Vita and List of Publications of

Hongwei Long

Department of Mathematical Sciences

FloridaAtlanticUniversity

Boca Raton, Florida33431

Email:

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

Education

Ph.D.Mathematics1998University of Warwick, England.

Advisor: David Elworthy

M.A.Mathematics1990Chinese Academy of Science, Wuhan, China

Advisor: Li Guo Ping

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

Wuhan, China

Professional Experience

8/2004- present Assistant Professor, Department of Mathematical Sciences, Florida

AtalnticUniversity, Boca Raton, U.S.A.

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

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

7/1990-10/1994Research 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.SchmidtCollege of Science, 8/2004-7/2006.
  3. Postdoctoral Fellowships (NSERC, PIMS and MITACS), University of Alberta, Canada,

6/1999-7/2004

4. Postdoctoral Fellowship, University of Lisbon, Portugal, 1/1998-5/1999

5. Overseas Research Scholarship and Ella Lam Fellowship, University of Warwick,

England, 1994-1997

  1. National Natural Science Foundation of China, Wuhan Institute of Mathematical

Sciences, China, 1990-1994

7. Excellent Student Prize, Huazhong University of Science and Technology, China, 1987

Professional Service

Referee for

SIAM Control and Optimization

Electronic Communication in Probability

Journal of Applied Mathematics and Stochastic Analysis

Dynamics of Continuous, Discrete and Impulse Systems

Mathematics and Computers in Simulation

Acta Mathematica Scientia

Conference

1. 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.

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

3. 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.

4. 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.

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

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

7. 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.

8. Hybrid weighted interacting particle filter for multitarget tracking,SPIE’s 17th International Symposium: AeroSense Conference on Signal Processing, Sensor Fusion, and Target RecognitionXII, Orlando, USA, April 21-25, 2003.

9. Non-recursive and recursive methods for parameter estimation in filteringproblems, SPIE’s 17th International Symposium: AeroSense Conference on Signal Processing, Sensor Fusion, and Target RecognitionXII, Orlando, USA, April 21-25, 2003

10. 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.

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

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

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

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

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

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

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

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

19.Invariantmeasures 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.
  2. (with D. Brzezniak and I. Simao) Invariant measures for stochastic evolution equations in M-type 2 Banach spaces. Submitted.

B. Publications

  1. Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Levy noises. Statistics and Probability Letters, 10.1016/j.spl.2009.06.018.
  2. (with YaozhongHu) Least squares estimator for Ornstein-Uhlenbeck processes driven by alpha-stable motions. Stochastic Processes and their Applications, 119 (2009), 2465-2480.
  3. (with Yaozhong Hu) On the singularity of least squares estimator for mean-reverting alpha-stable motions. Acta Mathematica Scientia 29B(2009), 599-608.
  4. (With M. A. Kouritzin) On extending classical filtering equations. Statistics and

Probability Letters, 78 (2008), 3195-3202.

  1. (with Yaozhong Hu) Parameter estimation for Ornstein-Uhlenbeck processes driven by alpha-stable Levy motions. Communications on Stochastic Analysis, 1 (2007), 175-192.
  2. (with S.Kim, S. Li and R. Pyke) Analyzing network traffic for malicious activity. Canadian Applied Math. Quarterly 12 (2004), 479-489.
  3. (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.
  4. (withI. 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.
  5. (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.
  6. (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.
  1. (with M.A. Kouritzin and W. Sun) Nonlinear filtering for diffusions in random environments. Journal of Theoretical Probability 16 (2003), 1-20.
  2. (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.
  3. (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.
  4. (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.
  5. (with M.A. Kouritzin) Convergence of Markov chain approximations to stochastic reaction diffusion equations. The Annals of Applied Probability 12 (2002), 1039-1070.
  6. (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.
  7. (with I. Simao) On the essential self-adjointness of perturbed Ornstein-Uhlenbeck operators on Hilbert spaces. Communications in Applied Analysis 5 (2001), 371-382.
  8. An approximation criterion for essential self-adjointness of Dirichlet operators on certain Banach spaces. Potential Analysis 13 (2000), 409-421.
  9. Necessary and sufficient conditions for the symmetrizability of differential operators over infinite dimensional state spaces. Forum Mathematicum 12 (2000), 167-196.
  10. (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.
  11. Kato’s inequality and essential self-adjointness of Dirichlket operators on certain Banach spaces. Stochastic Analysis and Applications 16 (1998), 1019-1047.
  12. Anticipating quadrant and symmetric integrals in the plane with application to Wiener space. Acta. Math. Sci. 17 (1997), 1-11.
  13. On the rate of convergence in the central limit theorem for two-parameter martingale differences. Acta Math. Sci. 16 (1996), no. 3, 287-295.
  14. The pathwise uniqueness of solutions of non-Markovian stochastic differential equations with jumps in plane. Chinese Science Bulletin 39 (1994), 1853-1858.
  15. The approximation theorem of stochastic differential equations in the plane. Acta. Math. Sci. 14 (1994), 272-282.
  16. (with Y. Hu) Symmetric integral and the approximation theorem of stochastic integrals in the plane. Acta Math. Sci. 13 (1993), 153-166.
  17. 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 Chniese).

Teaching Experience

I have taught undergraduate and graduate courses atFloridaAtlanticUniversity, University of Alberta, and University of Lisbon.

I have introduced one new special topics courseatFloridaAtlanticUniversity: Stochastic Calculus.

I have two Ph.D students who have successfully defended their dissertations and are expected to graduate 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 FloridaAtlanticUniversitywith summary of student evaluation are listed as follows.

Student Evaluation From FloridaAtlanticUniversity

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*
Item8: 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-present, completed dissertation defense on April 30, 2009 and is expected to graduate in August 2009, FloridaAtlanticUniversity. Dissertation Title: Asymmetric Information in Fads Models in Levy Markets.
  2. Sandun Perera, Sept. 2005-present, completed dissertation defense on July 7, 2009 and is expected to graduate in August 2009, FloridaAtlanticUniversity. Dissertation Title: Stochastic Optimal Impulse Control of Jump Diffusions with Application to Exchange Rate.