Overview

On the theoretical side, my research focuses on dynamic optimization, stochastic stability, and numerical methods
in macroeconomics and finance, including:

  • existence and uniqueness of solutions in presence of unbounded rewards,
  • stability and ergodicity of discrete-time dynamical systems, and
  • quantitative methods for alleviating the curse of dimensionality, etc.

    • On the practical side, I aim to apply the theory we develop to study wealth inequality and asset pricing issues,
    as well as related economic policies, including:

  • the quantitative impact of capital income risk on wealth inequality,
  • underlying mechanisms that generate fat-tailed wealth distributions, and
  • determinants of optimal portfolio choice and asset price dynamics, etc.

    • Publications

    1. Unbounded Dynamic Programming via the Q-Transform
        with John Stachurski and Alexis Akira Toda.   [pdf]   [arXiv.org]
        Journal of Mathematical Economics, 2022, 100, 102652.

    2. Asymptotic Linearity of Consumption Functions and Computational Efficiency
        with Alexis Akira Toda.   [pdf]   [arXiv.org]   [code: Python]
        Journal of Mathematical Economics, 2022, 98, 102562.

    3. Dynamic Programming Deconstructed: Transformations of the Bellman Equation
        and Computational Efficiency
        with John Stachurski.   [pdf]   [arXiv.org]   [code: Python]
        Operations Research, 2021, 69 (5), 1591-1607.

    4. A Theory of the Saving Rate of the Rich
        with Alexis Akira Toda.   [pdf]   [arXiv.org]   [code: Matlab]
        Journal of Economic Theory, 2021, 192, 105193.

    5. The Income Fluctuation Problem and the Evolution of Wealth
        with John Stachurski and Alexis Akira Toda.   [pdf]   [arXiv.org]   [code: Python & Julia]
        Journal of Economic Theory, 2020, 187, 105003.

    6. Optimal Timing of Decisions: A General Theory Based on Continuation Values
        with John Stachurski.   [pdf]   [code: Python]
        Journal of Economic Dynamics and Control, 2019, 101, 62-81.

    Research Grants

    1. The Generalized Incomplete Market Model and the Distribution of Wealth
        Natural Science Foundation of China, Grant No.72003138, Jan 2021-Dec 2023.