Yu-Jui Huang
Yu-Jui Huang
Assistant Professor, Department of Applied Mathematics, University of Colorado Boulder
Verified email at colorado.edu - Homepage
Title
Cited by
Cited by
Year
On the multidimensional controller-and-stopper games
E Bayraktar, YJ Huang
SIAM Journal on Control and Optimization 51 (2), 1263-1297, 2013
472013
On hedging American options under model uncertainty
E Bayraktar, YJ Huang, Z Zhou
SIAM Journal on Financial Mathematics 6 (1), 425-447, 2015
352015
Time-consistent stopping under decreasing impatience
YJ Huang, A Nguyen-Huu
Finance and Stochastics 22 (1), 69-95, 2018
262018
General stopping behaviors of na´ve and noncommitted sophisticated agents, with application to probability distortion
YJ Huang, A Nguyen‐Huu, XY Zhou
Mathematical Finance 30 (1), 310-340, 2020
212020
Model-independent superhedging under portfolio constraints
A Fahim, YJ Huang
Finance and Stochastics 20 (1), 51-81, 2016
202016
Outperforming the market portfolio with a given probability
E Bayraktar, YJ Huang, Q Song
The Annals of Applied Probability 22 (4), 1465-1494, 2012
172012
The Optimal Equilibrium for Time-Inconsistent Stopping Problems---The Discrete-Time Case
YJ Huang, Z Zhou
SIAM Journal on Control and Optimization 57 (1), 590-609, 2019
162019
Strong and weak equilibria for time-inconsistent stochastic control in continuous time
YJ Huang, Z Zhou
Mathematics of Operations Research, 2020
142020
Optimal equilibria for time‐inconsistent stopping problems in continuous time
YJ Huang, Z Zhou
Mathematical Finance 30 (3), 1103-1134, 2020
142020
Robust maximization of asymptotic growth under covariance uncertainty
E Bayraktar, YJ Huang
Annals of Applied Probability 23 (5), 1817-1840, 2013
92013
Optimal stopping under model ambiguity: a time-consistent equilibrium approach
YJ Huang, X Yu
arXiv preprint arXiv:1906.01232, 2019
62019
Stopping behaviors of naive and non-committed sophisticated agents when they distort probability
YJ Huang, A Nguyen-Huu, XY Zhou
Available at SSRN 3035538, 2017
62017
A tight converse to the asymptotic performance of Byzantine distributed sequential change detection
YC Huang, SC Lin, YJ Huang
2019 IEEE International Symposium on Information Theory (ISIT), 2404-2408, 2019
32019
Consumption, investment and healthcare with aging
P Guasoni, YJ Huang
Finance and Stochastics 23 (2), 313-358, 2019
32019
Epstein-Zin utility maximization on random horizons
J Aurand, YJ Huang
arXiv preprint arXiv:1903.08782, 2019
32019
On byzantine distributed sequential change detection with multiple hypotheses
YJ Huang, SC Lin, YC Huang
2019 IEEE International Symposium on Information Theory (ISIT), 2209-2213, 2019
22019
Optimal consumption in the stochastic Ramsey problem without boundedness constraints
YJ Huang, S Khalili
SIAM Journal on Control and Optimization 57 (2), 783-809, 2019
22019
On the stochastic solution to a Cauchy problem associated with nonnegative price processes
X Chen, YJ Huang, Q Song, C Zhu
arXiv preprint arXiv:1309.0046, 2013
22013
Optimal Equilibria for Multi-dimensional Time-inconsistent Stopping Problems
YJ Huang, Z Wang
arXiv preprint arXiv:2006.00754, 2020
12020
The stochastic solution to a Cauchy problem for degenerate parabolic equations
X Chen, YJ Huang, Q Song, C Zhu
Journal of Mathematical Analysis and Applications 451 (1), 448-472, 2017
12017
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