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Dr. Tao Pang
Assistant Professor
Department of Mathematics
North Carolina State University
Box 8205
Raleigh, NC 27695
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Office: Harrelson Hall, Room 226
Phone: (919) 513-2110
Fax: (919) 513-7336
Email:
tpang at ncsu dot edu
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Teaching:
Education:
Research Interests:
Financial Mathematics,
Stochastic Control Theory, Operations Research.
Publications:
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Finite difference
approximations for stochastic control systems with delay (with Mou-Hsiung Chang and
Moustapha Pemy),
Stochastic
Analysis and Applications Vol. 26, No. 3, 451-470 (2008).
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Optimal control of stochastic
functional differential equations with a bounded memory (with Mou-Hsiung Chang and
Moustapha Pemy),
Stochastics: An
International Journal of Probability and Stochastic Processes,
Vol. 80, No. 1, 69-96 (2008).
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Finite difference
approximation for stochastic optimal stopping problems with delays
(with Mou-Hsiung Chang and
Moustapha Pemy),
Journal of
Industrial and Management Optimization, Vol. 4, No. 2, 227-246 (2008).
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Viscosity Solutions of Optimal
Stopping Problem for Stochastic Systems with Delays (with Mou-Hsiung Chang and
Moustapha Pemy), submitted (2008).
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Optimal Stopping Problem for
Stochastic Differential Equations with Random Coefficients (with Mou-Hsiung
Chang and Jiongmin Yong), submitted (2007).
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Stochastic portfolio optimization with
log utility,
International Journal of
Theoretical and Applied Finance, Vol.
9, No.
6, 869-887 (2006)
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Stochastic optimal control problems with
a bounded memory (with Mou-Hsiung Chang and
Moustapha Pemy), Operations
Research and Its Applications, Lecture Notes in Operations Research 6,
82-94 (2006)
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Viscosity solutions of infinite
dimensional Black-Scholes equation and numerical approximations
(with Mou-Hsiung Chang and
Moustapha Pemy), submitted (2006).
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A
stochastic control model
of investment, production and consumption (with Wendell Fleming),
Quarterly of
Applied Mathematics, Vol. 63, 71-87
(2005).
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An application of
stochastic
control theory to financial economics (with Wendell Fleming), SIAM Journal on Control and Optimization,
Vol. 43, No.2, 502-531
(2004).
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Portfolio
optimization models
on infinite time horizon,
Journal of
Optimization
Theory and Applications, Vol. 122, No 3, 573-597 (2004).
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Global smooth solutions and large time behavior
of
the one-dimensional Navier-Stokes equations,
Journal of
Mathematical Analysis
and Applications 235, 395-417(1999).
Useful Links:
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