Chao Zhu
- Professor, Mathematical Sciences
Education
- PhD, Wayne State University, 2007
- MS, East China Normal University, Shanghai, 2002
- BS, East China Normal University, Shanghai,1999
Teaching Schedule
| Course Num | Title | Meets |
|---|---|---|
| ACTSCI 891-001 | Actuarial Risk Theory | MW 10am-11:15am |
| MATH 884-001 | Stochastic Calculus and Applications | MW 2:30pm-3:45pm |
| MATH 899-003 | Seminar in Advanced Mathematics Probability and Statistics | MW 11:30am-12:45pm |
| MTHSTAT 215-008 | Elementary Statistical Analysis | MW 5:30pm-6:45pm |
Research Interests
- Applied probability and stochastic processes
- Actuarial sciences and finance
- Computational linear algebra
- Mathematical statistics
Selected Publications
Xi, Fubao, and Zhu, Chao. “On Feller and Strong Feller Properties and Exponential Ergodicity of Regime-Switching Jump Diffusion Processes with Countable Regimes” SIAM J. Control and Optimization55.3 (): 1789–-1818.
Xi, Fubao, and Zhu, Chao. “Jump type stochastic differential equations with non-Lipschitz coefficients: Non-confluence, Feller and strong Feller properties, and exponential ergodicity” Journal of Differential Equations(2018).
Xi, Fubao, and Zhu, Chao. “On the Martingale Problem and Feller and Strong Feller Properties for Weakly Coupled Lévy Type Operators” Stochastic Process. Appl12.12 (2018).
Chao, Zhen, Wang, Kai, Zhu, Chao, and Zhu, Yanking. “Almost Sure and Moment Exponential Stability of Regime-Switching Jump Diffusions” SIAM J. Control and Optimization55.6 (2017): 3458–3488.
Nguyen, Dang Hai, Yin, George, and Zhu, Chao. “Certain Properties Related to Well Posedness of Switching Diffusions” Stochastic Process. Appl127.10 (2017): 3135-3158.
Chen, Xiaoshan, Huang, Yu-Jui, Song, Qingshuo, and Zhu, Chao. “The Stochastic Solution to a Cauchy Problem for Degenerate Parabolic Equations” Journal of Mathematical Analysis and Applications451. (2017): 448-472.
Helmes, Kurt, Stockbridge, Richard, and Zhu, Chao. “Continuous Inventory Models of Diffusion Type: Long-term Average Cost Criterion” Annals of Applied Probability27. (2017): 1831--1885.
Song, Qingshuo, and Zhu, Chao. “On Singular Control Problems with State Constraints and Regime-Switching: A Viscosity Solution Approach” Automatica70. (2016): 66-73.
Weerasinghe, Ananda, and Zhu, Chao. “Optimal Inventory Control with Path-Dependent Cost Criteria” Stochastic Process. Appl126. (2016): 1585-1621.
Zhu, Chao, Yin, George, and Baran, Nick. “Feynman-Kac formulas for regime-switching jump diffusions and their applications” Stochastics87.6 (2015): 1000-1032.
Helmes, Kurt L., Stockbridge, Richard, and Zhu, Chao. “A Measure Approach for Continuous Inventory Models: Discounted Cost Criterion” SIAM Journal on Control and Optimization53. (2015): 2100-2140.
Song, Qingshuo, Yin, George, and Zhu, Chao. “Optimal Switching with Constraints and Utility Maximization of an Indivisible Market” SIAM J. Control Optim50.2 (2012): 629--651.
Zhu, Chao. “Optimal control of risk process in a regime-switching environment” Automatica47.8 (2011): 1570--1579.
Song, Qingshuo, Stockbridge, Richard, and Zhu, Chao. “On Optimal Harvesting Problems in Random Environments” SIAM Journal on Control and Optimization49.2 (2011): 830--858.
Yin, George, and Zhu, Chao. “Hybrid Switching Diffusions: Properties and Applications” Stochastic Modeling and Applied Probability 63. Springer. (2010): xviii+395 pp.