* denotes industry/medical collaborator; underline denotes Ph.D student

Working Papers

Data-Pooling Reinforcement Learning for Personalized Healthcare Intervention, with Pengyi Shi and Shanwen Pu, submitted to Management Science. [arXiv]

(A short version of the paper is accepted to Reinforcement Learning for Real Life Workshop @ ICML 2021). [video].

Online Learning and Optimization for Queues with Unknown Demand Curve and Service Distribution, with Yunan Liu and Guiyu Hong, working paper. [arXiv]

Journal Papers

Two-parameter Sample Path Large Deviations for Infinite Server Queues, with Jose Blanchet and Henry Lam (2014). Stochastic Systems, 4:206-249.
Steady-state simulation of reflected Brownian motion and related stochastic networks, with Jose Blanchet (2015). Annals of Applied Probability, 25:3209-3250.
ε-Strong Simulation for Multidimensional Stochastic Differential Equations via Rough Path Analysis, with Jose Blanchet and Jing Dong (2017). Annals of Applied Probability, 27:275-336.
Does the T+1 Rule Really Reduce Speculation? Evidence from Chinese Stock Index ETF, with Yan Liu and Tao Zeng (2018), Accounting and Finance, 57:1287–1313.
Many-server Gaussian limits for overloaded non-Markovian queues with customer abandonment, with A. Korhan Aras and Yunan Liu (2018), Queueing Systems: Theory and Applications, 89(1): 81-125.
Perfect Sampling for Generalized Jackson Networks, with Jose Blanchet (2019), Mathematics of Operations Research, 44(2): 693-714.
Rates of Convergence to Stationarity for Reflected Brownian Motion, with Jose Blanchet (2020), Mathematics of Operations Research, 45(2):660-681.

Perfect Sampling of Hawkes Processes and Queues with Hawkes Arrivals (2021), Stochastic Systems, 11(3), 264-283. [pdf]

Efficient Steady-state Simulation of High-dimensional Stochastic Networks, with Jose Blanchet, Peter Glynn and Nian Si (2021), Stochastic Systems, 11(2):174-192. [pdf]

A Multifactor Regime-switching Model for Inter-trade Durations  in the High-frequency Limit Order Market, with Zhicheng Li and Haipeng Xing, Economic Modelling, 118(2023):106082. [pdf]

An Online Learning Approach to Dynamic Pricing and Capacity Sizing in Service Systems, with Yunan Liu and Guiyu Hong, Operations Research, to appear. [pdf]

Conference Proceedings

Exact gradient simulation for stochastic fluid networks in steady state. Winter Simulation Conference (WSC), 2014.

Modeling inter-trade durations in the limit order market, with Jianzhao Yang, Zhicheng Li and Haipeng Xing. 2016 Symposium of the International Chinese StatisticalAssociation Series: Springer Proceedings in Mathematics & Statistics, Vol. 57. Springer-Verlag, New York.