55 citations · 233 across the 23 of their papers we have counts for
24 papers
Optimal Investment with Switching Preferences
Yu-Jui Huang, Liviu Ignat, Traian A. Pirvu +1
Major life events can significantly increase individuals' risk aversion over a sustained period of time, as empirical studies reveal. How such an event-triggered shift of risk pref…
Relaxed Equilibria for Time-Inconsistent Markov Decision Processes
Erhan Bayraktar, Yu-Jui Huang, Zhenhua Wang +1
This paper considers an infinite-horizon Markov decision process (MDP) that allows for general non-exponential discount functions, in both discrete and continuous time. Due to the…
Minimizing the Repayment Cost of Federal Student Loans
Paolo Guasoni, Yu-Jui Huang
Federal student loans are fixed-rate debt contracts with three main special features: (i) borrowers can use income-driven schemes to make payments proportional to their income abov…
GANs as Gradient Flows that Converge
Yu-Jui Huang, Yuchong Zhang
This paper approaches the unsupervised learning problem by gradient descent in the space of probability density functions. A main result shows that along the gradient flow induced…
A Time-Inconsistent Dynkin Game: from Intra-personal to Inter-personal Equilibria
Yu-Jui Huang, Zhou Zhou
This paper studies a nonzero-sum Dynkin game in discrete time under non-exponential discounting. For both players, there are two levels of game-theoretic reasoning intertwined. Fir…
Optimal Equilibria for Multi-dimensional Time-inconsistent Stopping Problems
Yu-Jui Huang, Zhenhua Wang
We study an optimal stopping problem under non-exponential discounting, where the state process is a multi-dimensional continuous strong Markov process. The discount function is ta…
Mortality and Healthcare: a Stochastic Control Analysis under Epstein-Zin Preferences
Joshua Aurand, Yu-Jui Huang
This paper studies optimal consumption, investment, and healthcare spending under Epstein-Zin preferences. Given consumption and healthcare spending plans, Epstein-Zin utilities ar…
Generalized Duality for Model-Free Superhedging given Marginals
Arash Fahim, Yu-Jui Huang, Saeed Khalili
In a discrete-time financial market, a generalized duality is established for model-free superhedging, given marginal distributions of the underlying asset. Contrary to prior studi…
Asymptotic Optimality in Byzantine Distributed Quickest Change Detection
Yu-Chih Huang, Yu-Jui Huang, Shih-Chun Lin
The Byzantine distributed quickest change detection (BDQCD) is studied, where a fusion center monitors the occurrence of an abrupt event through a bunch of distributed sensors that…
Optimal Stopping under Model Ambiguity: a Time-Consistent Equilibrium Approach
Yu-Jui Huang, Xiang Yu
An unconventional approach for optimal stopping under model ambiguity is introduced. Besides ambiguity itself, we take into account how ambiguity-averse an agent is. This inclusion…
Epstein-Zin Utility Maximization on a Random Horizon
Joshua Aurand, Yu-Jui Huang
This paper solves the consumption-investment problem under Epstein-Zin preferences on a random horizon. In an incomplete market, we take the random horizon to be a stopping time ad…
Consumption, Investment, and Healthcare with Aging
Paolo Guasoni, Yu-Jui Huang
This paper solves the problem of optimal dynamic consumption, investment, and healthcare spending with isoelastic utility, when natural mortality grows exponentially to reflect Gom…
Strong and Weak Equilibria for Time-Inconsistent Stochastic Control in Continuous Time
Yu-Jui Huang, Zhou Zhou
A new definition of continuous-time equilibrium controls is introduced. As opposed to the standard definition, which involves a derivative-type operation, the new definition parall…
Optimal Consumption in the Stochastic Ramsey Problem without Boundedness Constraints
Yu-Jui Huang, Saeed Khalili
This paper investigates optimal consumption in the stochastic Ramsey problem with the Cobb-Douglas production function. Contrary to prior studies, we allow for general consumption…
Optimal Equilibria for Time-Inconsistent Stopping Problems in Continuous Time
Yu-Jui Huang, Zhou Zhou
For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other…
General Stopping Behaviors of Naive and Non-Committed Sophisticated Agents, with Application to Probability Distortion
Yu-Jui Huang, Adrien Nguyen-Huu, Xun Yu Zhou
We consider the problem of stopping a diffusion process with a payoff functional that renders the problem time-inconsistent. We study stopping decisions of naive agents who reoptim…
The Optimal Equilibrium for Time-Inconsistent Stopping Problems -- the Discrete-Time Case
Yu-Jui Huang, Zhou Zhou
We study an infinite-horizon discrete-time optimal stopping problem under non-exponential discounting. A new method, which we call the iterative approach, is developed to find subg…
Time-consistent stopping under decreasing impatience
Yu-Jui Huang, Adrien Nguyen-Huu
Under non-exponential discounting, we develop a dynamic theory for stopping problems in continuous time. Our framework covers discount functions that induce decreasing impatience.…
Model-independent Superhedging under Portfolio Constraints
Arash Fahim, Yu-Jui Huang
In a discrete-time market, we study model-independent superhedging, while the semi-static superhedging portfolio consists of {\it three} parts: static positions in liquidly traded…
On hedging American options under model uncertainty
Erhan Bayraktar, Yu-Jui Huang, Zhou Zhou
We consider as given a discrete time financial market with a risky asset and options written on that asset and determine both the sub- and super-hedging prices of an American optio…
The Stochastic Solution to a Cauchy Problem for Degenerate Parabolic Equations
Xiaoshan Chen, Yu-Jui Huang, Qingshuo Song +1
We study the stochastic solution to a Cauchy problem for a degenerate parabolic equation arising from option pricing. When the diffusion coefficient of the underlying price process…
Robust maximization of asymptotic growth under covariance uncertainty
Erhan Bayraktar, Yu-Jui Huang
This paper resolves a question proposed in Kardaras and Robertson [Ann. Appl. Probab. 22 (2012) 1576-1610]: how to invest in a robust growth-optimal way in a market where precise k…
On the Multi-Dimensional Controller and Stopper Games
Erhan Bayraktar, Yu-Jui Huang
We consider a zero-sum stochastic differential controller-and-stopper game in which the state process is a controlled diffusion evolving in a multi-dimensional Euclidean space. In…
Outperforming the market portfolio with a given probability
Erhan Bayraktar, Yu-Jui Huang, Qingshuo Song
Our goal is to resolve a problem proposed by Fernholz and Karatzas [On optimal arbitrage (2008) Columbia Univ.]: to characterize the minimum amount of initial capital with which an…