80, Issue 1, (November 2008), pp. 69-96.
Finite Difference Approximation for Stochastic Optimal Stopping
Problems with Delays, with Mou-Hsiung Chang and Tao Pang, Journal of Industrial and Management Optimization. Volume 4, Issue 2, (May 2008), pp.227-246.
Finite Difference Approximations for Stochastic Control System with Delay,
with Mou-Hsiung Chang and Tao Pang, Stochastic Analysis and Applications, Volume 26, Issue 3, (May 2008), pp. 451-470.
Liquidation of a large block of stock: A stochastic Control Approach with State Constraints,
with George Yin and Qing Zhang, Communications in Information and Systems , Volume 7, No. 1, (2007) pp.93-110.
Liquidation of a large block of stock,
with George Yin and Qing Zhang, Journal of Banking and Finance Volume 31, Issue 5, (May 2007) pp. 1295-1305.
Optimal stock liquidation in a regime switching model
with finite time horizon, with Qing Zhang, Journal of Mathematical Analysis and Applications , Volume 321, Issue 2, 15 September 2006, pp 537-552.
Additional information on my scholarly activities can be found on my Google Scholar profile by clicking here.