Paper

  • Smoothness of Directed Chain Stochastic Differential Equations (with Tomoyuki Ichiba)
    Electronic Journal of Probability, 2024
    journal arXiv

  • Directed Chain Generative Adversarial Networks (with Ruimeng Hu, Tomoyuki Ichiba)
    International Conference on Machine Learning (ICML), 2023, Accepted
    arXiv

  • Deep Learning for Systemic Risk Measures (with Yichen Feng, Jean-Pierre Fouque)
    3rd ACM International Conference on AI in Finance (ICAIF), 2022, Accepted
    arXiv

  • Sample-Efficient Reinforcement Learning with loglog(T) Switching Cost (with Dan Qiao, Ming Yin, Yuxiang Wang)
    International Conference on Machine Learning (ICML), 2022, Accepted
    journal arXiv bib

  • Signatured Deep Fictitious Play for Mean Field Games with Common Noise (with Ruimeng Hu)
    International Conference on Machine Learning (ICML), 2021, Accepted
    journal arXiv figure code bib

  • Convolutional Signature for Sequential Data (with Tomoyuki Ichiba)
    Digital Finance, 2022, Accepted
    journal pdf arXiv code bib

Master Thesis

  • Numerical Methods for European Options Pricing with BSDEs
    Worcester Polytechnic Institute, Worcester, MA, USA, April 2018