At this time we don't know what project she is working, but her position is listed as "Graphics Coding on PS4." However, during the launch event for Sony's new console Naughty Dog announced that it's currently developing Uncharted 4, a PlayStation 4 exclusive.
Yu has an extremely impressive résumé with a number of awards and notable credits to her name. Prior to her role at Microsoft she was the director of Technology at Gearbox where she worked on Borderlands. She is also a founding member of Microsoft's Direct 3D Advisory Board.