Yijie Huang

Yijie Huang

Postdoctoral Fellow

#My Google scholar page

Preprints

[13] Optimal consumption and retirement time under shortfall risk measure. (with Lijun Bo and Tingting Zhang) Submitted, 2026. [ArXiv]

[12] Deterministic policy gradient for learning equilibrium in time-inconsistent control problems. (with Xin Guo and Xiang Yu) Submitted, 2026. [ArXiv]

[11] Optimal consumption under adjustment costs with respect to multiple reference levels. (with Kaixin Yan and Qinyi Zhang) Submitted, 2025. [ArXiv]

[10] Continuous-time reinforcement learning for optimal switching over multiple regimes. (with Mengge Li, Xiang Yu and Zhou Zhou) Major revision with Finance and Stochastics, 2025. [ArXiv]

[9] Mean field game of optimal tracking portfolio. (with Lijun Bo and Xiang Yu) Conditionally accepted as paper with IEEE Transactions on Automatic Control, 2025. [ArXiv]

Journal Publications

[8] Continuous-time q-learning for jump-diffusion models under Tsallis entropy. (with Lijun Bo, Xiang Yu and Tingting Zhang) Mathematics and Financial Economics, forthcoming, 2026. [ArXiv]

[7] Optimal consumption under relaxed benchmark tracking and consumption drawdown constraint. (with Lijun Bo, Kaixin Yan and Xiang Yu) SIAM Journal on Financial Mathematics, 17(1): 78-117, 2026. [ArXiv]

[6] An extended Merton problem with relaxed benchmark tracking. (with Lijun Bo and Xiang Yu) Mathematical Finance, 36(2): 422-448, 2026. [ArXiv]

[5] Optimal inventory control with state dependent jumps. (with Lijun Bo) Advances in Applied Probability, 57(4): 1360-1391, 2025.

[4] On optimal tracking portfolio in incomplete markets: The reinforcement learning approach. (with Lijun Bo and Xiang Yu) SIAM Journal on Control and Optimization, 63(1): 321-348, 2025. [ArXiv]

[3] Stochastic control problems with state-reflections arising from relaxed benchmark tracking. (with Lijun Bo and Xiang Yu) Mathematics of Operations Research, 50(4): 2526-2551. 2025. [ArXiv]

[2] A decomposition-homogenization method for Robin boundary problems on the nonnegative orthant. (with Lijun Bo and Xiang Yu) Electronic Journal of Probability, 29: 1-25, 2024. [ArXiv]

[1] Dynamic pricing with surging demand. (with Lijun Bo) CSIAM Transactions on Applied Mathematics, 5(1): 142-181, 2024.

Research Presentations and Posters