Haoyang Cao will join the Department of Applied Mathematics and Statistics as an assistant professor in January 2024. Her research interests span stochastic controls, stochastic differential games, and mean-field games as well as machine learning. She is especially interested in modeling problems with impulse controls and singular controls. Her interest in machine learning was motivated by the need for developing computational tools to solve for explicit solutions to high-dimensional stochastic games. In return, her studies on stochastic controls and games enriched the theoretical understanding of many machine learning paradigms including generative adversarial networks, inverse reinforcement learning, meta learning, and transfer learning. In addition, she is working on applying her skill set of stochastic analysis, modeling, and machine learning techniques to applications in financial mathematics, inventory control, health care, and beyond.
Cao is currently a postdoctoral researcher at Centre de Math ́ematiques Appliqu ́ees, E ́cole Polytechnique hosted by Mathieu Rosenbaum. Prior to that, she was a research associate in machine learning in finance at the Alan-Turing Institute with Lukasz Szpruch from the University of Edinburgh and Samuel N. Cohen from the University of Oxford. Haoyang received her PhD in 2020 from the Department of Industrial Engineering and Operations Research at the University of California, Berkeley, under the supervision of Xin Guo. She obtained her bachelor’s degree in mathematics from the University of Hong Kong in 2015.
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