Yu-Jui Huang

MaRDI QIDQ261913zbMATH OpenFDO

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Epstein‐Zin utility maximization on a random horizon Mathematical Finance	2024-01-31	Paper
Relaxed Equilibria for Time-Inconsistent Markov Decision Processes	2023-07-09	Paper
Convergence of Policy Improvement for Entropy-Regularized Stochastic Control Problems	2022-09-15	Paper
Minimizing the repayment cost of federal student loans SIAM Review	2022-08-05	Paper
A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria Finance and Stochastics	2022-04-01	Paper
Mortality and Healthcare: A Stochastic Control Analysis under Epstein--Zin Preferences SIAM Journal on Control and Optimization	2021-11-05	Paper
Asymptotic Optimality in Byzantine Distributed Quickest Change Detection IEEE Transactions on Information Theory	2021-09-07	Paper
Strong and weak equilibria for time-inconsistent stochastic control in continuous time Mathematics of Operations Research	2021-07-15	Paper
Optimal equilibria for multidimensional time-inconsistent stopping problems SIAM Journal on Control and Optimization	2021-05-28	Paper
Short communication: American student loans: repayment and valuation SIAM Journal on Financial Mathematics	2021-05-17	Paper
Optimal equilibria for time-inconsistent stopping problems in continuous time Mathematical Finance	2021-03-23	Paper
Generalized Duality for Model-Free Superhedging given Marginals	2019-09-13	Paper
Consumption, investment and healthcare with aging Finance and Stochastics	2019-04-24	Paper
Optimal consumption in the stochastic Ramsey problem without boundedness constraints SIAM Journal on Control and Optimization	2019-03-11	Paper
The optimal equilibrium for time-inconsistent stopping problems -- the discrete-time case SIAM Journal on Control and Optimization	2019-02-19	Paper
Time-consistent stopping under decreasing impatience Finance and Stochastics	2018-01-16	Paper
Optimal Equilibria for Time-Inconsistent Stopping Problems in Continuous Time	2017-12-21	Paper
The stochastic solution to a Cauchy problem for degenerate parabolic equations Journal of Mathematical Analysis and Applications	2017-03-28	Paper
Model-independent superhedging under portfolio constraints Finance and Stochastics	2016-03-29	Paper
On hedging American options under model uncertainty SIAM Journal on Financial Mathematics	2015-06-26	Paper
Robust maximization of asymptotic growth under covariance uncertainty The Annals of Applied Probability	2013-10-25	Paper
On the multidimensional controller-and-stopper games SIAM Journal on Control and Optimization	2013-07-17	Paper
Outperforming the market portfolio with a given probability The Annals of Applied Probability	2012-09-19	Paper

Research outcomes over time

This page was built for person: Yu-Jui Huang