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Huang, Yu-Jui Assistant Professor

Positions

Research Areas research areas

Research

research overview

  • Yu-Jui Huang's research is focused on Mathematical Finance and Applied Probability. It involves theories and techniques from stochastic analysis, stochastic control, optimal stopping, and viscosity solutions to fully nonlinear PDEs. Current projects involve quantifying intergenerational equity, financial planning involving healthcare spending, optimization under time-inconsistent behavior, modeling student loans, and stochastic gradient flows for machine learning.

keywords

  • Mathematical Finance, Mathematical Economics, Stochastic Control, Optimal Stopping, Applied Probability

Publications

selected publications

Teaching

courses taught

  • APPM 1360 - Calculus 2 for Engineers
    Primary Instructor - Fall 2019
    Continuation of APPM 1350. Focuses on applications of the definite integral, methods of integration, improper integrals, Taylor's theorem, and infinite series. Degree credit not granted for this course and MATH 2300.
  • APPM 3170 - Discrete Applied Mathematics
    Primary Instructor - Spring 2020
    Introduces students to ideas and techniques from discrete mathematics that are widely used in science and engineering. Mathematical definitions and proofs are emphasized. Topics include formal logic notation, proof methods; set theory, relations; induction, well-ordering; algorithms, growth of functions and complexity; integer congruences; basic and advanced counting techniques, recurrences and elementary graph theory. Other selected topics may also be covered.
  • APPM 4120 - Introduction to Operations Research
    Primary Instructor - Spring 2021
    Studies linear and nonlinear programming, the simplex method, duality, sensitivity, transportation and network flow problems, some constrained and unconstrained optimization theory, and the Kuhn-Tucker conditions, as time permits. Same as APPM 5120 and MATH 4120 and MATH 5120.
  • APPM 4530 - Stochastic Analysis for Finance
    Primary Instructor - Fall 2018 / Fall 2019 / Fall 2020 / Fall 2021
    Studies mathematical theories and techniques for modeling financial markets. Specific topics include the binomial model, risk neutral pricing, stochastic calculus, connection to partial differential equations and stochastic control theory. Same as APPM 5530, STAT 4230 and STAT 5230.
  • APPM 5120 - Introduction to Operations Research
    Primary Instructor - Spring 2021
    Studies linear and nonlinear programming, the simplex method, duality, sensitivity, transportation and network flow problems, some constrained and unconstrained optimization theory, and the Kuhn-Tucker conditions, as time permits. Recommended prerequisites: APPM 3310 OR MATH 2130 OR MATH 2135 or equivalent. Same as APPM 4120 and MATH 4120 and MATH 5120.
  • APPM 5530 - Stochastic Analysis for Finance
    Primary Instructor - Fall 2018 / Fall 2019 / Fall 2020 / Fall 2021
    Studies mathematical theories and techniques for modeling financial markets. Specific topics include the binomial model, risk neutral pricing, stochastic calculus, connection to partial differential equations and stochastic control theory. Same as APPM 4530, STAT 4230 and STAT 5230.
  • APPM 6570 - Stochastic Differential Equations
    Primary Instructor - Spring 2021
    Devoted to a comprehensive investigation of stochastic differential equations, as well as their important applications in Finance, Physics, and Engineering. Consists of three main topics: stochastic integration, the theory of stochastic differential equations (SDEs), and applications of SDEs. Recommended prerequisite: APPM 6560 or MATH/APPM 6550.
  • APPM 6950 - Master's Thesis
    Primary Instructor - Fall 2021
    May be repeated up to 6 total credit hours.
  • APPM 7400 - Topics in Applied Mathematics
    Primary Instructor - Fall 2018 / Fall 2019
    Provides a vehicle for the development and presentation of new topics with the potential of being incorporated into the core courses in applied mathematics. May be repeated up to 6 total credit hours.
  • APPM 8000 - Colloquium in Applied Mathematics
    Primary Instructor - Spring 2019
    Introduces graduate students to the major research foci of the Department of Applied Mathematics.
  • MATH 4120 - Introduction to Operations Research
    Primary Instructor - Spring 2021
    Studies linear and nonlinear programming, the simplex method, duality, sensitivity, transportation, and network flow problems, some constrained and unconstrained optimization theory, and the Kuhn-Tucker conditions, as time permits. Same as MATH 5120 and APPM 4120 and APPM 5120.

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