Shuo Huang
I am currently a Ph.D. student at the Department of Statistics, under the supervision of Dr. Gechun Liang.
My research areas are mainly focused on mathematical finance and stochastic analysis. In particular, I am currently interested in numerical viscosity solutions, stochastic control and optimal stopping.
Publications:
- An approximation scheme for semilinear parabolic PDEs with convex and coercive Hamiltonians, (with Gechun Liang and Thaleia Zariphopoulou), SIAM Journal on Control and Optimization, 2020, Vol. 58, No. 1 : pp. 165-191. [arXiv]
Working Paper
- An approximation scheme for variational inequalities with convex and coercive Hamiltonians, arXiv:1810.08842.
- A monotone scheme for G-equations with application to the convergence rate of robust central limit theorem, (with Gechun Liang), arXiv:1904.07184 .
Conferences Attended/ Plan to Attend:
- 11th European Summer School in Financial Mathematics @ Paris, 27 - 31 August 2018.
- 4th Young Researchers Meeting on BSDEs, Nonlinear Expectations and Mathematical Finance @ Shanghai, 23 - 27 April 2018.
Email: S.Huang13@warwick.ac.uk