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Chao Zhu

Associate Professor
Mathematical Sciences - General
 Eng & Math Sciences E489
FacultyProbability & Stochastic Analysis Research Group

Educational Degrees

  • PhD, Wayne State University, 2007
  • MS, East China Normal University, Shanghai, 2002
  • BS, East China Normal University, Shanghai,1999

Research Interests

  • Applied probability and stochastic processes
  • Actuarial sciences and finance
  • Computational linear algebra
  • Mathematical statistics

Selected Publications

Helmes, Kurt, Stockbridge, Richard, and Zhu, Chao. “Continuous Inventory Models of Diffusion Type: Long-term Average Cost Criterion.” Annals of Applied Probability. 46 pages.
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 Optimization 55.3 1789–-1818.
Chao, Zhen, Wang, Kai, Zhu, Chao, and Zhu, Yanking. “Almost Sure and Moment Exponential Stability of Regime-Switching Jump Diffusions.” SIAM J. Control and Optimization 55.6 (2017): 3458–3488.
Nguyen, Dang Hai, Yin, George, and Zhu, Chao. “Certain Properties Related to Well Posedness of Switching Diffusions.” Stochastic Process. Appl. 127.10 (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 Applications 451. (2017): 448-472.
Weerasinghe, Ananda, and Zhu, Chao. “Optimal Inventory Control with Path-Dependent Cost Criteria.” Stochastic Process. Appl. 126. (2016): 1585-1621.
Song, Qingshuo, and Zhu, Chao. “On Singular Control Problems with State Constraints and Regime-Switching: A Viscosity Solution Approach.” Automatica 70. (2016): 66-73.
Helmes, Kurt L., Stockbridge, Richard, and Zhu, Chao. “A Measure Approach for Continuous Inventory Models: Discounted Cost Criterion.” SIAM Journal on Control and Optimization 53. (2015): 2100-2140.
Zhu, Chao, Yin, George, and Baran, Nick. “Feynman-Kac formulas for regime-switching jump diffusions and their applications.” Stochastics 87.6 (2015): 1000-1032.
Song, Qingshuo, Yin, George, and Zhu, Chao. “Optimal Switching with Constraints and Utility Maximization of an Indivisible Market.” SIAM J. Control Optim. 50.2 (2012): 629–651.
Song, Qingshuo, Stockbridge, Richard, and Zhu, Chao. “On Optimal Harvesting Problems in Random Environments.” SIAM Journal on Control and Optimization 49.2 (2011): 830–858.
Zhu, Chao. “Optimal control of risk process in a regime-switching environment.” Automatica 47.8 (2011): 1570–1579.
Yin, George, and Zhu, Chao. “Hybrid Switching Diffusions: Properties and Applications.” Stochastic Modeling and Applied Probability 63. Springer, (2010): xviii+395 pp.

Chao Zhu on MathSciNet