Vita and List of Publications of

 

Hongwei Long

Associate Professor

 

Department of Mathematical Sciences

Florida Atlantic University

Boca Raton, Florida 33431

Email: hlong@fau.edu

http://math.fau.edu/long/hlong.htm

Tel: (561) 297-0810

Fax: (561) 297-2436

 

 

 

Research Interests

 

1.      Stochastic Analysis

2.      Stochastic Partial Differential Equations and their Numerical Solutions

3.      Nonlinear Filtering Theory and Applications

4.      Parameter Estimation in Nonlinear Stochastic Systems

5.      Mathematical finance

 

Education

 

Ph.D. Mathematics 1998 University of Warwick, England.

Advisor: David Elworthy

M.A. Mathematics 1990 Chinese Academy of Science, Wuhan, China

Advisor: Li Guo Ping

B.A. Applied Math. 1987 Huangzhong University of Science and Technology,

Wuhan, China

 

 

Professional Experience

 

      8/2010- present Associate Professor, Department of Mathematical Sciences, Florida Atlantic University, Boca Raton, U.S.A.

      8/2004- 7/2010 Assistant Professor, Department of Mathematical Sciences, Florida Atlantic University, Boca Raton, U.S.A.

6/1999-7/2004 Postdoctoral Research Fellow, Department of Mathematical and Statistical Sciences, University of Alberta, Edmonton, Canada

1/1998-5/1999 Postdoctoral Research Fellow, Centro de Matematica e Aplicacoes Fundamentais, Universidade de Lisboa, Portugal

7/1990-10/1994 Research Associate, Wuhan Institute of Mathematical Sciences, Chinese Academy of Sciences, Wuhan, China

 

 

Grants, Fellowships and Academic Awards

  1. PurigeN98 Project on Fuel Efficiency Study, Sponsored by N2 Revolution, 2008-2009.
  2. FAU Start-up Funds at the C. E. Schmidt College of Science, 8/2004-7/2006.
  3. Postdoctoral Fellowships (NSERC, PIMS and MITACS), University of Alberta, Canada,

6/1999-7/2004

  1. Postdoctoral Fellowship, University of Lisbon, Portugal, 1/1998-5/1999
  2. Overseas Research Scholarship and Ella Lam Fellowship, University of Warwick, England, 1994-1997
  3. National Natural Science Foundation of China, Wuhan Institute of Mathematical Sciences, China, 1990-1994
  4. Excellent Student Prize, Huazhong University of Science and Technology, China, 1987.

 

 

Professional Service

 

 

      Referee for

      Acta Mathematica Scientia

      Communications in Statistics: Theory and Methods

      Dynamics of Continuous, Discrete and Impulse Systems

      Electronic Communication in Probability

      Electronic Journal of Probability

      IMA Journal of Management Mathematics

      International Journal of Stochastic Analysis

      Journal of Applied Mathematics and Stochastic Analysis

      Journal of Computational and Applied Mathematics

      Journal of Econometrics

      Mathematics and Computers in Simulation

      SIAM Control and Optimization

      Statistics and Probability Letters

 

 

Conference

 

1. The EPSRC Symposium Workshop on Multi-scale Systems: Theory and Applications, Mathematics Institute, University of Warwick, December 12-16, 2011.

2. Invariant measures for stochastic evolution equations in M-type 2 Banach spaces, the programme Stochastic Partial Differential Equations (SPDEs), Isaac Newton Institute for Mathematical Sciences, University of Cambridge, England, May 6-19, 2010.

3. Organizing (jointly with Dr. Lianfen Qian) a special session on Recent Advances in Probability and Statistics for the 2009 AMS sectional meeting at Florida Atlantic University, Boca Raton, Florida, October 30-November 1, 2009.

4. Least squares estimator for Ornstein-Uhlenbeck processes driven by stable Levy motions, the 2009 John H. Barrett Memorial Lectures, University of Tennessee, Knoxville, April 17-18, 2009.

 5. Least squares estimator for Ornstein-Uhlenbeck processes driven by stable Levy motions, The 32nd SIAM Southeastern-Atlantic Section Conference, University of Central Florida, Orlando, March 14-15, 2008.

 6. On generalizing the classical filtering equations to financial log-stable models, Conference on Martingales, Stochastic Analysis, and Potential Theory, University of Florida, Nov. 10-13, 2005.

 7. Markov chain approximations to filtering equations for reflecting diffusion processes, The Joint Meeting of the Chinese Society of Probability and Statistics and the Institute of Mathematical Statistics, Beijing, China, July 9-12, 2005.

 8. Workshop on Stochastic Partial Differential Equations and Environmental and Geophysical Modeling, University of Wyoming, Laramie, USA, June 13-July 1, 2005.

 9. Mentor for the project Network Security presented by Random Knowledge Inc., the 8th PIMS-MITACS Industrial Problem Solving Workshop, University of British Columbia, Vancouver, Canada, May 17-21, 2004.

 10. On Markov chain approximations to SPDEs driven by Poisson measure noise, Workshop on Stochastic Partial Differential Equations and Related Topics, University of Warwick, United Kingdom, August 4-15, 2003.

 11. Hybrid weighted interacting particle filter for multitarget tracking, SPIEs 17th International Symposium: AeroSense Conference on Signal Processing, Sensor Fusion, and Target

       Recognition XII, Orlando, USA, April 21-25, 2003.

 12. Non-recursive and recursive methods for parameter estimation in filtering problems, SPIEs 17th International Symposium: AeroSense Conference on Signal Processing, Sensor Fusion, and Target Recognition XII, Orlando, USA, April 21-25, 2003

 13. Member of the Organizing Committee (Prof. Robert Elliott, Prof. Tom Kurtz, Prof. Michael Kouritzin, Dr. Hongwei Long), International Conference on Filtering Theory and Applications, Edmonton and Jasper, Canada, July 25-30, 2002.

 14. Markov chain approximations to filtering equations, International Conference on Filtering Theory and Applications, Edmonton and Jasper, Canada, July 25-30, 2002.

 15. IMS Probability Symposium, Banff, Canada, July 31-August 2, 2002.

 16. Markov chain approximations to nonlinear filters, MITACS (The Mathematics of Information Technology and Complex Systems) IT Theme Meeting, Montreal, Canada, November 2001.

 17. MITACS 2nd Annual General Meeting and Conference, Montreal, Canada, May 2001.

 18. Stochastic modelling for polution tracking and filtering in random environments, MITACS IT-Theme Meeting, Vancouver, Canada, November 2000.

 19. Markov chain approximations to stochastic reaction diffusion equations, MITACS 1st Annual Meeting and Conference, Toronto, Canada, May 2000.

 20. International Conference on Infinite Dimensional (Stochastic) Analysis and Quantum Physics, Leipzig, Germany, January 18-22, 1999.

 21. Invariant measures for stochastic evolution equations in M-type 2 Banach spaces, Workshop on Stochastic Evolution Equations, Lisbon, Portugal, May 17-19, 1999.

 22. Invariant measures for stochastic evolution equations in M-type 2 Banach spaces, International Conference on Stochastic Analysis and Mathematical Physics, Lisbon, Portugal, May 24-29, 1999.


Publications

 

A. Completed Papers

 

 

 

1.      (with Lianfen Qian) Nadaraya-Watson estimator for stochastic processes driven by stable Levy motions. Submitted, 2012.

2.      (with Y. Shimizu, and W. Sun) Least squares estimators for discretely observed stochastic processes driven by small Levy noises. Submitted, 2012.

 

 

 

B. Publications

 

1.      (with A. Bensoussan, S. Perera, and S. Sethi) Impulse control with random reaction periods: A central bank intervention problem, Operations Research Letters (2012), doi:10.1016/j.orl.2012.06.12

2.      Parameter estimation for a class of stochastic differential equations driven by small stable noises from discrete observations, Acta Mathematica Scientia, 30B (2010), 645-663.

3.      (with Z. Brzezniak and I. Simao) Invariant measures for stochastic evolution equations in M-type 2 Banach spaces, Journal of Evolution Equations, 10 (2010), 785-810.

4.      Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Levy noises. Statistics and Probability Letters, 79 (2009), 2076-2085.

5.      (with Yaozhong Hu) Least squares estimator for Ornstein-Uhlenbeck processes driven by alpha-stable motions. Stochastic Processes and their Applications, 119 (2009), 2465-2480.

6.      (with Yaozhong Hu) On the singularity of least squares estimator for mean-reverting alpha-stable motions. Acta Mathematica Scientia 29B (2009), 599-608.

7.      (With M. A. Kouritzin) On extending classical filtering equations. Statistics and Probability Letters, 78 (2008), 3195-3202.

8.      (with Yaozhong Hu) Parameter estimation for Ornstein-Uhlenbeck processes driven by alpha-stable Levy motions. Communications on Stochastic Analysis, 1 (2007), 175-192.

9.      (with S.Kim, S. Li and R. Pyke) Analyzing network traffic for malicious activity. Canadian Applied Math. Quarterly 12 (2004), 479-489.

10.  (with M.A. Kouritzin and W. Sun) Markov chain approximations to filtering equations for reflecting diffusion processes. Stochastic Processes and their Applications 110 (2004), 275-294.

11.  (with I. Simao) A note on the essentail self-adjointness of Ornstein-Uhlenbeck operators perturbed by a dissipative drift and a potential. Infinite Dimensional Analysis, Quantum Probability and Related Topics 7 (2004), 249-259.

12.  (with I. Simao) Essential self-adjointness of Ornstein-Uhlenbeck operators perturbed by certain drifts and singular potentials. Communications in Applied Analysis 8 (2004), 167-184.

13.  (with S. Kim, M.A. Kouritzin, J. McMcrosky and X. Zhao) A stochastic grid filter for multi-target tracking. The Proceedings of SPIE Defense and Security Symposium on Signal Processing, Sensor Fusion, and Target Recognition XIII, Volume 5429, Ed. By I. Kadar, Orlando, USA, 2004, pp. 245-253.

14.  (with M.A. Kouritzin and W. Sun) Nonlinear filtering for diffusions in random environments. Journal of Theoretical Probability 16 (2003), 1-20.

15.  (with M.A. Kouritzin and W. Sun) On Markov chain approximations to semi-linear partial differential equations driven by Poisson measure noise. Stochastic Analysis and Applications 21 (2003), 419-441.

16.  (with M.A. Kouritzin, X. Ma and W. Sun) Non-recursive and recursive methods for parameter estimation in filtering problems. The Proceedings of SPIE AeroSense Conference on Signal Processing, Sensor Fusion, and Target Recognition XII, Volume 5096, Ed. By I. Kadar, Orlando, USA, 2003, pp. 585-596.

17.  (with D. Ballantyne, M.A. Kouritzin, J. Hailes and J. Wiersma) A hybrid weighted interacting particle filter for multi-target tracking. The Proceedings of SPIE AeroSense Conference on Signal Processing, Sensor Fusion, and Target Recognition XII, Volume 5096, Ed. By I. Kadar, Orlando, USA, 2003, pp. 244-255.

18.  (with M.A. Kouritzin) Convergence of Markov chain approximations to stochastic reaction diffusion equations. The Annals of Applied Probability 12 (2002), 1039-1070.

19.  (with D. Ballantyne, M.A. Kouritzin and W. Sun) Discrete space particle filters for reflecting diffusions. The Proceeding of 2002 IEEE Aerospace Conference, Big Sky, MT, March 9-16, 2002.

20.  (with I. Simao) On the essential self-adjointness of perturbed Ornstein-Uhlenbeck operators on Hilbert spaces. Communications in Applied Analysis 5 (2001), 371-382.

21.  An approximation criterion for essential self-adjointness of Dirichlet operators on certain Banach spaces. Potential Analysis 13 (2000), 409-421.

22.  Necessary and sufficient conditions for the symmetrizability of differential operators over infinite dimensional state spaces. Forum Mathematicum 12 (2000), 167-196.

23.  (with I. Simao) Kolmogorov equations in Hilbert spaces with application to essential self-adjointness of symmetric diffusion operators. Osaka J. Math. 37 (2000), 185-202.

24.  Kato's inequality and essential self-adjointness of Dirichlket operators on certain Banach spaces. Stochastic Analysis and Applications 16 (1998), 1019-1047.

25.  Anticipating quadrant and symmetric integrals in the plane with application to Wiener space. Acta. Math. Sci. 17 (1997), 1-11.

26.  On the rate of convergence in the central limit theorem for two-parameter martingale differences. Acta Math. Sci. 16 (1996), no. 3, 287-295.

27.  The pathwise uniqueness of solutions of non-Markovian stochastic differential equations with jumps in plane. Chinese Science Bulletin 39 (1994), 1853-1858.

28.  The approximation theorem of stochastic differential equations in the plane. Acta. Math. Sci. 14 (1994), 272-282.

29.  (with Y. Hu) Symmetric integral and the approximation theorem of stochastic integrals in the plane. Acta Math. Sci. 13 (1993), 153-166.

30.  On the -optimal control of stochastic differential equations in the plane. In: Development of Enterprises and System Engineering, Ed. By Chinese Association of System Engineering, pp. 428-438, Chinese Science and Technology Press, 1992 (in Chinese).

 

 

 

Teaching Experience

 

I have taught undergraduate and graduate courses at Florida Atlantic University, University of Alberta, and University of Lisbon.

 

I have introduced one new special topics course at Florida Atlantic University: Stochastic Calculus.

I have two Ph.D. students who successfully defended their dissertations and graduated in August 2009. I have introduced a new track: Financial Mathematics track into the graduate program in Applied Mathematics and Statistics. I am currently supervising about 5 master students in the Financial Mathematics track.

 

The courses I have taught at Florida Atlantic University with summary of student evaluation are listed as follows.

Student Evaluation at Florida Atlantic University

 

Course Name

STA 6444-001, Mathematical Probability

STA 6446-001, Mathematical Probability II

STA 6444-001, Mathematical Probability

STA 6206-001, Stat. Mathod/Envirn. Science

STA 6326-001, Mathematical Statistics

STA 2023-004, Introductory Statistics

STA 4442-001, Probability and Statistics I

STA 4442-001, Probability and Statistics I

STA 6446-002, Stochastic Calculus

STA 4032-002, Probability and Statistics-Engineer

STA 6326-001, Mathematical Statistics

STA 6446-001, Regression Analysis

STA 4442-001, Probability and Statistics I

STA 6446-001, Topics in Probability Theory

STA 4443-001, Probability and Statistics II

STA 6446-001, Applied Time Series

STA 4032-001, Probability and Statistics-Engineer

STA 6444-001, Mathematical Probability

MAC 2311-002, Calculus-Analytic Geometry 1

STA 4443-001, Probability and Statistics 2

STA 4930-001, Mathematical Statistics

STA 6326-001, Mathematical Statistics

Semester

Fall/2004

Spring/2005

Fall/2005

Fall/2005

Spring/2006

Spring/2006

Summer/2006

Fall/2006

Fall/2006

Spring/2007

Spring/2007

Summer/2007

Fall/2007

Fall/2007

Spring/2008

Spring/2008

Summer/2008

Fall/2008

Fall/2008

Spring/2009

Spring/2009

Spring/2009

 

 

Average*

Item 8: 1.18

N/A

N/A

N/A

Item 20: 1.2; Item 21: 1.3

Item 20: 3.6; Item 21: 3.8

Item 20: 1.4; Item 21: 1.5

Item 20: 1.3; Item 21: 1.8

Item 20: 1.3; Item 21: 1.3

Item 20: 2.82; Item 21:3.36

Item 20: 1.67; Item 21:1.33

Item 20: 1.29; Item 21:1.43

Item 20: 1.60; Item 21: 1.60

Item 20: 1.17; Item 21: 1.00

Item 20: 1.50; Item 21: 1.50

N/A

Item 20: 1.72; Item 21: 2.00

Item 20: 1.6; Item 21: 2.0

Item 20: 2.3; Item 21: 2.1

Item 20: 1.4; Item 21: 1.6

Item 20: 1.4; Item 21: 1.4

Item 20: 1.2; Item 21: 1.8

 

 

* The above last column is the average of student evaluation on teaching effectiveness. The scale is from a low of 5 to a high of 1.


Ph.D. Dissertation Students

  1. Winston Buckley, Sept. 2005-August. 2009, completed dissertation defense on April 30, 2009, Florida Atlantic University. Dissertation Title: Asymmetric Information in Fads Models in Levy Markets.
  2. Sandun Perera, Sept. 2005-August 2009, completed dissertation defense on July 7, 2009, Florida Atlantic University. Dissertation Title: Stochastic Optimal Impulse Control of Jump Diffusions with Application to Exchange Rate.