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 234-C

Phone: 312-567-8986

Email: rgong2_AT_iit_DOT_edu

 

Research Interests

l       Stochastic Processes and Stochastic Analysis: Lévy Process; Wiener-Hopf Factorization; Feynman-Kac Formulas; Stochastic Control

l       Mathematical Finance: Small-Time Asymptotic Expansions of Option Prices, with Emphasis on Lévy-Based Jump-Diffusion Models

l       Random Sequence Alignments: Limiting Theorems; Asymptotic Moment Estimates; Connections with Random Matrices and Random Percolation

l       Stochastic Partial Differential Equations: Statistical Inference for SPDEs

Curriculum Vitae (This version: January 2019)

Graduate Student

l       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

l       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.

l       Bayesian Estimations for Diagonalizable Bilinear SPDEs (with Z. Cheng and I. Cialenco). Submitted, 2018. arXiv:1805.11747

l       Wiener-Hopf Factorization for Time-Inhomogeneous Markov Chains and Its Application (with T. R. Bielecki, I. Cialenco, and Y. Huang). Submitted, 2018.

arXiv:1801.05553

l       Stochastic Representations for Solutions to Nonlocal Bellman Equations (with C. Mou and A. Swiech). Submitted, 2017. arXiv:1709.00193

l       A Central Limit Theorem for the Optimal Alignments Score in Multiple Random Words (with C. Houdré and U. Islak). Submitted, 2016. arXiv:1512.05699

l       A Viscosity Approach to a Stochastic Control Problem on a Bounded Domain (with C. Houdré). Submitted, 2017. arXiv:0911.0956

l       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

l       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

l       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

l       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

l       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

l       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

l       Small-Time Expansions of the Distributions, Densities, and Option Prices of Stochastic Volatility Models with Lévy Jumps

(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

l       Feynman-Kac Formulae for Solutions to Degenerate Elliptic and Parabolic Boundary Value and Obstacle Problems with Partial Dirichlet Boundary Conditions

(with P. M.N. Feehan and J. Song). Preprint, 2015. arXiv:1509.03864

Selective Talks

l       University of Wisconsin – Milwaukee, Mathematical Science Colloquium, November 16, 2018. (Stochastic Representations for Nonlocal Bellman Equations)

l       Third Eastern Conference on Mathematical Finance. Illinois Institute of Technology, Chicago, IL, October 26 – 28, 2018.

(Small-Time Asymptotic Methods in Financial Mathematics)

l       Illinois Institute of Technology, Mathematical Finance, Stochastic Analysis, and Machine Learning Seminar, October 16, 2018.

(An Overview of Wiener-Hopf Factorization)

l       Illinois Institute of Technology. Mathematical Finance, Stochastic Analysis, and Machine Learning Seminar, September 25, 2018.

(Stochastic Representations for Nonlocal Bellman Equations)

l       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)

l       Special Lecture on Financial Mathematics. North China Electric Power University, Baoding, China, May 17, 2018.

(Small-Time Asymptotic Methods in Financial Mathematics)

l       Illinois Institute of Technology, Mathematical Finance and Stochastic Analysis Seminar, January 18, 2018.

(Stochastic Representations for Nonlocal Bellman Equations)

l       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)

l       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)

l       Worcester Polytechnic Institute, Financial Mathematics and Stochastic Analysis Common, March 13, 2017. (Small-Time Asymptotics for Lévy-Based Models)

l       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)

l       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)

l       Georgia Institute of Technology, Stochastic Seminar. October 27, 2016.

(Small-Time Asymptotics for Options on Leveraged ETFs under Exponential Lévy Models with Local Volatility)

l       Purdue University, Computational Finance Seminar. March 30, 2016. (Small-Time Asymptotics for Lévy-Based Models)

l       Illinois Institute of Technology, Discrete Applied Mathematics Seminar. February 24, 2016.

(Limiting Theorems for the Optimal Alignments Score in Multiple Random Words)

l       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)

l       Georgia Institute of Technology, Mathematical Finance and Financial Engineering Seminar. October 21, 2015. (Small-Time Asymptotics for Lévy-Based Models)

l       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)

l       Beijing Normal University, Probability Seminar. July 9, 2015. (Small-Time Asymptotics for Lévy-Based Models)

l       Youth Probability Forum, Peking University. Beijing, P. R. China, July 6 – 8, 2015. (Feynman-Kac Formulas for Degenerate Elliptic Boundary Value Problems)

l       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

l       Math 374 (Spring 2016, Spring 2017, Fall 2018): Probability and Statistics for Electrical and Computer Engineers

l       Math 475 (Fall 2015): Probability (Undergraduate Level)

l       Math 481 (Fall 2014, Spring 2016, Spring 2018): Introduction to Stochastic Processes

l       Math 485 (Spring 2017): Introduction to Mathematical Finance

l       Math 540 (Fall 2016, Fall 2017, Fall 2018): Probability (Graduate Level)

l       Math 543 (Spring 2015, Spring 2018): Stochastic Analysis

Conference Organization

l       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.

l       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.

l       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.

l       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.

l       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

l       Applied Math @ IIT, Math @ Rutgers, Math @ Georgia Tech

l       arXiv, MathSciNet

l       Chicago Symphony Orchestra

l       Golden State Warriors, FC Barcelona, Chicago Cubs