Academic Staff


Assistant Professor

Dr. Yu Xiang
余翔博士

TU809, Yip Kit Chuen Bldg.

2766 6930

Personal Website


Qualifications
  • Ph.D. (Mathematics) The University of Texas at Austin, 2012
  • BSc, (Mathematics) Huazhong University of Science and Technology, 2007

 

Research Interests
  • Mathematical Finance
  • Applied Probability
  • Stochastic Control and Optimization

 

Selected Publications
  • S. Deng, X. Tan and X. Yu. Utility maximization with proportional transaction costs under model uncertainty. Mathematics of Operations Research, forthcoming (2019).
  • L. Bo, H. Liao and X. Yu. Risk sensitive portfolio optimization with default contagion and regime-switching. SIAM Journal on Control and Optimization. Vol. 57 (2019), No. 1, 366-401.
  • E. Bayraktar and X. Yu. Optimal investment with random endowments and transaction costs: duality theory and shadow prices. Mathematics and Financial Economics. Vol. 13 (2019), No. 2, 253-286.
  • J.L. Perez, K. Yamazaki and X. Yu. On the bail-out optimal dividend problem. Journal of Optimization Theory and Applications. Vol. 179 (2018), No. 2, 553-568.
  • E. Bayraktar and X. Yu. On the market viability under proportional transaction costs. Mathematical Finance. Volume 28 (2018), No. 3, 800-838.
  • X. Yu. Optimal consumption under habit formation in markets with transaction costs and random endowments. The Annals of Applied Probability. Volume 27 (2017), No. 2, 960-1002.
  • X. Yu. Utility maximization with addictive consumption habit formation in incomplete semimartingale markets. The Annals of Applied Probability. Vol. 25 (2015), No.3, 1383-1419.


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