Research at FAST

107 Department of Applied Mathematics Department of Applied Mathematics Qualification PhD (UT Austin) Postdoc (UMich) ORCID ID 0000-0003-4053-7876 Representative Publications • Utility maximization with proportional transaction costs under model uncertainty (with S. Deng and X. Tan). Mathematics of Operations Research, forthcoming, 2020 • On the bail-out dividend problem for spectrally negative Markov additive models (with K. Noba and J.L. Perez). SIAM Journal on Control and Optimization. 2020 , Vol. 58 (2), 1049-1076 • Risk sensitive portfolio optimization with default contagion and regime-switching (with L. Bo and H. Liao). SIAM Journal on Control and Optimization. 2019 , Vol. 57 (1), 366-401 • Optimal investment with random endowments and transaction costs: duality theory and shadow prices (with E. Bayraktar). Mathematics and Financial Economics. 2019 , Vol. 13 (2), 253-286 • On the bail-out optimal dividend problem (with J.L. Perez and K. Yamazaki). Journal of Optimization Theory and Applications. 2018 , Vol. 179 (2), 553-568 • On the market viability under proportional transaction costs (with E. Bayraktar). Mathematical Finance. 2018 , Vol. 28 (3), 800-838 • Optimal consumption under habit formation in markets with transaction costs and random endowments. The Annals of Applied Probability. 2017 , Vol. 27 (2), 960-1002 • Utility maximization with addictive consumption habit formation in incomplete semimartingale markets. The Annals of Applied Probability. 2015 , Vol. 25 (3), 1383-1419 Awards and Achievements • Co-Head of conferences and visiting scholar scheme ``Recent developments in stochastic control and numerical methods for quantitative finance”, Vietnam Institute for Advanced Study in Mathematics, 2019 • Graduate School Professional Development Awards, UT Austin, 2012 Dr YU Xiang Assistant Professor Research Overview Financial and actuarial mathematics, applied probability and stochastic analysis, stochastic control and optimization. In particular, my current research projects include some novel path-dependent optimal consumption problems and related dynamic contracting problems; optimal tracking of ETF process and beyond; teamwise mean field rank-based competition games; time inconsistent optimal stopping under model ambiguity and some applications. Teamwise Mean Field Competitions