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.

My recent publications in mean-field games or control are:

Viscosity Solutions of McKean-Vlasov control on a torus, (with Qinxin Yan), arXiv:2212.110532v2,(2022).
Synchronization in a Kuramoto Mean Field Game, (with Rene Carmona and Quentin Cormier), arXiv:2210.12912v1, (2022).

Following are my recent papers in high-dimensional computational problems in optimal control:

Neural Optimal Stopping Boundary, (with Max Reppen and Valentin Tissot-Daguette), arXiv:2205.04595, preprint, (2022).
Deep Stochastic Optimization in Finance, (with Max Reppen and Valentin Tissot-Daguette), arXiv:2205.04604, Digital Finance, (2022).
Deep Empirical Risk Minimization in finance: looking into the future, (with Max Reppen), arXiv:2011.09349v1, Mathematical Finance, (2022).