University of Oxford
Andrew Wiles Building
Radcliffe Observatory Quarter
Stochastic control, machine leanring and their applications in mathematical finance:
I am a final year DPhil student in Mathematical and Computational Finance Group, supervised by Prof. Christoph Reisinger. My research focuses on designing efficient numerical methods for solving continuous-time stochastic control and game problems arsing from mathematical finance. Recently I am working on combining the classical PDE/BSDE approach with the modern deep learning methodology to solve high-dimensional control problems, including the mean field control problems whose coefficients depend on the joint distribution of state and control processes.
Prizes, awards, and scholarships:
G-Research PhD Prize in Maths and Data Science, G-Reasearch, 2020.
Departmental Studentship, University of Oxford, 2017–2021: Full studentship covering tuition fees and living costs during the D.Phil. study.
Major / recent publications:
Refereed Journal Publications:
Christoph Reisinger and Yufei Zhang, Rectified deep neural networks overcome the curse of dimensionality for nonsmooth value functions in zero-sum games of nonlinear stiff systems, Analysis and Applications, forthcoming, 2020. [Preprint]
Kazufumi Ito, Christoph Reisinger, and Yufei Zhang, A neural network based policy iteration algorithm with global $H^2$-superlinear convergence for stochastic games on domains, Foundations of Computational Mathematics, Published online, May 2020. [Journal] [Preprint]
Christoph Reisinger and Yufei Zhang, Error estimates of penalty schemes for quasi-variational inequalities arising from impulse control problems, SIAM Journal on Control and Optimization, 58 (2020), pp. 243–276. [Journal] [Preprint]
Christoph Reisinger and Yufei Zhang, A penalty scheme for monotone systems with interconnected obstacles: convergence and error estimates, SIAM Journal of Numerical Analysis, 57 (2019), pp. 1625–1648. [Journal] [Preprint]
Roxana Dumitrescu, Christoph Reisinger, and Yufei Zhang, Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps, Applied Mathematics & Optimization, Published online, July 2019. [Journal]
Refereed Conference Publications:
Xinshi Chen, Yufei Zhang, Christoph Reisinger, and Le Song, Understanding Deep Architectures with Reasoning Layer , Advances in Neural Information Processing Systems (NeurIPS), 2020, [Preprint]
Christoph Reisinger, Wolfgang Stockinger and Yufei Zhang, Path regularity of coupled McKean-Vlasov FBSDEs, preprint, arXiv:2011.06664, 2020. [Preprint]
Christoph Reisinger, Wolfgang Stockinger and Yufei Zhang, Optimal regularity of extended mean field controls and their piecewise constant approximation, preprint, arXiv:2009.08175v2, 2020. [Preprint]
Christoph Reisinger, Wolfgang Stockinger and Yufei Zhang, A posteriori error estimates for fully coupled McKean-Vlasov forward-backward SDEs, preprint, arXiv:2007.07731, 2020. [Preprint]
Christoph Reisinger and Yufei Zhang, Regularity and stability of feedback relaxed controls, preprint, arXiv:2001.03148 [math.NA], 2020. [Preprint]
Christoph Reisinger and Yufei Zhang, A penalty scheme and policy iteration for non-local HJB variational inequalities with monotone drivers, preprint, arXiv:1805.06255 [math.NA], 2018. [Preprint]