Title: Assistant Professor Office: 4410 French Hall Tel: 513-556-4214 Email: email@example.com
Ph.D., University of Maryland at College Park (Applied Mathematics).
Probability, Stochastic Processes, and Mathematical Finance
National Science Foundation. (DMS-0907513), 08/01/2009 to 08/31/2012.
National Science Foundation. (DMS-1317819), 09/01/2012 to 07/31/2013.
(Collaborator), Buckingham, Robert; Peligrad, Magda; Wang, Yizao; Yen, Ju-Yi, Cincinnati Symposium on Probability Theory and Applications 2014, National Science Foundation. (DMS-1441641), $20,000.00. 07/01/2014 to 06/30/2015. Status: Awarded.
NSF-AWM, NSF-AWM Travel Grant for women researchers, 2014-2015.
A variant of Pitman’s theorem on (2Js − Rs, s ≥ 0) for a general transient Bessel process R(+); its implications for the corresponding Ito’s measure n(−), (joint with M. Yor), Journal of
Theoretical Probability, 28(1), 2015..
On two results of P. Deheuvels, (joint with M. Yor), in Mathematical Statistics and Limit Theorems, Springer 2014..
Some topics in probability theory, (joint with M. Yor), in Mathematical Statistics and Limit Theorems, Springer 2014..
Some examples of Skorokhod embeddings obtained from the Azema-Yor algorithm, (joint with A. Lim and M. Yor), 123, 329-346, 2013..
Illustration of various methods for solving partly Skorokhod's embedding problem, (joint with M. Yor),
Electronic Communications in Probability, 18(48), 2013..
On an identity in law between Brownian quadratic functionals, (joint with M. Yor), Statistics &
Probability Letters, 83(9), 2013..
(Planar) Brownian motion as a key stochastic process, (joint with M. Yor), invited, Ars Conjectandi: a
celebration of 300 years of stochastics, Conference Proceedings, Freiburg-Basel, Germany, May 21-24,
Measuring the "non-stopping timeness" of ends of previsible sets, (joint with C.-T. Wu and M. Yor),
Taiwanese Journal of Mathematics, 16(5), 1589-1599, 2012..
Call option prices based on Bessel processesprocesses, (joint with M. Yor), Methodology and Computing in
Applied Probability, 13(2), 329-347, 2011..
Truncation functions and Laplace transform, (joint with M. Yor), Statistics & Probability Letters,
81(3), 417-419, 2011..
Stochastic resonance and the trade arrival rate of stocks, (joint with A. C. Silva), Quantitative Finance,
Asset allocation for multivariate non-Gaussian returnsreturns, (joint with D. Madan), Handbooks in Operations Research and Management Science: Financial Engineering, 15, 949-968, 2008..
(2015). Integral representations of certain measures in the one-dimensional diffusions excursion theory, (joint with P. Salminen), Seminaire de Probabilites,
XLVII, 1-15, 2015..
Local Times and Excursion Theory for Brownian Motion: A Tale of Wiener and Ito Measures (Lecture Notes in Mathematics, LNM 2088), (joint with M. Yor), Springer, October 2013..
Advances in Mathematical Finance (Festschrift for Dilip Madan's 60th Birthday), co-editor (with R.
Elliott, M. Fu and R. Jarrow), Birkhauser, July 2007..