RESEARCH: Probability

The research of the faculty covers a broad area of probability theory and its applications.



Faculty
  • Alexander, Kenneth: Probability models in statistical mechanics: lattice models (Ising model, Potts model, percolation, etc.), phase transitions, disordered models
  • Arratia, Richard: Probability, especially as related to combinatorics and number theory, coupling, and approximation.
  • Bartroff, Jay: Mathematical statistics, sequential analysis, and applications.
  • Baxendale, Peter: Stochastic dynamical systems; equilibrium, stability and bifurcation for solutions of stochastic differential equations; applications to stochastic neuronal models.
  • Fulman, Jason: Markov chains, probability on algebraic structures, random matrix theory, Stein's method.
  • Goldstein, Larry: Distributional approximation and Stein's method,sampling schemes in epidemiology, statistical efficiency, optimal stopping.
  • Lototsky, Sergey: Stochastic partial differential equations, optimal nonlinear filtering of diffusion processes, statistical inference for continuous-time processes.
  • Ma, Jin: Stochastic analysis, stochastic differential equations, stochastic control theory, mathematical finance and insurance.
  • Mikulevicius, Remigijus: Stochastic differential equations, stochastic analysis.
  • Piterbarg, Leonid: Applied stochastic analysis, statistical models in physical oceanography.
  • Schumitzky, Alan: Stochastic control theory, estimation theory and applications.Population pharmacokinetics theory and applications. Bayesian analysis of nonlinear mixture models.
  • Tavare, Simon (Department of Biological Sciences): Statistics, computational biology, stochastic computation.
  • Waterman, Michael (Department of Biological Sciences): Computational biology, probability, statistics.
  • Zhang, Jianfeng: Stochastic analysis, backward stochastic differential equations, stochastic numerics, and mathematical finance.
 
Post docs and visitors:
 
CURRENT GRADUATE STUDENTS:
  • Chandrasekhar Karnam
  • Christian Keller (J. Zhang)
  • Gene Kim (J. Fulman)
  • Haining Ren (J. Fulman)
  • Panagiotis Tsilifis (J. Bartroff)
  • Weisheng Xie
  • Xioajing Xing (J. Ma)
  • Teresa Zhang (J. Ma)
  • Zemin Zheng (L. Goldstein)
 
RECENT GRADUATES:
  • Knape, Mathias (Mikulevicius & Zapatero) 2009, A General Equilibrium Model for Exchange Rates and Asset Prices in an Economy Subject to Jump-Diffusion Uncertainty
  • Knape, Mathias (Mikulevicius & Zapatero) 2009, A General Equilibrium Model for Exchange Rates and Asset Prices in an Economy Subject to Jump-Diffusion Uncertainty
  • Polunchenko, Aleksey (P Mikulevicius & Tartakovsky) 2009, Quickest Change Detection with Applications to Distributed Multi-Sensor Systems
  • Ross, Nathan (Fulman) 2009, Exchangeable Pairs in Stein's Method of Distributional Approximation
  • Pehlivan, Lerna (Fulman) 2009, On top to random shuffles, no feedback card guessing and fixed points of permutations
  • Liu, Wei (Lototsky) 2010, Institutional Credit Oversight, American Express, New York Statistical Inference for Stochastic Hyperbolic Equations
  • Zhang, Changyong (Mikulevicius) 2010, Numerical Weak Approximation of Stochastic Differential Equations Driven by Levy Processes
  • Chen, Jianfu (Ma) 2011, Quantitative Research & Development Group, Union Bank of California Regime Switch Term Structure model with Forward-Backward Stochastic Differential Equations
  • Lin, Wei (Goldstein) 2011, Survival Analysis with Missing Data and High Dimensionality
  • Wang, Xinyang (Ma) 2011, Dynamic Model for Limit Order Books and Optimal Liquidation Problems
  • Yun, Youngyun (Ma) 2011, Analysis of Correlated Defaults and Joint Default Probability in a Contagion Model
  • DeSalvo, Stephen (Arratia) 2012, Probabilistic Divide-and-Conquer - A New Methods for Exact Simulation - and Lower Bound Expansions for Random Bernoulli Matrices via Novel Integer Partitions
  • Ghosh, Subhankar (Goldstein) 2012, Couplings for Berry-Esseen Bounds and Concentration Inequalities
  • Kaligotla, Sivaditya (Lototsky) 2012, Asymptotic Problems in Stochastic Partial Differential Equations: A Wiener Chaos Approach
  • Du, Jie (Zhang) 2012, Guggenheim Partners Stochastic Games on Stopping Times
  • Lin, Ning (Lototsky) 2012, Estimation of Coefficients in Stochsatic Differential Equations
  • Moers, Michael (Lototsky) 2012, Statistical Inference of Stochastic Differential Equations Driven by Gaussian Noise
  • Nibert, Joel (Baxendale) 2012, Invaraint Measures of a Stochastic Predator Prey Model
  • Xu, Shanshan (Lototsky/Wilcox) 2012, Initiative Non-parametric Multivariate Regression Hypothesis Testing
  • Pham, Triet (Zhang) 2013, Zero-Sum Stochastic Differential Games in Weak Formulation and Related Norms for Semi-Martingales
  • Song, Jinlin (Bartroff) 2013, Analysis Group Time-Sequential Testing for Multiple Hypotheses
  • Wang, Huanhuan (Ma) 2013, Capital One Asset management with Incomplete Information
  • Wang, Xin (Ma) 2013, Nonlinear Expectations for Continuous Time Model with Jumps and Applications
  • Zhong, Jie (Lototsky) 2013, Second Order in Time Stochastic Evolution Equation and Wiener Chaos Approach
  • Chubatiuk, Alona (Schumitzky) 2013, Nonparametric Estimation of an Unknown Probability Distribution Using Maximum Likelihood and Bayesian Approaches
  • Marinov, Radoslav (Fulman) 2013, Applications of Stein's Method on Statistics of Random Graphs
  • Pike, John (Fulman) 2013, Eigenfunctions for Random Walks on Hyperplane Arrangements
  • Xu, Li (Lototsky) 2013, Parameter Estimate for Hyperbolic SPDE's with Stochastic Coefficients
  • Yildirim, Gokhan (Alexander) 2013, On the Depinning Transition of the Directed Polymer in a Random Environment with a Defect line
  • Bessam, Diogo (Lototsky) 2014, Large Deviations Rates in a Gaussian Setting and Related Topics
  • Ekren, Ibrahim (Zhang) 2014, Path-dependent Partial Differential Equatoins and Related Topics
  • Islak, Umit (Fulman) 2014, Concentration Inequalities with Couplings from Stein's Method
  • Sokolov, Grigory (Tartakovsky/Lototsky) 2014, Multi-Population Optimal Change-Point Detection
  • Zhuo, Jia (Zhang) 2014, Probabilistic Numerical Methods for Fully Nonlinear PDEs and Related Topics

The research of the faculty covers a broad area of probability theory and its applications.



Faculty
  • Alexander, Kenneth: Probability models in statistical mechanics: lattice models (Ising model, Potts model, percolation, etc.), phase transitions, disordered models
  • Arratia, Richard: Probability, especially as related to combinatorics and number theory, coupling, and approximation.
  • Bartroff, Jay: Mathematical statistics, sequential analysis, and applications.
  • Baxendale, Peter: Stochastic dynamical systems; equilibrium, stability and bifurcation for solutions of stochastic differential equations; applications to stochastic neuronal models.
  • Fulman, Jason: Markov chains, probability on algebraic structures, random matrix theory, Stein's method.
  • Goldstein, Larry: Distributional approximation and Stein's method,sampling schemes in epidemiology, statistical efficiency, optimal stopping.
  • Lototsky, Sergey: Stochastic partial differential equations, optimal nonlinear filtering of diffusion processes, statistical inference for continuous-time processes.
  • Ma, Jin: Stochastic analysis, stochastic differential equations, stochastic control theory, mathematical finance and insurance.
  • Mikulevicius, Remigijus: Stochastic differential equations, stochastic analysis.
  • Piterbarg, Leonid: Applied stochastic analysis, statistical models in physical oceanography.
  • Schumitzky, Alan: Stochastic control theory, estimation theory and applications.Population pharmacokinetics theory and applications. Bayesian analysis of nonlinear mixture models.
  • Tavare, Simon (Department of Biological Sciences): Statistics, computational biology, stochastic computation.
  • Waterman, Michael (Department of Biological Sciences): Computational biology, probability, statistics.
  • Zhang, Jianfeng: Stochastic analysis, backward stochastic differential equations, stochastic numerics, and mathematical finance.
 
Post docs and visitors:
 
CURRENT GRADUATE STUDENTS:
  • Karnam, Chandrasekhar (Ma and Zhang)
  • Keller, Christian (Zhang)
  • Kim, Gene (Fulman)
  • Ren, Haining (Fulman)
  • Noh, Eunjung (Ma)
  • Tsilifis, Panagiotis (Bartroff)
  • Sun, Rentao (Ma)
  • Wu, Cong (Zhang)
  • Xie, Weisheng (Ma)
  • Xing, Xiaojing (Ma)
  • Zhang, Tian Teresa (Ma)
  • Zheng, Zemin (L. Goldstein)
 
RECENT GRADUATES:
  • Knape, Mathias (Mikulevicius & Zapatero) 2009, A General Equilibrium Model for Exchange Rates and Asset Prices in an Economy Subject to Jump-Diffusion Uncertainty
  • Knape, Mathias (Mikulevicius & Zapatero) 2009, A General Equilibrium Model for Exchange Rates and Asset Prices in an Economy Subject to Jump-Diffusion Uncertainty
  • Polunchenko, Aleksey (P Mikulevicius & Tartakovsky) 2009, Quickest Change Detection with Applications to Distributed Multi-Sensor Systems
  • Ross, Nathan (Fulman) 2009, Exchangeable Pairs in Stein's Method of Distributional Approximation
  • Pehlivan, Lerna (Fulman) 2009, On top to random shuffles, no feedback card guessing and fixed points of permutations
  • Liu, Wei (Lototsky) 2010, Institutional Credit Oversight, American Express, New York Statistical Inference for Stochastic Hyperbolic Equations
  • Zhang, Changyong (Mikulevicius) 2010, Numerical Weak Approximation of Stochastic Differential Equations Driven by Levy Processes
  • Chen, Jianfu (Ma) 2011, Quantitative Research & Development Group, Union Bank of California Regime Switch Term Structure model with Forward-Backward Stochastic Differential Equations
  • Lin, Wei (Goldstein) 2011, Survival Analysis with Missing Data and High Dimensionality
  • Wang, Xinyang (Ma & Zhang) 2011, Dynamic Model for Limit Order Books and Optimal Liquidation Problems
  • Yun, Youngyun (Ma) 2011, Analysis of Correlated Defaults and Joint Default Probability in a Contagion Model
  • DeSalvo, Stephen (Arratia) 2012, Probabilistic Divide-and-Conquer - A New Methods for Exact Simulation - and Lower Bound Expansions for Random Bernoulli Matrices via Novel Integer Partitions
  • Ghosh, Subhankar (Goldstein) 2012, Couplings for Berry-Esseen Bounds and Concentration Inequalities
  • Kaligotla, Sivaditya (Lototsky) 2012, Asymptotic Problems in Stochastic Partial Differential Equations: A Wiener Chaos Approach
  • Du, Jie (Zhang) 2012, Guggenheim Partners Stochastic Games on Stopping Times
  • Lin, Ning (Lototsky) 2012, Estimation of Coefficients in Stochsatic Differential Equations
  • Moers, Michael (Lototsky) 2012, Statistical Inference of Stochastic Differential Equations Driven by Gaussian Noise
  • Nibert, Joel (Baxendale) 2012, Invaraint Measures of a Stochastic Predator Prey Model
  • Xu, Shanshan (Lototsky/Wilcox) 2012, Initiative Non-parametric Multivariate Regression Hypothesis Testing
  • Pham, Triet (Zhang) 2013, Zero-Sum Stochastic Differential Games in Weak Formulation and Related Norms for Semi-Martingales
  • Song, Jinlin (Bartroff) 2013, Analysis Group Time-Sequential Testing for Multiple Hypotheses
  • Wang, Huanhuan (Ma) 2013, Capital One Asset management with Incomplete Information
  • Wang, Xin (Ma) 2013, Nonlinear Expectations for Continuous Time Model with Jumps and Applications
  • Zhong, Jie (Lototsky) 2013, Second Order in Time Stochastic Evolution Equation and Wiener Chaos Approach
  • Chubatiuk, Alona (Schumitzky) 2013, Nonparametric Estimation of an Unknown Probability Distribution Using Maximum Likelihood and Bayesian Approaches
  • Marinov, Radoslav (Fulman) 2013, Applications of Stein's Method on Statistics of Random Graphs
  • Pike, John (Fulman) 2013, Eigenfunctions for Random Walks on Hyperplane Arrangements
  • Xu, Li (Lototsky) 2013, Parameter Estimate for Hyperbolic SPDE's with Stochastic Coefficients
  • Yildirim, Gokhan (Alexander) 2013, On the Depinning Transition of the Directed Polymer in a Random Environment with a Defect line
  • Bessam, Diogo (Lototsky) 2014, Large Deviations Rates in a Gaussian Setting and Related Topics
  • Ekren, Ibrahim (Zhang) 2014, Path-dependent Partial Differential Equatoins and Related Topics
  • Islak, Umit (Fulman) 2014, Concentration Inequalities with Couplings from Stein's Method
  • Sokolov, Grigory (Tartakovsky/Lototsky) 2014, Multi-Population Optimal Change-Point Detection
  • Zhuo, Jia (Zhang) 2014, Probabilistic Numerical Methods for Fully Nonlinear PDEs and Related Topics