Yaozhong Hu - Florida Atlantic University



Curriculum Vitae

Hongwei Long

Associate Professor

Department of Mathematical Sciences

Florida Atlantic University

Boca Raton, Florida 33431

Email: hlong@fau.edu



Tel: (561) 297-0810

Fax: (561) 297-2436

Research Interests

1. Mathematical Finance

This is an interdisciplinary research area which has close connection and interaction with probability, statistics, engineering, optimization, control, and finance. The purpose is to use stochastic calculus, statistical inference, optimization and control to develop and analyze quantitative financial models and optimal investing strategies.

2. Parameter Estimation for Stochastic Systems

Many physical scenarios can be modeled by stochastic systems driven by noises with unknown parameters. The purpose of parameter estimation is to use statistical methods to derive an optimal and implementable estimator, and to study the consistency and asymptotics of the proposed estimator.

3. Filtering Theory and Its Applications

Filtering theory is an active and current research field with wide applications to real world problems arising in financial market, economic, communication networks, signal processing, target detection and tracking. The purpose of filtering is to find probabilistic knowledge of the past path, current state, or the future changes of the signal based on noisy observations.

4. Stochastic Partial Differential Equations

Stochastic partial differential equations can be used in many areas of science to model complex systems evolving over time. It is generally difficult to solve these equations analytically. It is desirable to develop numerical methods to approximate the solutions.

5. Stochastic Analysis

This is a research field with deep connection to classical probability, mathematical physics, ergodic theory, operator theory, and dynamical systems. It mainly focuses on the study of diffusions and the coresponding differential operators in infinite dimensional spaces by using methods from analysis and probability.

Education

Ph.D. Mathematics 1998 University of Warwick, England.

Advisor: David Elworthy

M.S. Mathematics 1990 Chinese Academy of Science, Wuhan, China

Advisor: Li Guo Ping

B.S. Applied Math. 1987 Huangzhong University of Science and Technology,

Wuhan, China

Professional Experience

8/2010- present Associate Professor, Department of Mathematical Sciences, Florida

Atlantic University, Boca Raton, U.S.A

8/2004- 7/2010 Assistant Professor, Department of Mathematical Sciences, Florida

Atlantic University, Boca Raton, U.S.A.

6/1999-7/2004 Postdoctoral Research Fellow, Department of Mathematical and Statistical Sciences, University of Alberta, Edmonton, Canada

1/1998-5/1999 Postdoctoral Research Fellow, Centro de Matematica e Aplicacoes Fundamentais, Universidade de Lisboa, Portugal

7/1990-10/1994 Research Associate, Wuhan Institute of Mathematical Sciences, Chinese Academy of Sciences, Wuhan, China

Grants, Fellowships and Academic Awards

1. PurigeN98 Project on Fuel Efficiency Study, $45,651, Sponsored by N2 Revolution Inc., 5/2008-4/2009

2. FAU Start-up Funds at the C. E. Schmidt College of Science, $30,000, 8/2004-7/2006

3. Postdoctoral Fellowships (NSERC, PIMS and MITACS), University of Alberta, Canada,

6/1999-7/2004

4. Postdoctoral Fellowship, University of Lisbon, Portugal, 1/1998-5/1999

5. Overseas Research Scholarship and Ella Lam Fellowship, University of Warwick,

England, 1994-1997

6. National Natural Science Foundation of China, Wuhan Institute of Mathematical

Sciences, China, 1990-1994

7. Excellent Student Prize, Huazhong University of Science and Technology, China, 1987

Service

A. Service at the Department /College Level

Served on various departmental committees: Research & Grant Committee, Math Day Committee, Undergraduate Committee, Graduate Committee, Evaluation Committee and Executive Committee. Served as Faculty Marshall for the Charles E. Schmidt College of Science at the FAU Commencement on August 4, 2009.

B. Community Service

Volunteer as judge at the dispute center for several Mu Alpha Theta Math Competitions at FAU and local high schools; Volunteer for Florida Science Olympiad (FAU).

C. Professional Service

Referee for

Abstract and Applied Analysis

Acta Mathematica Scientia

Acta Mathematica Sinica

Communications in Statistics: Theory and Methods

Dynamics of Continuous, Discrete and Impulse Systems

Electronic Journal of Probability

Electronic Communication in Probability

Frontiers of Mathematics in China

IMA Journal of Management Mathematics

International Journal of Stochastic Analysis

Journal of Applied Mathematics and Stochastic Analysis

Journal of computational and Applied Mathematics

Journal of Econometrics

Mathematics and Computers in Simulation

SIAM Control and Optimization

Signal Processing Letters

Statistics and Probability Letters

Conferences

A. Organizational Activities

1. Organizing (jointly with Dr. Lianfen Qian) a special session on “Recent Adavnces in Probability and Statistics” for the 2009 AMS sectional meeting, which will be held at Florida Atlantic University, Boca Raton, Florida, October 30-November 1, 2009.

2. Member of the Organizing Committee (Prof. Robert Elliott, Prof. Tom Kurtz, Prof. Michael Kouritzin, Dr. Hongwei Long), International Conference on Filtering Theory and Applications, Edmonton and Jasper, Canada, July 25-30, 2002.

B. Invited Talks

1. Least squares estimators for stochastic differential equations driven by small Levy noises. The 60th World Statistics Congress-ISI2015, to be held in Rio de Janeiro, Brazil, July 26-31, 2015.

2. Least squares estimators for discretely observed stochastic processes driven by small Levy noises. IMS-China International Conference on Statistics and Probability, Chengdu, China, June 30-July 4, 2013.

3. Least squares estimators for discretely observed stochastic processes driven by small Levy noises. AMS Meeting, Special Session on Stochastic Analysis, University of Kansas, March 30-April 1, 2012.

4. Invariant measures for stochastic evolution equations in M-type 2 Banach spaces, Program on Stochastic Partial Differential Equations (SPDEs), Isaac Newton Institute for Mathematical Sciences, University of Cambridge, United Kingdom, May 6-19, 2010.

5. Least squares estimator for Ornstein-Uhlenbeck processes driven by stable Levy motions, The 32nd SIAM Southeastern-Atlantic Section Conference, University of Central Florida, Orlando, March 14-15, 2008.

6. On generalizing the classical filtering equations to financial log-stable models, Conference on Martingales, Stochastic Analysis, and Potential Theory, University of Florida, Nov. 10-13, 2005.

7. Markov chain approximations to filtering equations for reflecting diffusion processes, The Joint Meeting of the Chinese Society of Probability and Statistics and the Institute of Mathematical Statistics, Beijing, China, July 9-12, 2005.

8. On Markov chain approximations to SPDEs driven by Poisson measure noise, Workshop on Stochastic Partial Differential Equations and Related Topics, University of Warwick, United Kingdom, August 4-15, 2003.

9. Markov chain approximations to filtering equations, International Conference on Filtering Theory and Applications, Edmonton and Jasper, Canada, July 25-30, 2002.

10. Markov chain approximations to nonlinear filters, MITACS (The Mathematics of Information Technology and Complex Systems) IT Theme Meeting, Montreal, Canada, November 2001.

11. Stochastic modelling for polution tracking and filtering in random environments, MITACS IT-Theme Meeting, Vancouver, Canada, November 2000.

12. Markov chain approximations to stochastic reaction diffusion equations, MITACS 1st Annual Meeting and Conference, Toronto, Canada, May 2000.

C. Contributed Talks

1. Least squares estimator for Ornstein-Uhlenbeck processes driven by stable Levy motions, the 2009 John H. Barrett Memorial Lectures, University of Tennessee, Knoxville, April 17-18, 2009.

2. Hybrid weighted interacting particle filter for multitarget tracking, SPIE’s 17th International Symposium: AeroSense Conference on Signal Processing, Sensor Fusion, and Target Recognition XII, Orlando, USA, April 21-25, 2003.

3. Non-recursive and recursive methods for parameter estimation in filtering problems, SPIE’s 17th International Symposium: AeroSense Conference on Signal Processing, Sensor Fusion, and Target Recognition XII, Orlando, USA, April 21-25, 2003

D. Conferences Attended Without Presentations

1. EPSRC Symposium Workshop on Multi-scale Systems: Theory and Applications, University of Warwick, England, December 12-16, 2011.

2. Workshop on Stochastic Partial Differential Equations and Environmental and Geophysical Modeling, University of Wyoming, Laramie, USA, June 13-July 1, 2005.

3. Mentor for the project “Network Security” presented by Random Knowledge Inc., the 8th PIMS-MITACS Industrial Problem Solving Workshop, University of British Columbia, Vancouver, Canada, May 17-21, 2004.

4. IMS Probability Symposium, Banff, Canada, July 31-August 2, 2002.

5. MITACS 2nd Annual General Meeting and Conference, Montreal, Canada, May 2001.

6. International Conference on Infinite Dimensional (Stochastic) Analysis and Quantum Physics, Leipzig, Germany, January 18-22, 1999.

Publications

A. Completed Papers

1. S. Perera, W. Buckley, and H. Long, Impulse control of jump diffusions with random reaction periods: A Forex market application. Submitted, 2014.

2. W. Buckley, H. Long and S. Perera, The link between asymmetric and symmetric optimal portfolios in fads models. Submitted, 2015.

B. Publications

For publications in mathematical journals or proceedings, an alphabetical order of authors is commonly practiced.

1. W. Buckley and H. Long, A discontinuous mispricing model under asymmetric information. European Journal of Operational Research, 243 (2015), 944-955.

2. Z. Brzezniak and H. Long, A note on γ-radonifying and summing operators. To appear in Banach Center Publications, 2015.

3. H. Long, C. Ma and Y. Shimizu, Least square estimators for stochastic differential equations driven by small Levy noises. To appear in the Proceedings of the 60th ISI World Statistics Congress-ISI 2015.

4. W. Buckley, H. Long and S. Perera, A jump model for fads in asset prices under asymmetric information. European Journal of Operational Research 236 (2014), 200-208.

5. H. Long and L. Qian, Nadaraya-Watson estimator for stochastic processes driven by stable Levy motions. Electronic Journal of Statistics 7 (2013), 1387-1418.

6. H. Long, Y. Shimizu and W. Sun, Least squares estimators for discretely observed stochastic processes driven by small Levy noises. Journal of Multivariate Analysis 116 (2013), 422-439.

7. A. Bensoussan, H. Long, S. Perera and S. Sethi, Impulse control with random reaction periods: A central bank intervention problem. Operations Research Letters 40 (2012), 425-430.

8. Z. Brzezniak, H. Long and I. Simao, Invariant measures for stochastic evolution equations in M-type 2 Banach spaces. Journal of Evolution Equations 10 (2010), 785-810.

9. H. Long, Parameter estimation for a class of stochastic differential equations driven by small stable noises from discrete observations. Acta Mathematica Scientia 30B (2010), 645-663.

10. H. Long, Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Levy noises. Statistics and Probability Letters, 79 (2009), 2076-2085.

11. Y. Hu and H. Long, Least squares estimator for Ornstein-Uhlenbeck processes driven by alpha-stable motions. Stochastic Processes and their Applications119 (2009), 2465-2480.

12. Y. Hu and H. Long, On the singularity of least squares estimator for mean-reverting alpha-stable motions. Acta Mathematica Scientia 29B (2009), 599-608.

13. M. A. Kouritzin and H. Long, On extending classical filtering equations. Statistics and

Probability Letters, 78 (2008), 3195-3202.

14. Y. Hu and H. Long, Parameter estimation for Ornstein-Uhlenbeck processes driven by

alpha-stable Levy motions. Communications on Stochastic Analysis, 1 (2007), 175-192.

15. S.Kim, S. Li, H. Long and R. Pyke, Analyzing network traffic for malicious activity. Canadian Applied Math. Quarterly 12 (2004), 479-489.

16. M.A. Kouritzin, H. Long and W. Sun, Markov chain approximations to filtering equations for reflecting diffusion processes. Stochastc Processes and their Applications 110 (2004), 275-294.

17. H. Long and I. Simao, A note on the essentail self-adjointness of Ornstein-Uhlenbeck operators perturbed by a dissipative drift and a potential. Infinite Dimensional Analysis, Quantum Probability and Related Topics 7 (2004), 249-259.

18. H. Long and I. Simao, Essential self-adjointness of Ornstein-Uhlenbeck operators perturbed by certain drifts and singular potentials. Communications in Applied Analysis 8 (2004), 167-184.

19. S. Kim, M.A. Kouritzin, H. Long, J. McMcrosky and X. Zhao, A stochastic grid filter for multi-target tracking. The Proceedings of SPIE Defense and Security Symposium on Signal Processing, Sensor Fusion, and Target Recognition XIII, Volume 5429, Ed. By I. Kadar, Orlando, USA, 2004, pp. 245-253.

20. M.A. Kouritzin, H. Long and W. Sun, Nonlinear filtering for diffusions in random environments. Journal of Theoretical Probability 16 (2003), 1-20.

21. M.A. Kouritzin, H. Long and W. Sun, On Markov chain approximations to semi-linear partial differential equations driven by Poisson measure noise. Stochastic Analysis and Applications 21 (2003), 419-441.

22. M.A. Kouritzin, H. Long, X. Ma and W. Sun, Non-recursive and recursive methods for parameter estimation in filtering problems. The Proceedings of SPIE AeroSense Conference on Signal Processing, Sensor Fusion, and Target Recognition XII, Volume 5096, Ed. By I. Kadar, Orlando, USA, 2003, pp. 585-596.

23. D. Ballantyne, J. Hailes, M.A. Kouritzin, H. Long and J. Wiersma, A hybrid weighted interacting particle filter for multi-target tracking. The Proceedings of SPIE AeroSense Conference on Signal Processing, Sensor Fusion, and Target Recognition XII, Volume 5096, Ed. By I. Kadar, Orlando, USA, 2003, pp. 244-255.

24. M.A. Kouritzin and H. Long, Convergence of Markov chain approximations to stochastic reaction diffusion equations. The Annals of Applied Probability 12 (2002), 1039-1070.

25. D. Ballantyne, M.A. Kouritzin, H. Long and W. Sun, Discrete space particle filters for reflecting diffusions. The Proceeding of 2002 IEEE Aerospace Conference, Big Sky, MT, March 9-16, 2002.

26. H. Long and I. Simao, On the essential self-adjointness of perturbed Ornstein-Uhlenbeck operators on Hilbert spaces. Communications in Applied Analysis 5 (2001), 371-382.

27. H. Long, An approximation criterion for essential self-adjointness of Dirichlet operators on certain Banach spaces. Potential Analysis 13 (2000), 409-421.

28. H. Long, Necessary and sufficient conditions for the symmetrizability of differential operators over infinite dimensional state spaces. Forum Mathematicum 12 (2000), 167-196.

29. H. Long and I. Simao, Kolmogorov equations in Hilbert spaces with application to essential self-adjointness of symmetric diffusion operators. Osaka J. Math. 37 (2000), 185-202.

30. H. Long, Kato’s inequality and essential self-adjointness of Dirichlket operators on certain Banach spaces. Stochastic Analysis and Applications 16 (1998), 1019-1047.

31. H. Long, Anticipating quadrant and symmetric integrals in the plane with application to Wiener space. Acta. Math. Sci. 17 (1997), 1-11.

32. H. Long, On the rate of convergence in the central limit theorem for two-parameter martingale differences. Acta Math. Sci. 16 (1996), no. 3, 287-295.

33. H. Long, The pathwise uniqueness of solutions of non-Markovian stochastic differential equations with jumps in plane. Chinese Science Bulletin 39 (1994), 1853-1858.

34. H. Long, The approximation theorem of stochastic differential equations in the plane. Acta. Math. Sci. 14 (1994), 272-282.

35. Y. Hu and H. Long, Symmetric integral and the approximation theorem of stochastic integrals in the plane. Acta Math. Sci. 13 (1993), 153-166.

36. H. Long, On the [pic]-optimal control of stochastic differential equations in the plane. In: Development of Enterprises and System Engineering, Ed. By Chinese Association of System Engineering, pp. 428-438, Chinese Science and Technology Press, 1992.

Ph.D. Dissertation Students

1. Winston Buckley, Sept. 2005-Aug. 2009, Florida Atlantic University. Awarded the Leanne & Spyros Magliveras Graduate Scholarship for the 2008-2009 academic year. Dissertation Title: Asymmetric Information in Fads Models in Levy Markets.

2. Sandun Perera, Sept. 2005-Aug. 2009, Florida Atlantic University. Awarded William Fabricant Scholarship (2006-2007), Dr. Daniel B. and Aural B. Newell Doctoral Fellowship (2008-2009). Dissertation Title: Stochastic Optimal Impulse Control of Jump Diffusions with Application to Exchange Rate.

Master Thesis Students

1. Kyong Chung (2012)

2. Justin Rodrigues (2013)

3. Andrew Dweck (2014)

Teaching Experience

I have taught undergraduate and graduate courses at Florida Atlantic University, University of Alberta, and University of Lisbon.

Undergraduate courses (class sizes: 11 to 70) taught at FAU:

• STA 2023-Introductory Statistics

• MAC 2233-Method of Calculus

• MAC 2282-Calculus for Engineers 2

• MAC 2311-Calculus-Analytic Geometry 1

• MAC 2313-Calculus-Analytic Geometry 3

• STA 3173-Introduction to Biostatistics

• STA 4032-Probability and Statistics-Engineer

• STA 4234-Applied Statistics 1

• STA 4442-Probability and Statistics I

• STA 4443-Probability and Statistics II

Graduate courses (class sizes: 3 to 15) taught at FAU:

• STA 6206-Stat. Method/Envirn. Science

• STA 6326-Mathematical Statistics

• STA 6444-Mathematical Probability

• STA 6446-Mathematical Probability II

• STA 6446-Stochastic Calculus

• STA 6446-Regression Analysis

• STA 6446-Topics in Probability Theory

• STA 6857-Applied Time Series Analysis

Directed independent study courses supervised at FAU:

• Financial Math. 1

• Financial Math. 2

• Numerical Methods in Finance

• Mathematical Interest Theory

• Stochastic Calculus for Finance

• Monte-Carlo: Theory and Methods

• Statistical Inference

• Levy Processes

• Stochastic Processes

• Financial Modeling

• Measure Theory

• Survival Models: Theory and Applications

• Financial Modeling with Jumps

• Actuarial Mathematics 2

• Loss Models: Theory and Applications

• Stochastic Models and Applications

• Topics in Regression Analysis

• Demography: Theory and Applications

• Stochastic Control Theory

• Control Theory for Finance

• GMM Estimation

• SV Models in Finance

• Numerical Analysis of HJBQVI

I have introduced one new special topics course at Florida Atlantic University: Stochastic Calculus. I have introduced a new track: Financial Mathematics track into the graduate program in Applied Mathematics and Statistics. I am currently supervising two master students in the Financial Mathematics track.

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