

Ruoting Gong (龚若汀) Assistant Professor of Applied Mathematics Department of Applied Mathematics Illinois Institute of Technology Office: John T. Rettaliata
Engineering Center, Room 234C Phone: 3125678986 Email: rgong2_AT_iit_DOT_edu 

Research Interests
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Stochastic Processes and Stochastic Analysis: Lévy Process; WienerHopf
Factorization; FeynmanKac Formulas; Stochastic Control
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Mathematical Finance: SmallTime Asymptotic Expansions of Option Prices,
with Emphasis on LévyBased JumpDiffusion 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: September 2021)
Grant Support
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$130k
Gift from Joel D. Krauss (Life Trustee of Illinois Tech), “Volatility
Forecasting”, CoPI with M. Dixon (Applied Math, Illinois Tech), January 2022 – January 2024.
Graduate Student
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Ziteng
Cheng, Ph.D 2021 (coadvised
with T. R. Bielecki)
Thesis: “WienerHopf
Factorizations for TimeInhomogeneous Markov Chains and Bayesian Estimations
for Diagonalizable Bilinear Stochastic Partial Differential Equations”
Next Position: Postdoc Fellow, Department
of Statistical Sciences, University of Toronto, Toronto, ON, Canada
Publications & Preprints
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Estimation of Tempered Stable Lévy Models of Infinite
Variation (with J. E. FigueroaLópez and Y. Han). Submitted, 2021. arXiv:2101.00565
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WienerHopf Factorization for
Arithmetic Brownian Motion with TimeDependent Drift and Volatility (with T. R. Bielecki and Z. Cheng).
Submitted, 2021. arXiv:2006.01887
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WienerHopf Factorization
Technique for TimeInhomogeneous Finite Markov Chains (with T. R. Bielecki, Z. Cheng, and I. Cialenco).
Stochastics: An International Journal of Probability and
Stochastic Processes, 93(1), 130 – 166, 2021. DOI:10.1080/17442508.2019.1708913
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WienerHopf
Factorization for TimeInhomogeneous Markov Chains and Its Application (with T. R. Bielecki, I. Cialenco, and Y.
Huang).
Probability and Mathematical Statistics, 40(2), 225 – 244, 2020. DOI: 10.37190/02084147.40.2.3
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Bayesian Estimations for Diagonalizable Bilinear SPDEs (with Z. Cheng and I. Cialenco).
Stochastic Processes and Their Applications, 130(2), 845 – 877, 2020. DOI:10.1016/j.spa.2019.03.020
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Stochastic Representations for Solutions to Nonlocal
Bellman Equations (with C. Mou and A. Swiech).
Annals of Applied Probability, 29(6), pp. 3271 – 3310,
2019. DOI:10.1214/19AAP1473
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On the Fairness Performance of NOMABased Wireless
Powered Communication Networks (with
Y. Liu, X. Chen, L. X. Cai, Q. Chen, and D. Tang).
Proceedings of IEEE International Conference on
Communications, 2019. DOI:10.1109/ICC.2019.8761702
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A Stochastic Geometry Analysis of Energy Harvesting in
Large Scale Wireless Networks (with
Z. Chen, Z. Chen, L. X. Cai, and Y. Cheng).
Proceedings of IEEE International Conference on Green
Computing and Communications, pp. 280 – 286, 2018. DOI:10.1109/Cybermatics_2018.2018.00076
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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/s1120301691522
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ShortTime Expansions for Call Options on Leveraged
ETFs under Exponential Lévy Models with Local Volatility (with J. E. FigueroaLópez
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/s1095901607304
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ThirdOrder ShortTime Expansions for
ClosetotheMoney Option Prices Under the CGMY Model (with J. E. FigueroaLópez
and C. Houdré).
Applied Mathematical Finance, 24(6), pp. 547 – 574,
2017. DOI:10.1080/1350486X.2018.1429935
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HighOrder ShortTime Expansions for ATM Option Prices
of Exponential Lévy Models (with J. E. FigueroaLópez 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: Highorder shorttime expansions for ATM option
prices under the CGMY model. arXiv:1112.3111
(with J. E. FigueroaLópez and C. Houdré).
Stochastic Processes and Their
Applications, 122(4), pp. 1808 – 1839, 2012. DOI:10.1016/j.spa.2012.01.013
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A Viscosity Approach to a Stochastic Control Problem
on a Bounded Domain (with C. Houdré). Preprint, 2019. arXiv:0911.0956
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A Central Limit Theorem for the Optimal Alignments
Score in Multiple Random Words (with
C. Houdré and U. Islak). Preprint,
2016. arXiv:1512.05699
(with
P. M.N. Feehan and J. Song). Preprint, 2015. arXiv:1509.03864
Selective Talks
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SIAM
Conference on Financial Mathematics and Engineering, MiniSymposium on
HighFrequency and ShortTerm Driven Methods in Financial Mathematics.
Philadelphia, PA, June 1 – 4, 2021.
(Estimation of Tempered Stable Lévy Processes of Infinite Variation)
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AMS
Spring Central Sectional Meeting #1157, Special Session on Mathematical Finance
and Actuarial Sciences. Purdue University, West Lafayette, IN, April 4 – 5,
2020.
(Optimum Thresholding Using Mean Square
Error under TemperedStable Lévy Models)
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University
of Southern California, Mathematical Finance Colloquium, September 29, 2019.
(WienerHopf Factorization for TimeInhomogeneous
Markov Chains)
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Conference
on Statistical Inference for Stochasitc PDEs.
Humboldt University of Berlin, Berlin, Germany, September 18 – 20, 2019.
(Bayesian Estimations for Diagonalizable
Bilinear SPDEs)
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AMS
Fall Central Sectional Meeting #1150, Special Session on Stochastic Partial
Differential Equations and Related Fields. University of WisconsinMadison,
Madison, WI, September 14 – 15, 2019. (Bayesian
Estimations for Diagonalizable Bilinear SPDEs)
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SIAM
Conference on Financial Mathematics and Engineering, Contributed Lecture
Session on Stochastic Control and Optimization Problems in Financial
Mathematics,
University of Toronto, Toronto, Ontario,
Canada, June 4 – 7, 2019. (Stochastic Representations for Nonlocal Bellman
Equations)
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Washington
University in St. Louis, Financial Mathematics Seminar, March 7, 2019. (WienerHopf Factorization for TimeInhomogeneous Markov Processes)
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Georgia
Institute of Technology, Stochastics Seminar, February 26, 2019. (WienerHopf Factorization for Markov Processes)
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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.
(SmallTime 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 WienerHopf
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. (SmallTime Asymptotic
Methods in Financial Mathematics)
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Special
Lecture on Financial Mathematics. North China Electric Power University,
Baoding, China, May 17, 2018.
(SmallTime 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.
(SmallTime 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.
(SmallTime 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. (SmallTime Asymptotics for LévyBased Models)
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Illinois
Institute of Technology, Applied Mathematics Colloquium. February 20, 2017.
(SmallTime 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.
(SmallTime 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. (SmallTime Asymptotics for LévyBased
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.
(HighOrder ShortTime 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. (SmallTime Asymptotics
for LévyBased 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. (SmallTime Asymptotics for LévyBased
Models)
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Youth
Probability Forum, Peking University. Beijing, P. R. China, July 6 – 8, 2015.
(FeynmanKac 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.
(SmallTime Asymptotics
for LévyBased Models)
Teaching
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Math
374 (Spring 2016, Spring 2017, Fall 2018, Fall 2020, Fall 2021): Probability
and Statistics for Electrical and Computer Engineers
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Math
474 (Spring 2020, Fall 2020): Probability and Statistics
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Math
475 (Fall 2015): Probability (Undergraduate Level)
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Math
481 (Fall 2014, Spring 2016, Spring 2018, Spring 2020): 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, Fall 2019, Fall 2021): Probability
(Graduate Level)
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Math
543 (Spring 2015, Spring 2018, Spring 2021): Stochastic Analysis
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Math
548 (Fall 2019): Mathematical Finance I
Conference Organization
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MiniSymposium
on HighFrequency and ShortTerm Driven Methods in
Financial Mathematics
(with J. E. FigueroaLópez)
SIAM Conference
on Financial Mathematics and Engineering 2021, Philadelphia, PA, June 1 – 4,
2021.
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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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MiniSymposium
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
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Golden State Warriors, Paris SaintGermain F.C., Tampa Bay Buccaneers