Research and Publications

Research Interests

• Backward Stochastic Differential Equations (BSDEs)
• Deep Learning Algorithms on Stochastics Control and Games
• Signatures and its Applications in Machine Learning

Publications

• Deep Signature Approach for McKean-Vlasov FBSDEs in a Random Environment , joint work with R. Hu, M. Laurière, J. Zhang
  Submitted

Master’s Thesis

Combing Data Assimilation and Machine Learning for Parameter Estimation in Hidden Markov Models
(Supervisor: Prof. Daniel Sanz-Alonso, University of Chicago, 2023)(Not to be published)