Chaorui graduated from New York University Shanghai (NYUSH) in 2018 in Mathematics, where he learned a variety of courses and developed an interest in stochastic processes. During him MSc at University College London (UCL), he mainly focused on financial mathematics and further developed an interest in the stochastic optimal control theory and the rough path theory. He is interested to explore applications in finance and machine learning, and in even more fields. Outside of mathematics, Chaorui likes playing basketball and hiking and watches at least one movie (of all kinds) per week.

Research project title:
Stochastic Control Problems of Measure-Valued Martingales and Applications

Supervisor(s):
Alex Cox, Tony Shardlow

Project description:
In this project, we will study the construction and extension of the measure-valued martingales (MVMs), and the solution to relevant control problems via viscosity theory. In particular, we want to clarify the admissible control set of the problems as much as possible. Moreover, we will try to study its applications, for instance, the Bayesian search problem, the differential game problems etc. We are also interested in the use of machine learning algorithms to solve stochastic control problems via BSDE formulation, with a focus on finite-dimensional versions of MVM control problems.