Jiacheng Zhang

I am a postdoctoral researcher in Industrial Engineering & Operations Research Department at Univeristy of California, Berkeley advised by Professor Xin Guo. I obtained my Ph. D. in the Department of Operations Research and Financial Engineering at Princeton University supervised by Professor Daniel Lacker and Professor Mykhaylo Shkolnikov in 2021. Prior to these, I received my bachelor's degree in Math from Tsinghua University in 2016. I can be contacted at jiachengz [at] berkeley [dot] edu Here is my CV. My research focus lies in the theory of probability and stochastic optimization. I have worked on stochastic partial differential equations, especially Mckean-Vlasov type equation, partial differential equations, mathematical finance like stochastic portfolio theory and stochastic volatility modeling in the past few years.

Papers

• Dynamics of observables in rank-based models and performance of functionally generated portfolios
  with Sergio A. Almada Monter and Mykhaylo Shkolnikov
  Ann. Appl. Probab. 29, 2849-2883.

• Inverting the Markovian projection, with an application to local stochastic volatility models
  with Daniel Lacker and Mykhaylo Shkolnikov
  Ann. Probab. 48, 2189-2211.

• Superposition and mimicking theorems for conditional McKean-Vlasov equations
  with Daniel Lacker and Mykhaylo Shkolnikov
  Journal of the European Mathematical Society.

• Stationary solutions and local equations for interacting diffusions on regular trees
  with Daniel Lacker
  Electronic Journal of Probability
  

• Agency problem and mean field system of agents with moral hazard, synergistic effects and accidents with Thibaut Mastrolia.
  Submitted.
  

• Optimization frameworks and sensitivity analysis of Stackelberg mean-field game
  with Xin Guo and Anran Hu
  Submitted.
  

• On time-consistent equilibrium stopping under aggregation of diverse discount rates
  Submitted.
  with Shuoqing Deng and Xiang Yu
  

• Deep Learning for Population-Dependent Controls in Mean Field Control Problems
  Submitted.
  with Gökçe Dayanıklı and Mathieu Laurière
  

• A sharp interface limit in the Giacomin-Lebowitz model of phase segregation.
  with Mykhaylo Shkolnikov
  In progress.

Talks

• Dynamics of observables in rank-based models and performance of functionally generated portfolios
  11th Oxford Princeton Workshop on Financial Mathematics and Stochastic Analysis, Princeton University, Nov 2018.

• Stationary Stochastic Local Volatility
  SIAM Conference on Financial Mathematics & Engineering (FM19), University of Toronto, June 2019.

• Inverting the Markovian projection, with an application to local stochastic volatility models
  a. Seminar talk in the Department of Applied Mathematics, the Hong Kong Polytechnic University, Aug 2019.
  b. 4th Eastern Conference on Mathematical Finance, Oct 2019.

• Locally interacting diffusions and continuous Gibbs measure on regular trees
  19th Northeast Probability Seminar, Nov 2020.
  

• Stationary solutions and local equations for interacting diffusions on regular trees a. Seminar at Center for Math Financial and Actuarial Science at University of California, Santa Barbara, April 2022.
  b. Optimal transport and Mean field games Seminar at University of South Carolina, May 2022.

• A sharp interface limit in the Giacomin-Lebowitz model of phase segregation
  a. Columbia SPDE Seminar, Nov 2020.
  b. Probability Seminar in Department of Statistics at Stanford University, Jan 2021.
  

• Superposition and mimicking theorems for conditional McKean-Vlasov equations
  Columbia-Princeton Probability Day 2021, May 2021
  

• Topics in Mckean-Vlasov equations and mimicking theorem
  a. CMU Probability/Math Finance Seminar, Jan 2021.
  b. Berkeley IEOR Seminar, Feb 2021.
  

• Sensitivity and Robustness of Stackelberg Mean-Field Games
  a. Mean field game workshop at CRM, Montreal, May 2022.
  b. Machine learning and mean field games at IMSI, Chicago, May 2022.
  

• Topics on Stackelberg Mean-Field Games
  Quantitative Finance Seminar NUS(Suzhou) Research Institute, Aug 2022.
  

• Optimization Frameworks and Sensitivity Analysis of Stackelberg Mean-Field Games
  11th Western Conference on Mathematical Finance
  

• Agency problem and mean field system of agents with moral hazard, synergistic effects and accidents
  SIAM Conference on Financial Mathematics and Engineering (FM23)
  

• On time-consistent equilibrium stopping under aggregation of diverse discount rates
  ICIAM 2023 Tokyo
  

• Major-Minor Mean Field Singular Control and Related Skorokhod Problem
  Recent Advances on Quantitative Finance

Teaching

• Princeton University
  a. Probability and Stochastic Systems by Professor Mykhaylo Shkolnikov (17 Fall, 18 Fall, 19 Fall 20 Fall)
  b. Stochastic Calculus by Professor René Carmona and Professor Mykhaylo Shkolnikov (18 Spring, 19 Spring, 20 Spring).
  c. Probability Theory by Professor Miklos Z. Racz (20 Fall).
  

• University of California, Berkeley
  IND ENG 263B Applied Stochastic Process II as an co-instructor together with Professor Xin Guo.
  

Award

• School of Engineering and Applied Science Award for Excellence (2021)
  This award is given to SEAS advanced graduate students who have performed at the highest level as scholars and researchers
  

• Member of Tsinghua Xuetang Training Program for excellence in academy (2012-2016)
  

• National Scholarship (2012)