1200 W Harrison St
Chicago, IL 60607
United States
http://www.math.uic.edu/~hanson
University of Illinois at Chicago
Jump-diffusions, Wiener processes, Poisson processes, random jump amplitudes, stochastic differential equations, stochastic chain rules, stochastic optimal control, financial applications, bio-medical applications
optimal-portfolio problem, stochastic-volatility, jump-diffusion, finite markets, jump-bankruptcy condition, double-uniform jump-amplitudes, non-negative-variance verification
optimal-portfolio problem, stochastic-jump-volatility, jump-diffusion; finite markets, jump-bankruptcy condition, double-exponential jump-amplitudes
option pricing, jump-diffusion model, Monte Carlo method, antithetic variates, optimal control variates, variance reduction
