Research Interests

My research is on decisions under uncertainty and I work on related problems in stochastic optimal control, Markov decision processes, nonlinear partial differential equations, probability theory, mathematical finance and financial economics.  Recently, I am interested in modern computational approaches to high dimensional stochastic optimal control and mean-field (or McKean-Vlasov) stochastic optimal control.

I have published in leading journals of many fields including Mathematics,Optimal Control,  Applied mathematics,  Financial Engineering, Economics, Finance, Business.

The following papers illustrate the current interests: