My profile on: arXiv, Google Scholar

Associate Editor Mentorship

Postdoctoral Fellows
  • Hyun-Jung Kim, Fall 2019 -
    Research topic: Statistical Inference for Stochastic PDEs
PhD Students Master of Science Students
  • Liaosha Xu, MS 2013
    Thesis: "Hypothesis Testing for Stochastic PDEs Driven by Additive Noise."
    Next position: PhD student at University of Virginia
  • Yuan Jiang, MS 2013
    Thesis: "A Study of High Frequency Trading in Limit Order Books."
  • Jingran Liu, MS 2012 (co-advised with Tomasz R. Bielecki)
    Thesis: "Mean-Variance hedging with time changed Levy processes."
    Next position: Senior Valuations Analyst, CME Group (Chicago)
Publications in Refereed Journals and Volumes
  1. Statistical Analysis of Some Evolution Equations Driven by Space-Only Noise (with Hyun-Jung Kim, and Sergey Lototsky) submitted for publication, 2019. PDF
  2. Fair Capital Risk Allocation (with Tomasz R. Bielecki, Marcin Pitera and Thorsten Schmidt) submitted for publication (24 pages), 2019. arXiv, PDF
  3. Wiener-Hopf factorization for time-inhomogeneous Markov chains (with Tomasz R. Bielecki, Ziteng Cheng and Ruoting Gong) submitted for publication (50 pages), 2019. arXiv, PDF
  4. Bayesian Estimations for Diagonalizable Bilinear SPDEs (with Ziteng Cheng and Ruoting Gong) Forthcoming in Stochastic Processes and Applications, 2018. PDF
  5. A Dynamic Model of Central Counterparty Risk (with Tomasz R. Bielecki, and Shibi Feng) International Journal of Theoretical and Applied Finance, Vol. 21, No. 08, 1850050 (32 pages), 2018. DOI:10.1142/S0219024918500504, arXiv, PDF
  6. Wiener-Hopf factorization for time-inhomogeneous Markov chains and its application (with Tomasz R. Bielecki, Ruoting Gong and Yicong Huang) submitted for publication (19 pages), 2018. arXiv, PDF
  7. Statistical Inference for SPDEs: an overview, Statistical Inference for Stochastic Processes, 21(2), pp 309-329, 2018. DOI:10.1007/s11203-018-9177-9, arXiv, PDF
  8. A note on parameter estimation for discretely sampled SPDEs (with Yicong Huang) submitted for publication (23 pages), 2017. arXiv, PDF
  9. Adaptive Robust Control Under Model Uncertainty (with Tomasz R. Bielecki, Tao Chen, Areski Cousin and Monique Jeanblanc) Forthcoming in SIAM Journal on Control and Optimization (SICON) (22 pages), 2017. arXiv, PDF
  10. Arbitrage-Free Pricing of Derivatives in Nonlinear Market Models (with Tomasz R. Bielecki and Marek Rutkowski) Probability, Uncertainty and Quantitative Risk 3:2, 2018 (56 pages). DOI:10.1007/10.1186/s41546-018-0027-x arXiv, PDF
  11. Trajectory Fitting Estimators for SPDEs Driven by Additive Noise (with Ruoting Gong and Yicong Huang) Statistical Inference for Stochastic Processes, 21(1), pp. 1-19, 2018 (accepted for publication 2016). DOI:10.1007/s11203-016-9152-2, arXiv, PDF
  12. Recursive Construction of Confidence Regions (with Tomasz R. Bielecki and Tao Chen) Electronic Journal of Statistics, 11(2), pp. 4674-4700, 2017. DOI:10.1214/17-EJS1362, arXiv, PDF
  13. A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective (with Tomasz R. Bielecki and Marcin Pitera) Probability, Uncertainty and Quantitative Risk, 2:3, pp.1-52, 2017. DOI:10.1186/s41546-017-0012-9, arXiv, PDF
  14. Dynamic Conic Finance via Backward Stochastic Difference Equations (with Tomasz R. Bielecki and Tao Chen) SIAM Journal of Financial Mathematics, 6(1), 1068-1122. (55 pages), 2015. DOI:10.1137/141002013, arXiv, PDF
  15. A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time (with Tomasz R. Bielecki and Marcin Pitera) Mathematics of Operations Research, 43(1), pp. 204-221, 2018. DOI:10.1287/moor.2017.0858, arXiv, PDF
  16. A note on error estimation for hypothesis testing problems for some linear SPDEs (with Liaosha Xu) Stochastic Partial Differential Equations: Analysis and Computations, September 2014, vol. 2, No 3, pp. 408-431. DOI:10.1142/S0219024913500027, arXiv
  17. Dynamic Limit Growth Indices in Discrete Time (with Tomasz R. Bielecki and Marcin Pitera) Stochastic Models, vol. 31, pp. 494-523, 2015. DOI:10.1080/15326349.2015.1053616, (preprint 2013) arXiv, PDF
  18. Hypothesis testing for stochastic PDEs driven by additive noise (with Liaosha Xu) Stochastic Processes and their Applications, vol. 125, Issue 3, March 2015, pp. 819-866, DOI:10.1016/j.spa.2014.09.022, arXiv, PDF
  19. Dynamic Assessment Indices (with Tomasz R. Bielecki, Samuel Drapeau and Martin Karliczek) Stochastics: An International Journal of Probability and Stochastic Processes, vol. 88, No 1, pp. 1-44, 2016 (accepted for publication March 2015) DOI:10.1080/17442508.2015.1026346, (preprint 2013) arXiv, PDF
  20. Collateralized CVA Valuation with Rating Triggers and Credit Migrations (with Tomasz R. Bielecki, and Ismail Iyigunler) International Journal of Theoretical and Applied Finance, vol. 16, No 2, 2013. DOI:10.1142/S021902491350009X, arXiv,
  21. Finiteness of the point spectrum of some integro-differential operators (with Marius M. Stanescu, D. Bolcu, and I. Ciuca) University Politehnica of Bucharest Sci. Bull., Series A, Vol. 75, Iss. 4, pp. 177-192, 2013. PDF
  22. No-Arbitrage Pricing for Dividend-Paying Securities in Discrete-Time Markets with Transaction Costs (with Tomasz R. Bielecki, and Rodrigo Rodriguez) Forthcoming in Mathematical Finance, 2012. DOI:10.1111/mafi.12038, arXiv,
  23. Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices (with Tomasz R. Bielecki, Ismail Iyigunler and Rodrigo Rodriguez) International Journal of Theoretical and Applied Finance, vol. 16, No 1, 2013. DOI:10.1142/S0219024913500027, arXiv,
  24. Approximation of Stochastic Partial Differential Equations by a Kernel-based Collocation Method, (with Gregory E. Fasshauer and Qi Ye) International Journal of Computer Mathematics, vol. 89, No 18, pp.2543-2561, 2012. DOI:10.1080/00207160.2012.688111, arXiv,
  25. Counterparty Risk and the Impact of Collateralization in CDS Contracts, (with Tomasz R. Bielecki and Ismail Iyigunler) in Stochastic Processes, Finance and Control: A Festschrift in Honor of Robert J. Elliott (Vol. 1, Advances in Statistics, Probability and Actuarial Sciences), Editors Samuel N. Cohen, Dilip Madan, Tak Kuen Siu, World Scientific, 2012 arXiv, PDF
  26. Dynamic Coherent Acceptability Indices and their Applications to Finance (with Tomasz R. Bielecki and Zhao Zhang) Mathematical Finance, Volume 24, Issue 3, pp. 411-441, July 2014 (accepted for publication Nov 2011) DOI:10.1111/j.1467-9965.2012.00524.x, arXiv
  27. Parameter estimation for stochastically perturbed Navier-Stokes Equations (with Nathan Glatt-Holtz) Stochastic Processes and their Applications, vol 121, pp. 701-724, 2011. DOI:10.1016/j.spa.2010.12.007, arXiv,
  28. Do Technical Trading Profits Remain in the Foreign Exchange Market? Evidence from Fourteen Currencies (with Aris Protopapadakis) Journal of International Financial Markets, Institutions & Money, vol 21 , pp 176-206, 2011. DOI:10.1016/j.intfin.2010.10.001, SSRN
  29. Parameter estimations for SPDEs with multiplicative fractional noise, Stochastics and Dynamics, Vol. 10, No. 4, pp 561-576, 2010, DOI: 10.1142/S0219493710003091 arXiv
  30. Absence of eigenvalues for integro-differential operators with periodic coefficients (with Marius M. Stanescu) An. St. Univ. Ovidius Constanta, Ser. Mat., Vol. 18(2), pp. 253-266, 2010 PDF, arXiv
  31. Asymptotic Properties of the Maximum Likelihood Estimator for Stochastic Parabolic Equations with Additive Fractional Brownian Motion (with Sergey V. Lototsky and Jan Pospisil) Stochastics and Dynamics, Vol. 9, No. 2, pp. 169-185, 2009 DOI: 10.1142/S0219493709002610 arXiv
  32. Parameter estimation in diagonalizable bilinear stochastic parabolic equations (with Sergey V. Lototsky) Statistical Inference for Stochastic Processes, vol 12, No.3, pp. 203-219, 2009 DOI: 10.1007/s11203-008-9031-6 arXiv
  33. On the point spectrum of the perturbed differential operators with periodic coefficients, Int. J. Pure Appl. Math., vol. 50, No. 1, pp. 63-76, 2009 PDF, arXiv
  34. The Reaction of Term Structure of Interest Rates to the Monetary Policy Actions (with Levon Goukasian) Journal of Fixed Income, vol 16, 2, pp. 76-91, Fall 2006 DOI: 10.3905/jfi.2006.656011 SSRN
  35. On the nonselfadjoint perturbations of the Wiener-Hopf integral operators, Operator theoretical methods (Timisoara), Theta Found., Bucharest, pp. 87-95, 2000 PDF
  36. On the point spectrum of nonselfadjoint perturbed operators of Wiener-Hopf type, Mathematical analysis and applications, Scientific Annals of University A.I.Cuza, Iasi, v.XLIV, pp. 485-496, 1998 PDF
  37. Finiteness of the point spectrum of some nonselfadjoint operators close to the operators generated by Jacobi matrices (with Petru Cojuhari) Bul. Acad. Stiinte Repub. Mold. Mat., 3(28), pp. 65-70, 1998 PDF
  38. Finiteness of eigenvalues of some integro-differential operators (with Marius M. Stanescu) Bul. Acad. Stiinte Repub. Mold. Mat., 2(27), pp. 117-119, 1998 PDF

Conference Talks
  • Conference on Ambit Fields and Related Topics, August 6-9, 2018, Aarhus University, Denmark (Parameter estimation problem for discretely sampled SPDEs)
  • 10th World Congress of the Bachelier Finance Society, Juy 16-20, 2018, Dublin, Ireland, (Arbitrage-Free Pricing in Nonlinear Market Models)
  • Byrne Workshop on Stochastic Analysis in Finance and Insurance, University of Michigan, Ann Arbor, May 9 - 11, 2018 (Arbitrage-Free Pricing in Nonlinear Market Models)
  • Robust Methods in Probability and Finance, The Institute for Computational and Experimental Research in Mathematics (ICERM), Brown University, June 19 - 23, 2017 (Adaptive Robust Control Under Model Uncertainty)
  • Mathematical Finance, Probability, and Partial Differential Equations Conference, Rutgers University, New Brunswick, May 17-19, 2017 (Adaptive Robust Control Under Model Uncertainty)
  • IPAM, Financial Mathematics Reunion Conference I, December 2016, UCLA Lake Arrowhead Conference Center, USA (Talk 1: Adaptive Robust Control Under Model Uncertainty; Talk 2: Dynamic Model of Central Counterparty Risk)
  • SIAM Conference on Financial Mathematics and Engineering, Austin, TX, USA, November 17-19, 2016 (Dynamic Model of Central Counterparty Risk)
  • Advances in statistics for random processes, September 7-9, 2016, Université du Maine, Le Mans, France (Trajectory Fitting Estimators for linear SPDEs)
  • Conference on Ambit Fields and Related Topics, August 15-18, 2016, Aarhus University, Denmark (Recent advances in statistical inference for stochastic PDEs)
  • 1st Eastern Conference on Mathematical Finance, March 18-20, 2016, Worcester Polytechnic Institute, USA (Time consistency of dynamic risk and performance measures)
  • IPAM Culminating Workshop, June 11, 2015, Lake Arrowhead Conference Center, USA (Fair pricing under funding costs and contractual adjustments)
  • SIAM Conference on Financial Mathematics and Engineering, Chicago, IL, USA, November 13-15, 2014 (Market Making via Acceptability Indices)
  • 8th World Congress of the Bachelier Finance Society, June 2-6, 2014, Brussels, Belgium (Dynamic Conic Finance via BSDeltaEs)
  • Joint Mathematics Meeting 2014, SIAM Minisymposium on Recent Advances in Financial Mathematics, January 15-18, 2014, Baltimore, MD, USA (On Bid-Ask Prices For Dividend Paying Securities: an acceptability indices approach).
  • Quantitative Finance Retrospective Workshop, The Fields Institute For Research In Mathematical Sciences, October 27-30, 2013, Toronto, Canada (On Bid-Ask Prices For Dividend Paying Securities: Pricing and Hedging via Dynamic Coherent Acceptability Indices).
  • 5th Annual High Frequency Conference, Stevens Institute of Technology, October 24-26, 2013, Hoboken, NJ, USA (On Bid-Ask Prices For Dividend Paying Securities).
  • AMS Eastern Sectional Meeting #1093, Temple University, October 12-13, 2013, Philadelphia, PA, USA (Statistical Dynamic Assessment Indices).
  • Asymptotical Statistics of Stochastic Processes IX, Universite du Maine, 11-15 March, 2013, Le Mans, France (Parameter Estimation for some nonlinear SPDEs).
  • 7th World Congress of the Bachelier Finance Society, June 19-22, 2012, Sydney, Australia (Dynamic Assessment Indices)
  • Workshop on the mathematics of Financial Risk Management, May 9-11, Pennsylvania State University, State College, PA, USA (Dynamic Conic Finance: Pricing and Hedging via Dynamic Coherent Acceptability Indices with Transaction Costs)
  • SIAM Conference on Uncertainty Quantification April 5, 2012, Raleigh, NC, USA (Statistical inference problems for nonlinear SPDEs)
  • 7th International Congress on Industrial and Applied Mathematics ICIAM - 2011, July 18-22, 2011, Vancouver, Canada, (On Dynamic Measures of Performance and Measures of Risks in Financial Markets)
  • Asymptotical Statistics of Stochastic Processes VIII, Universite du Maine, Le Mans, 21-24 March, 2011 (Parameter Estimation for Stochastic Navier-Stokes Equations)
  • AMS Central Sectional Meeting, Notre Dame University, South Bend, IN, November 5-7, 2010 (Statistical inference for nonlinear Stochastic PDEs)
  • 6th World Congress of the Bachelier Finance Society, June 22-26, Toronto, Canada (Dynamic Coherent Acceptability Indices)
  • AMS Southeastern Sectional Meeting, University of Kentucky, Lexington, KY, March 27-28, 2010, Special session on financial mathematics and statistics (Dynamic Acceptability Indices)
  • International Conference on Random Dynamical Systems, Chern Institute of Mathematics, Nankai University , Tianjin, China, June 6-12, 2009 (Analytical properties for parabolic stochastic PDEs)
  • Frontier Probability Days, University of Utah, Salt Lake City, UT, March 15-17, 2009 (Inverse problems for stochastic PDEs)
  • CBMS/NSF, Research Conference in Mathematical Sciences: Malliavin Calculus and its Applications [link], Kent State University, Kent, Ohio, USA, August 7-12, 2008 (Statistical inference for stochastic PDEs driven by fractional noise)
  • Conference on Inverse Problems in Stochastic Differential Equations, University of Southern California, Los Angeles, California, USA May 22 - 26, 2007 (Estimating Coefficients in Stochastic Parabolic Equations)
  • Conference of USM, Chisinau, September 27 - October 2, 2000 (Finiteness of the point spectrum of some perturbed nonselfadjoint integro-differential operators with periodic coefficients)
  • The 18th International Conference on Operator Theory, Timisoara, Juni 27th - July 1st, 2000 (On the point spectrum of nonselfadjoint operators)
  • International Conference on Complex Analysis and Related Topics, the VIII-th Romanian-Finish Seminar, Iasi, Romania, August 23-27, 1999 (Finiteness of the point spectrum of nonselfadjoint differential operators)
  • The 17th International Conference on Operator Theory, Timisoara, June 23-26, 1998 (Finiteness of the point spectrum of some nonselfadjoint operators)
  • International Conference "Mathematical Analysis and applications", Iasi, Romania, 22-26 october, 1997 (Finiteness of the point spectrum of some nonselfadjoint perturbed operators of the Wiener-Hopf type)
  • International conference on Mathematics and Informatics, Chisinau, September 19-21, 1996 (On the spectrum of the perturbed difference operators)
    • (slides in pdf are available upon request from the author)

Seminar Talks
  • University of Connecticut, April 2019
  • Worcester Polytechnic Institute, Mathematical Sciences Colloquium, April 2019
  • Georgia State University, March 2019
  • University of Chicago, Computational, Applied Mathematics and PDE Seminar, January 2019 (Statistical Inference for SPDEs)
  • The Fields Institute for Research in Mathematical Sciences, Quantitative Finance Seminar, November 2018 (Adaptive Robust Control Under Model Uncertainty)
  • University of California Santa Barbara, Statistics and Probability Colloquium, October 2018 (Statistical Inference for SPDEs)
  • Weierstrass Institute for Applied Analysis and Stochastics (WIAS) / Humboldt University Berlin, Mathematical Statistics Seminar, June 2018, (Parameter estimation problems for linear parabolic SPDEs)
  • Johns Hopkins University, Applied Mathematics and Statistics Colloquium, April 2018 (Adaptive Robust Control Under Model Uncertainty)
  • University of Southern California, Mathematical Finance Colloquium, November 2017 (Time consistency of risk and performance measures)
  • Princeton University, ORFE Mathematical Finance Seminar, November 2017 (Arbitrage-Free Pricing in Nonlinear Market Models)
  • University of Oxford, Mathematical and Computational Finance Seminar, February 2017 (Time Consistency in Decision Making)
  • Imperial College London, Finance and Stochastics Seminar, February 2017 (Dynamic Conic Finance via BSDeltaEs)
  • Illinois Institute of Technology, Applied Mathematics Colloquium, January 2017 (Dynamic Consistency in Decision Making)
  • The University of Sydney, Mathematical Finance Seminar, March 2016 (Talk I: Dynamic acceptability indices and BSDeltaEs. Talk II: Market Making via acceptability indices)
  • University of Illinois at Chicago, Statistics Seminar, February 2016 (Parameter Estimation for nonlinear SPDEs)
  • IPAM / University of California Los Angeles, May 2015 (Market making via sub-scale invariant Dynamic Acceptability Indices, Part I and II)
  • University of California Santa Barbara, Center for Financial Mathematics and Actuarial Research, April 2015 (Market making via sub-scale invariant Dynamic Acceptability Indices)
  • University of Southern California, Probability and Statistics Seminar, April 2015 (On hypothesis testing problem for SPDEs)
  • Notre Dame University, Applied Mathematics Colloquium, February 2015 (Statistical inference for (nonlinear) Stochastic PDEs)
  • Carnegie Mellon University, Center for Computational Finance, February 2015 (Market making via sub-scale invariant Dynamic Acceptability Indices)
  • Purdue University, Computational Finance Seminar, February 2015 (Market making via sub-scale invariant Dynamic Acceptability Indices)
  • Argonne National Laboratory, LANS Seminar, December 2013 (Statistical inference problems for (nonlinear) Stochastic PDEs)
  • University of Michigan, Ann Arbor, Financial/Actuarial Mathematics Seminar, March 2013 (Dynamic Conic Finance)
  • Illinois Institute of Technology (IIT), Applied Mathematics Colloquium, October 2012 (Dynamic Conic Finance)
  • Purdue University, Probability Seminar, April 2012 (Statistical inference problems for (nonlinear) Stochastic PDEs)
  • Humboldt University, Technical University Berlin, Weierstrass Institute for Applied Analysis and Stochastics (WIAS), Berliner Kolloquium Wahrscheinlichkeitstheorie, Germany, June 2011 (On Coherent Dynamic Measures of Performance and Risk in Financial Markets)
  • University of Southern California, Mathematical Finance Colloquium, April 2011 (New Dynamic Measures of Performance and Measures of Risks in Financial Markets)
  • Indiana University at Bloomington, PDE/Applied Mathematics Seminar, February 2011 (Analytical properties for parabolic SPDEs)
  • Pennsylvania State University, Seminar on Probability and its Applications, October 2010 (On Dynamic Measures of Performance and Measures of Risks in Financial Markets)
  • Purdue University, Computational Finance Seminar, April 2010 (On Dynamic Measures of Performance)
  • Illinois Institute of Technology, Stochastic & Multiscale Modeling and Computation Seminars, April 2010 (Inverse Problems for Stochastic PDEs Driven by Multiplicative Fractional Noise)
  • Indiana University at Bloomington, PDE/Applied Mathematics Seminar, March 2010 (Parameter estimation for linear stochastic PDEs driven by multiplicative noise)
  • Purdue University, Computational Finance Seminar, March 2009 (Technical Trading Profits in Foreign Exchange Markets)
  • Purdue University, Computational Finance Seminar, March 2008 (Statistical Inference for SPDEs with applications to fixed income market)
  • Illinois Institute of Technology (IIT), Stochastic Processes and Mesh-Free Seminar, November 2007 (Statistical Inference for SPDEs: an overview)
  • University of Moldova , Mathematics Colloquium, April 2007 (SPDEs and their applications to finance)
  • University of Moldova , Graduate Student Seminar, April 2007 (Mathematical Finance: from theory to practice)
  • Stanford University, Financial Mathematics Seminar, January 2007, (A parameter estimation problem for SPDE's with multiplicative noise and its application to fixed income markets)
  • Worcester Polytechnic Institute (WPI), Mathematics Colloquium, January 2007 (Parameter Estimation for Stochastic PDE's with Multiplicative Noise)
  • Illinois Institute of Technology (IIT), Applied Mathematics Colloquium, January 2007 (Stochastic PDE's with space-time white noise and their applications to fixed income market)
  • University of Southern California (USC), Analysis Seminar, March 2005 (Spectral theory of nonselfadjoint operators)
  • University of Moldova , Graduate Student Seminar, May 2002 (Overview of Wiener-Hopf factorization method)
    • (slides are available from the author upon request)

designed by Igor Cialenco