Personal profile
Research interests
Behavioural economics and nance, Group decision making, Time-inconsistent decision making, Stochastic control, Risk management, Numerical methods to HJB euqations.
Biography
I obtained PhD degree in the Mathematical and Computational Finance Group in the Mathematical Institute, Oxford University. Before joining Heriot-Watt University, I was a postdoctoral fellow in the Department of Statistics and Actuarial Science, Univeristy of Waterloo.
Expertise related to UN Sustainable Development Goals
In 2015, UN member states agreed to 17 global Sustainable Development Goals (SDGs) to end poverty, protect the planet and ensure prosperity for all. This person’s work contributes towards the following SDG(s):
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SDG 10 Reduced Inequalities
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Collaborations and top research areas from the last five years
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A Stochastic Model of Mutual Insurance under Heterogeneous Time Preferences
Wei, P., Wei, W. & Yang, C., 2 Jan 2026, In: North American Actuarial Journal. 30, 1, p. 227-245 19 p.Research output: Contribution to journal › Article › peer-review
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Welfare-Enhancing Annuity Divisor for Notional Defined Contribution Design
Zhang, J., Zhu, X. & Wei, W., Jan 2026, In: Insurance: Mathematics and Economics. 126, 103191.Research output: Contribution to journal › Article › peer-review
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Recursive Optimal Stopping with Poisson Stopping Constraints
Liang, G., Wei, W., Wu, Z. & Xu, Z., Aug 2025, In: SIAM Journal on Control and Optimization . 63, 4, p. 2734-2762 29 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile13 Downloads (Pure) -
On the Time-Inconsistent Deterministic Linear-Quadratic Control
Cai, H., Chen, D., Peng, Y. & Wei, W., 18 Apr 2022, In: SIAM Journal on Control and Optimization . 60, 2, p. 968-991 24 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile10 Link opens in a new tab Citations (Scopus)83 Downloads (Pure) -
Failure of Smooth Pasting Principle and Nonexistence of Equilibrium Stopping Rules under Time-Inconsistency
Tan, K. S., Wei, W. & Zhou, X. Y., 2021, In: SIAM Journal on Control and Optimization . 59, 6, p. 4136-4154 19 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile15 Link opens in a new tab Citations (Scopus)83 Downloads (Pure)
Courses
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F70TS: Time Series and Machine Learning
Tzougas, G., Aidoo, E. N., Yoo, W. W., Batatia, H., Wei, W. & Donnelly, C. 1/01/23 → …
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