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I completed my Ph.D. in 2005 at the University of Georgia and spent one year as a postdoc at the Center for Research and Scientific Computation and at the Statistical and Applied Mathematical Sciences Institute in the Research Triangle Park. I joined the Mathematics Department at Towson University in 2006.
My research activities have mainly been centered around the Theory and the Applications of Control. I have particularly been interested in the applications of Stochastic Optimal Control to solve problems in Mathematical Finance and the Control of Systems with delay effects.
Moreover, I have also been interested in software development. I have developed software packages implementing various solutions we have proposed in our research papers using both Unix and Windows C/C++, C# and the .Net Framework.
Papers
Liquidation of a Large Block of Stock under Regime Switching Model, with Qing Zhang and George Yin,
Mathematical Finance: An International Journal of Mathematics, statistics and Financial Economics, Volume 18 Issue 4 (October 2008), pp. 629-648.
Optimal Control of Stochastic Functional Differential
Equations with a Bounded Memory , with Mou-Hsiung Chang and Tao Pang, To appear in Stochastics: An international Journal of Probability and Stochastic Processes
Finite Difference Approximation for Stochastic Optimal Stopping Problems with Delays, with Mou-Hsiung Chang and Tao Pang, to appear in the Journal of Industrial and Management Optimization.
Finite Difference Approximations for Stochastic Control System with Delay, with Mou-Hsiung Chang and Tao Pang, to appear in the Journal of Stochastic Analysis and Applications .
Liquidation of a large block of stock: A stochastic Control Approach with State Constraints
with George Yin and Qing Zhang, Communications in Information and Systems , Volume 7, No. 1, pp.93-110 (2007) .
Liquidation of a large block of stock
with George Yin and Qing Zhang, Journal of Banking and Finance 31 (2007) 1295-1305.
Optimal stock liquidation in a regime switching model
with finite time horizon with Qing Zhang, Journal of Mathematical Analysis and Application , Volume 321, Issue 2, 15 September 2006, pp 537-552.
Software Projects
PDEview 1.0
PDEview is a Windows Form Application for solving Linear and Nonlinear Partial Differential Equations. It is developed with Visual C++ using Visual Studio 2008. The first version can be downloaded here .
DevPrice 1.0
DevPrice is a derivative pricing application developed with Visual C++ using Visual Studio 2008. I am still at the early stage of this project but an initial version of this appliaction can be downloaded here .When completed, this application will support various pricing models and parameter calibration.
Derivative Pricing Web Application
This is the web application version of DevPrice, it is developed using C# under the .Net framework 2.0 and can be accessed by clicking
here .
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