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Chao Zhu

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.
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. Appl. 12.12 (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 Optimization 55.6 (2017): 3458–3488.
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.
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.
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.
Zhu, Chao. “Optimal control of risk process in a regime-switching environment.” Automatica 47.8 (2011): 1570–1579.
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.
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