Fengyi Yuan
Assistant Professor
School of Science and Engineering (SSE), The Chinese University of Hong Kong, Shenzhen
I am an Assistant Professor at the School of Science and Engineering (SSE) of The Chinese University of Hong Kong, Shenzhen.
Previously, I was a Byrne Research Assistant Professor at the University of Michigan, Ann Arbor from 2024 to 2025, working in the group led by Prof. Erhan Bayraktar.
I obtained my Ph.D. in math from Tsinghua University in June 2024, supervised by Prof. Zongxia Liang.
Feel free to contact me directly if you have any questions about my research or teaching. Collaborations on related topics are warmly welcomed!
Research interests
- Mean field games and mean field control problems with rough common noise
- Applications of generative models
- Stochastic control and its applications in financial mathematics
- Time-inconsistency in dynamic decision problems
Recent work
All research-
Sharp Wasserstein Convergence Rates for Empirical Path Laws of Itô Processes
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Mean-field games with rough common noise: the compactification approach
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Dynamic data generation and dynamic portfolio selection: an application of a score-based diffusion model
Presented in the poster sessions of GenAI in Finance Workshop of NeurIPS 2025. Refer to SSRN for the latest updated version.
Awards & honors
- Outstanding Doctoral Thesis (top 10%). Tsinghua University, 2024.
- Outstanding Graduates (top 4%). Tsinghua University, 2024.
- National Scholarship for Graduate Students. Ministry of Education, China, 2020 and 2023.
- Mr. TANG Lixin Scholarship. Tsinghua University, 2021.
- THU Postgraduate Excellency Scholarship Second Prize. 2022.
- THU Excellent TA Awards. 2021 and 2022.