Overview

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

  • existence and uniqueness of solutions in the presence of unbounded rewards,
  • stability and ergodicity of discrete-time dynamical systems, and
  • quantitative methods for solving incomplete market models, etc.

    • On the practical side, I apply the developed theory to address issues in wealth inequality and asset pricing, as well as related economic policies, including:

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

    • Publications

    1. Interest Rate Dynamics and Commodity Prices
      with Christophe Gouel and John Stachurski
      Journal of Economic Theory, 2024, Forthcoming.
      [Online Appendix]   [Working Paper]   [Code: Python]
      (The working paper contains all appendices, and the Online Appendix of the published paper
      corresponds to Appendices D-G in the working paper.)

    2. Unbounded Dynamic Programming via the Q-Transform
      with John Stachurski and Alexis Akira Toda.   [Working Paper]
      Journal of Mathematical Economics, 2022, 100, 102652.

    3. Asymptotic Linearity of Consumption Functions and Computational Efficiency
      with Alexis Akira Toda.   [Working Paper]   [Code: Python]
      Journal of Mathematical Economics, 2022, 98, 102562.

    4. Dynamic Programming Deconstructed: Transformations of the Bellman Equation
      and Computational Efficiency
      with John Stachurski.   [Working Paper]   [Code: Python]
      Operations Research, 2021, 69 (5), 1591-1607.

    5. A Theory of the Saving Rate of the Rich
      with Alexis Akira Toda.   [Working Paper]   [Code: Matlab]
      Journal of Economic Theory, 2021, 192, 105193.

    6. The Income Fluctuation Problem and the Evolution of Wealth
      with John Stachurski and Alexis Akira Toda.   [Working Paper]   [Code: Python & Julia]
      Journal of Economic Theory, 2020, 187, 105003.

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

    Research Grants

    1. Theoy, Algorithms, and Applications of Incomplete Market Models:
      From the Perspectives of Wealth Distribution and Asset Pricing
      Social Science Foundation of Beijing (Young Academic Leader Program), Jul 2024-Jul 2027.

    2. High Dimensional Dynamic Modeling: Theory, Algorithms and Applications
      Natural Science Foundation of China, 2022-2025.

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