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Research

All authors contribute equally and are sorted in alphabetical order.

Preprints

  1. Sharp Wasserstein Convergence Rates for Empirical Path Laws of Itô Processes

    Xihao He and Fengyi Yuan.

    2026. arXiv: 2608.07879. [arXiv][paper]

  2. Mean-field games with rough common noise: the compactification approach

    Erhan Bayraktar, Xihao He, Xiang Yu and Fengyi Yuan.

    2026. arXiv: 2602.22602. [arXiv][ResearchGate]

  3. Dynamic data generation and dynamic portfolio selection: an application of a score-based diffusion model

    Ahmad Aghapour, Erhan Bayraktar and Fengyi Yuan.

    2025. arXiv: 2507.09916. [arXiv][code][SSRN]

    Presented in the poster sessions of GenAI in Finance Workshop of NeurIPS 2025. Refer to SSRN for the latest updated version.

  4. Unified continuous-time q-learning for mean-field game and mean-field control problems

    Xiaoli Wei, Xiang Yu and Fengyi Yuan.

    2024. arXiv: 2407.04521. [arXiv]

  5. Dynamic portfolio selection under generalized disappointment aversion

    Zongxia Liang, Sheng Wang, Jianming Xia and Fengyi Yuan.

    2024. arXiv: 2401.08323. [arXiv]

Journal publications

  1. Optimal consumption under loss-averse multiplicative habit-formation preferences

    Bahman Angoshtari, Xiang Yu and Fengyi Yuan.

    SIAM Journal on Financial Mathematics, Accepted. [arXiv][SSRN]

  2. Dynamic portfolio selection for nonlinear law-dependent preferences

    Zongxia Liang, Jianming Xia and Fengyi Yuan.

    Mathematics of Operations Research, forthcoming. [publisher][arXiv]

  3. Retirement decision with addictive habit persistence in a jump diffusion market

    Guohui Guan, Qitao Huang, Zongxia Liang and Fengyi Yuan.

    SIAM Journal on Financial Mathematics, 16(3): 2025, 912–958. [publisher][arXiv]

  4. Time-inconsistent mean-field stopping problems: A regularized equilibrium approach

    Xiang Yu and Fengyi Yuan.

    Finance and Stochastics, forthcoming. [publisher][arXiv]

  5. Equilibria for time-inconsistent singular control problems

    Zongxia Liang, Xiaodong Luo and Fengyi Yuan.

    SIAM Journal on Control and Optimization, 12(6): 2024, 3213–3238. [publisher]

  6. Consumption-investment decisions with endogenous reference point and drawdown constraint

    Zongxia Liang, Xiaodong Luo and Fengyi Yuan.

    Mathematics and Financial Economics, 17: 2023, pages 285–334. [publisher]

  7. Weak equilibria for time-inconsistent control: with applications to investment-withdrawal decisions

    Zongxia Liang and Fengyi Yuan.

    Mathematical Finance, 33(3): 2023, pages 891–945. [publisher]

  8. Optimal DB-PAYGO pension management towards a habitual contribution rate

    Lin He, Zongxia Liang and Fengyi Yuan.

    Insurance Mathematics and Economics, 94(3): 2020, pages 125–141. [publisher]

Selected academic presentations

  1. 15th AIMS Conference, Athens, Greece, .
  2. BFS World Congress 2026, Bologna, Italy, . [slides]
  3. NUS Quantitative Finance Conference 2026, Singapore, . [slides]
  4. SIAM Conference on Financial Mathematics and Engineering, Miami, . [slides]
  5. Financial Mathematics Seminar, BIMSA, . [slides]
  6. Financial/Actuarial Mathematics Seminar, The University of Michigan, Ann Arbor, .
  7. 2023 Global Young Scholars' Forum, The Chinese University of Hong Kong (Shenzhen), Online, .
  8. Financial/Actuarial Mathematics Seminar, The University of Michigan, Online, .
  9. The Mathematical Finance Series Seminars, Peking University, Online, .
  10. The 6th PKU-NUS Annual International Conference on Quantitative Finance and Economics, Peking University & National University of Singapore, Online, .
  11. The 6th Asian Quantitative Finance Seminar, National University of Singapore, Online, .
  12. The 10th Risk Management and Actuarial Forum, Renmin University of China, Beijing, China, .