Dr. PANG, Tao's page

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Department of Mathematics	College of Physical and Mathematical Sciences
Dr. Tao Pang Associate Professor Department of Mathematics North Carolina State University Box 8205 Raleigh, NC 27695 --------------------------------------------------------- Co-Director, GARP NC Chapter Financial Risk Manager (FRM)		Office: SAS Hall, Room 4116 Address: 2311 Stinson Drive Phone: (919) 513-2110 Fax: (919) 513-7336 Email: tpang at ncsu dot edu
Education: Ph.D. in Applied Mathematics, Brown University, May, 2002. M.S. in Mathematics, University of Science and Technology of China, July 1997 B.S. in Mathematics, University of Science and Technology of China, July 1994 Research Interests: Financial Mathematics, Stochastic Control Theory, Operations Research. Teaching Publications: A stochastic portfolio optimization model with bounded memory (with Mou-Hsiung Chang and Yipeng Yang), to appear on Mathematics of Operations Research (2011). An Approximation Scheme for Black-Scholes Equations with Delays (with Mou-Hsiung Chang and Moustapha Pemy), Journal of Systems Science and Complexity , Vol. 23, No. 3, 438-455 (2010). Optimal Stopping Problem for Stochastic Differential Equations with Random Coefficients (with Mou-Hsiung Chang and Jiongmin Yong), SIAM Journal on Control and Optimization Vol. 48, No. 2, 941-971 (2009). 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). 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). 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). Viscosity Solutions of Optimal Stopping Problem for Stochastic Systems with Delays (with Mou-Hsiung Chang and Moustapha Pemy), submitted (2008). Stochastic portfolio optimization with log utility, International Journal of Theoretical and Applied Finance, Vol. 9, No. 6, 869-887 (2006) 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) Viscosity solutions of infinite dimensional Black-Scholes equation and numerical approximations (with Mou-Hsiung Chang and Moustapha Pemy), submitted (2006). A stochastic control model of investment, production and consumption (with Wendell Fleming), Quarterly of Applied Mathematics, Vol. 63, 71-87 (2005). 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). Portfolio optimization models on infinite time horizon, Journal of Optimization Theory and Applications, Vol. 122, No 3, 573-597 (2004). 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: Financial Mathematics at NCSU Operations Research at NCSU Center for Research in Scientific Computation at NCSU SAMSI				LINKS
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