I am broadly interested in applications of probability and stochastic processes. My research interests include:
"Optimal stopping and free boundary characterizations for some Brownian control problems" (PDF) (with Amarjit Budhiraja). To appear in Annals of Applied Probability.
"Convergent numerical scheme for singular stochastic control with state constraints in a portfolio selection problem" (PDF) (with Amarjit Budhiraja). SIAM Journal of Control and Optimization (2007), Vol. 45, No. 6, 2169-2206.
"Existence of optimal controls for singular control problems with state constraints" (PDF) (with Amarjit Budhiraja). Annals of Applied Probability (2006), Vol. 16, No. 4, 2235-2255.