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Assistant Professor
Research Interests
Applied Probability; Financial Mathematics; Stochastic Optimal ControlTeaching
 MAFS5010 Stochastic Calculus
 MATH2421 Probability
Selected Publications
Article

Supermartingale Brenier's Theorem with fullmarginals constraint
 Author(s): Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas
 Source: Frontiers of Mathematical Finance, March 2023, article number fmf.2023010
 Year: 2023

A potentialbased construction of the increasing supermartingale coupling
 Author(s): Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas
 Source: Annals of Applied Probability, 2023
 Year: 2023

Supermartingale shadow couplings: the decreasing case
 Author(s): Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas
 Source: Bernoulli, 2023
 Year: 2023

Optimal consumption with reference to past spending maximum
 Author(s): Deng, Shuoqing; Li, Xun; Pham, Huyên; Yu, Xiang
 Source: Finance and Stochastics, v. 26, (2), April 2022, p. 217266
 Year: 2022

Utility Maximization with Proportional Transaction Costs Under Model Uncertainty
 Author(s): Deng, Shuoqing; Tan, Xiaolu; Yu, Xiang
 Source: Mathematics of Operations Research, v. 45, (4), November 2020, p. 12101236
 Year: 2020

The robust pricing–hedging duality for American options in discrete time financial markets
 Author(s): Aksamit, Anna; Deng, Shuoqing; Obłój, Jan; Tan, Xiaolu
 Source: Mathematical Finance, v. 29, (3), July 2019, p. 861897
 Year: 2019

A sparse grid approach to balance sheet risk measurement
 Author(s): Bénézet, Cyril; Bonnefoy, Jérémie; Chassagneux, JeanFrançois; Deng, Shuoqing; Trillos, Camilo Garcia; Lenôtre, Lionel
 Source: ESAIM: Proceedings and Surveys, v. 65, February 2019, p. 236265
 Year: 2019

Superreplication with proportional transaction cost under model uncertainty
 Author(s): Bouchard, Bruno; Deng, Shuoqing; Tan, Xiaolu
 Source: Mathematical Finance, v. 29, (3), July 2019, p. 837860
 Year: 2019
Conference paper

Supermartingale Breiner's Theorem with full marginals constraints
 Author(s): Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas
 Year: 2022
Preprint

Supermartingale Brenier’s Theorem with fullmarginals constraint
 Author(s): Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas
 Source: Peter Carr Gedenkschrift: A special issue of the Frontiers of Mathematical Finance, 2023
 Year: 2023

On timeconsistent equilibrium stopping under aggregation of diverse discount rates
 Author(s): Deng, Shuoqing; Yu, Xiang; Zhang, Jiacheng
 Source: arXiv, February 2023, Article number 2302.07470
 Year: 2023

Supermartingale shadow couplings: the decreasing case
 Author(s): Bayraktar, Erhan; Deng, Shuoqing; Norgilas, Dominykas
 Source: arXiv, July 2022, Article number 2207.11732
 Year: 2022