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Ruoting Gong (龚若汀)
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Assistant Professor of Applied Mathematics Department of Applied Mathematics Illinois Institute of Technology Office: John T. Rettaliata
Engineering Center, Room 234-C Phone: 312-567-8986 Email: rgong2_AT_iit_DOT_edu |
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Research Interests
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Stochastic Processes and Stochastic Analysis: Lévy Process; Wiener-Hopf Factorization; Feynman-Kac
Formulas; Stochastic Control
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Mathematical Finance: Small-Time Asymptotic Expansions of Option Prices,
with Emphasis on Lévy-Based Jump-Diffusion Models
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Random Sequence Alignments: Limiting
Theorems; Asymptotic Moment Estimates; Connections with Random Matrices and
Random Percolation
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Stochastic Partial Differential Equations: Statistical Inference for SPDEs
Curriculum Vitae (This version: January 2019)
Graduate Student
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Ziteng
Cheng, Ph.D (co-advised with T.
R. Bielecki): Expected Graduation: Spring 2020
Thesis Topics: Wiener-Hopf
Factorizations for Time-Inhomogeneous Markov Processes; Bayesian Estimations
for Stochastic Partial Differential Equations
Publications & Preprints
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On the Fairness Performance of NOMA-Based Wireless
Powered Communication Networks (with
Y. Liu, X. Chen, L. X. Cai,
Q. Chen, and D. Tang). Submitted, 2018.
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Bayesian Estimations for Diagonalizable Bilinear SPDEs (with Z. Cheng and I. Cialenco).
Submitted, 2018. arXiv:1805.11747
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Wiener-Hopf
Factorization for Time-Inhomogeneous Markov Chains and Its Application (with T. R. Bielecki, I. Cialenco,
and Y. Huang). Submitted, 2018.
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Stochastic Representations for Solutions to Nonlocal
Bellman Equations (with C. Mou and A. Swiech). Submitted,
2017. arXiv:1709.00193
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A Central Limit Theorem for the Optimal Alignments
Score in Multiple Random Words (with
C. Houdré and U. Islak). Submitted,
2016. arXiv:1512.05699
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A Viscosity Approach to a Stochastic Control Problem
on a Bounded Domain (with C. Houdré). Submitted, 2017. arXiv:0911.0956
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Performance Analysis of Energy Harvesting in Wireless
Networks Using Stochastic Geometry
(with Z. Chen, Z. Chen, L. X. Cai, and Y. Cheng).
Forthcoming in the Proceedings of
IEEE International Conference on Green Computing and Communications, 2018. arXiv:1806.00669
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Trajectory Fitting Estimators for SPDEs Driven by
Additive Noise (with I. Cialenco and Y. Huang).
Statistical Inference for Stochastic
Processes, 21(1), pp. 1 – 19, 2018.
DOI:10.1007/s11203-016-9152-2
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Short-Time Expansions for Call Options on Leveraged
ETFs under Exponential Lévy Models with Local
Volatility (with J. E. Figueroa-López and M. Lorig).
SIAM Journal on Financial
Mathematics, 9(1), pp. 347 – 380, 2018. DOI:10.1137/17M1111292
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Lower Bounds on the Generalized Central Moments of
Optimal Alignments Score of Random Sequences (with C. Houdré and J. Lember).
Journal of Theoretical Probability,
31(2), pp. 643 – 683, 2018. DOI:10.1007/s10959-016-0730-4
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Third-Order Short-Time Expansions for
Close-to-the-Money Option Prices Under the CGMY Model (with J. E. Figueroa-López and C. Houdré).
Applied Mathematical Finance, 24(6),
pp. 547 – 574, 2017. DOI:10.1080/1350486X.2018.1429935
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High-Order Short-Time Expansions for ATM Option Prices
of Exponential Lévy Models (with J. E. Figueroa-López and C. Houdré).
Mathematical
Finance, 26(3), pp. 516 – 557, 2016.
DOI:10.1111/mafi.12064
Note: This is an extension of our earlier version: High-order short-time expansions for ATM option
prices under the CGMY model. arXiv:1112.3111
(with J. E. Figueroa-López and C. Houdré). Stochastic Processes and Their Applications, 122(4), pp. 1808 – 1839,
2012. DOI:10.1016/j.spa.2012.01.013
(with
P. M.N. Feehan and J. Song). Preprint,
2015. arXiv:1509.03864
Selective Talks
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University
of Wisconsin – Milwaukee, Mathematical Science Colloquium, November 16, 2018.
(Stochastic Representations for Nonlocal Bellman Equations)
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Third
Eastern Conference on Mathematical Finance. Illinois Institute of Technology,
Chicago, IL, October 26 – 28, 2018.
(Small-Time Asymptotic Methods in
Financial Mathematics)
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Illinois
Institute of Technology, Mathematical Finance, Stochastic Analysis, and Machine
Learning Seminar, October 16, 2018.
(An Overview of Wiener-Hopf
Factorization)
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Illinois
Institute of Technology. Mathematical Finance, Stochastic Analysis, and Machine
Learning Seminar, September 25, 2018.
(Stochastic Representations for Nonlocal
Bellman Equations)
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2018
World Energy and Electricity Youth Scholar Forum, Intelligent Information and
Control Subforum. North China Electric Power
University, Beijing, China,
May 18 – 20, 2018. (Small-Time Asymptotic
Methods in Financial Mathematics)
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Special
Lecture on Financial Mathematics. North China Electric Power University,
Baoding, China, May 17, 2018.
(Small-Time Asymptotic Methods in
Financial Mathematics)
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Illinois
Institute of Technology, Mathematical Finance and Stochastic Analysis Seminar,
January 18, 2018.
(Stochastic Representations for Nonlocal
Bellman Equations)
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INFORMS 19th
Applied Probability Society Conference, Special Session on Financial Engineering.
Northwestern University, Evanston, IL, July 10 – 12, 2017.
(Small-Time Asymptotics
for Options on Leveraged ETFs under Exponential Lévy
Models with Local Volatility)
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AMS Spring
Central Sectional Meeting #1127, Special Session on Financial Mathematics and
Statistics. Indiana University, Bloomington, IN, April 1 – 2, 2017.
(Small-Time Asymptotics
for Options on Leveraged ETFs under Exponential Lévy
Models with Local Volatility)
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Worcester
Polytechnic Institute, Financial Mathematics and Stochastic Analysis Common,
March 13, 2017. (Small-Time Asymptotics for Lévy-Based Models)
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Illinois
Institute of Technology, Applied Mathematics Colloquium. February 20, 2017.
(Small-Time Asymptotics
for Options on Leveraged ETFs under Exponential Lévy
Models with Local Volatility)
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INFORMS
Annual Meeting, General Session on Probabilistic Combinatorial Optimization.
Nashville, TN, November 13 – 16, 2016.
(Limiting Theorems for the Optimal
Alignments Score in Multiple Random Words)
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Georgia
Institute of Technology, Stochastic Seminar. October 27, 2016.
(Small-Time Asymptotics
for Options on Leveraged ETFs under Exponential Lévy
Models with Local Volatility)
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Purdue
University, Computational Finance Seminar. March 30, 2016. (Small-Time Asymptotics for Lévy-Based
Models)
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Illinois
Institute of Technology, Discrete Applied Mathematics Seminar. February 24,
2016.
(Limiting Theorems for the Optimal
Alignments Score in Multiple Random Words)
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Joint
Mathematics Meetings 2016, AMS Special Session on Problems and Challenges in
Financial Engineering and Risk Management.
Seattle, WA, January 6 – 9, 2016.
(High-Order Short-Time Expansions of ATM Option Prices under Exponential Lévy Models)
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Georgia
Institute of Technology, Mathematical Finance and Financial Engineering
Seminar. October 21, 2015. (Small-Time Asymptotics
for Lévy-Based Models)
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AMS
Fall Central Sectional Meeting #1112, Special Session on Stochastic Analysis
with Applications to Quantitative Finance.
Loyola University Chicago, Chicago, IL,
October 3 – 4, 2016. (Lower Bounds on the Generalized Moments of the Optimal
Alignments Score of Random Sequences)
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Beijing
Normal University, Probability Seminar. July 9, 2015. (Small-Time Asymptotics for Lévy-Based
Models)
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Youth
Probability Forum, Peking University. Beijing, P. R. China, July 6 – 8, 2015.
(Feynman-Kac Formulas for Degenerate Elliptic
Boundary Value Problems)
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Conference
on Mathematical Finance and Partial Differential Equations. Rutgers, The State
University of New Jersey, New Brunswick, NJ, May 1, 2015.
(Small-Time Asymptotics
for Lévy-Based Models)
Teaching
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Math
374 (Spring 2016, Spring 2017, Fall 2018): Probability and Statistics for
Electrical and Computer Engineers
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Math
475 (Fall 2015): Probability (Undergraduate Level)
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Math
481 (Fall 2014, Spring 2016, Spring 2018): Introduction to Stochastic Processes
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Math
485 (Spring 2017): Introduction to Mathematical Finance
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Math
540 (Fall 2016, Fall 2017, Fall 2018): Probability (Graduate Level)
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Math
543 (Spring 2015, Spring 2018): Stochastic Analysis
Conference Organization
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AMS
Special Session on Random Matrices, Random Percolation and Random
Sequence Alignments (with
M. Damron).
Joint Mathematics
Meetings 2017, Atlanta GA, January 4 – 7, 2017.
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Mini-Symposium
on Stochastic Control Theory With
Applications to Finance
(with G. Wang).
SIAM Conference
on Financial Mathematics & Engineering, Austin, TX, November 17 – 19, 2016.
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Special
Session on Stochastic Analysis with Applications to Quantitative
Finance (with I. Cialenco).
AMS Fall Central
Sectional Meeting #1112, Loyola University Chicago, Chicago, IL, October 2 – 4,
2015.
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Special Session
on Partial Differential Equations, Stochastic Analysis,
and Applications to Mathematical Finance (with
P. M.N. Feehan and C. Pop).
AMS Fall Eastern Section
Meeting #1093, Temple University, Philadelphia, PA, October 12 – 13, 2013.
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The Fifth and Sixth Graduate Student Probability Conference
(with A. Hoffmeyer, H. Huynh, J. Ma, R. Wang, and L. Xin).
Georgia Institute of Technology, Atlanta,
GA, April 29 – May 1, 2011 & April 27 – 29, 2012.
Useful Links
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Applied
Math @ IIT, Math @
Rutgers, Math @
Georgia Tech
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arXiv, MathSciNet