Yuan-Chung Sheu ( 中文版 )

Professor of Applied Mathematics

Contact information

Tel: +886-3-571-2121 ext. 56428Fax: +886-3-572-4679Address: Department of Applied mathematics, National Yang Ming Chiao Tung University, Hsinchu, Taiwan 30050.

Teaching

- Spring Semester, 2022

- Probability Theory
- Complex Analysis
- Fall Semester, 2022

- Probability Theory (undergraduate level)
- Advanced Probability Theory (graduate level)

Vitae

- Education

- Ph.D. in Mathematics, Cornell University, 1993.
- Research Areas

- Probability Theory & Applications.
- Positions, Honors and Awards

- Associate Professor of Mathematics, NCTU, 1993~1998
- Professor of Mathematics, NCTU, 1999~
- General Member, MSRI at Berkeley, 1997~1998
- Chair, Mathematics Department, NCTU, 2001~2003
- Associate Editor, Taiwanese Journal of Mathematics, 2004~2013
- Visiting Scholar, University of Washington, Seattle, USA, 2006~2007
- Associate Dean, College of Science, NCTU, 2005~2006, 2007~2008
- Vice President, Taiwanese Mathematical Society, 2012~2013
- Editor, Advances and Applications in Statistics, 2012~

Publications

- A Hausdroff measure classification of G-Polar sets for the superdiffusions, Probab. Theory Relat.Fields, 95, 521-533 (1993).
- Asymptotic behaviour of superprocesses, Stochastics and Stochastics Reports, Vol. 49, 239-252 (1994).
- Removable boundary singularities of solutions of some nonlinear differential equations, Duke Math., 74, 701-711 (1994)
- On positive solutions of some nonlinear differential equation-a probablistic approach, Stochastic Processes and their Applications, 59, 43-53 (1995)
- On states of exit measures for superdiffusions, Ann. Probab., 24, 268-279 (1996).
- Life time and compactness of range for super-Brownian motion with a general branching mechanism, Stochastic Processes and their Applications, 70, 129-141 (1997).
- On a problem of Dynkin, Proceedings of the AMS, 127, 3721-3728 (1999).
- A Hausdorff measure classification of polar lateral boundary sets for superdiffusions, Mathematical Proceedings of Cambridge Philosophical Society, 128, 549-560 (2000).
- On the Log-Sobolev Constant for the Simple Random Walk on the n-cycle: The Even Cases, Journal of Functional Analysis, 202, 473-485 (2003).
- The least cost super replication portfolio for short puts and calls in Boyle-Vorst option pricing model with transition cost, Advances in Quantitative Analysis and Accounting, 5, 1-22 (2007) .(jointly with Guan-Yu Chen and Ken Palmer)
- An ODE approach for the expected discounted penalty at ruin in a jump-diffusion model, Finance and Stochastics, 11, 323-355 (2007). (jointly with Yu-Ting Chen and Cheng-Few Lee)
- The least cost super replicating portfolio in the Boyle-Vorst discrete-time option pricing model with transaction costs. International Journal of Theoretical and Applied Finance, Vol. 11, No.1, 55-85(2008).(jointly with Guan-Yu Chen and Ken Palmer)
- An integral equation approach for defaultable bond prices with applications to credit spreads, J. Appl. Prob. 46, 71-84 (2009). (jointly with Yu-Ting Chen and Cheng-Few Lee)
- A generalized renewal equation for two-sided jump-diffusion models, Stochastic Analysis and Applications, 27,897-910 (2009) (jointly with Yu-Ting Chen)
- A note on r-balayages of matrix-exponetial Levy processes, Elect. Comm. in Probab. 14(2009), 165-175 (jointly with Yu-Ting Chen)
- A Generalized Model for Optimum Future Hedge. Handbbok of Quantitative Finance and Accounting, Lee,Cheng-Few, Lee, John(Eds.), Springer, 873-852(2010).(jointly with Jang-Yi Lee, Kehluh Wang, and Cheng-Few Lee)
- On the discounted penalty at ruin in a jump-diffusion model, Taiwanese Journal of Mathematics, 14, 1337-1350(2010)(jointly with Yu-Ting Chen)
- On optimal stopping problems for matrix-exponential Levy processes(jointly with Ming-Yao Tsai). Journal of Applied Probability, 49,531-548(2012).
- The cutoff phenomenon for Ehrenfest chains(jointly with Guan-Yu Chen and Yang-Jen Fang). Stochastic Processes and Their Applications 122 (2012), 2830-2853.
- A note on Gerber-Shiu function for hyper-exponential jump-diffusion processes(jointly with Yu-Ting Chen and Ming-Chi Chang), Elect. Comm. in Probab.18 (2013), No.2, 1-8
- Free boundary problems and perpetual American strangles(jointly with Ming-Chi Chang), Quantitative Finance 13(2013), No.08, 1149-1155.
- Disorder chaos in the spherical mean-field model (jointly with Wei-Kuo Chen, Hsin-Wei Hsieh and Chi-Ruey Huaung), Journal of Statistical Physics (2015), 160; 417-729.
- Pricing perpetual American compound options under a matrix-expoenetial jump-diffusion model (jointly with Ming-Chi Chang and Ming-Yao Tsai), Applied Mathematical Finance, 22 (2015), 553-575.
- First exit from an open set for a matrix-valued Levy process (jointly with Yu-Ting Chen and Yu-Tzu Chen), Statistics and Probability Letters, 127, 104-110 (2017).
- The L2-Cutoff for reversible Markov Chain (jointly with Guan-Yu Chen and Jui-Ming Hsu). Annals of Applied Probability, 27, 2304-2341 (2017).
- Diffuse to fuse EEG spectra -- intrinsic geometry of sleep dynamics for classification(jointly with Gi-Ren Liu, Yu-Lun Lo, John Malik, Hau-tieng Wu), Biomedical Signal Processing and Control, 55 (2020), 101576.
- Explore intrinsic geometry of sleep dynamics and predict sleep stage by unsupervised learning techniques (jointly with Gi-Ren Liu, Yu-Lun Lo, Hau-Tieng Wu), Book chapter, Harmonic Analysis and Applications, Springer, 2021, 279-324.
- Save muscle information - unfiltered EEG signal helps distinguish sleep stages (jointly with C. Lustenberger, Y. L. Lo, W. T. Liu and H. T. Wu) Sensors 20 (2020).
- Large scale assesment of consistency in sleep stage scoring rules among multiple sleep centers using an interpretable machine learning algorithm (jointly with Gi-Ren Liu, Yu-Lun Lo, Hau-Tieng Wu and et al.) Journal of Clinical Sleep Medicine, Vol. 17, No 2 (2021), 159-166
- Asymptotic Analysis of Higher-order Scattering Transform of Gaussian Processes (jointly with Gi-Ren Liu and Hau-Tieng Wu) Electronic Journal of Probability, Vol. 27, paper no. 48, 1-27 (2022).
- Central and Non-central Limit Theorems arising from the Scattering Transform and its Neural Activation Generalization (jointly with Gi-Ren Liu and Hau-Tieng Wu), SIAM Journal on Mathematical Analysis. In Press(2022)
- Matrix Deviation Inequality for lp-Norm (jointly with Te-Chun Wang), preprint (2022)
- When Scattering Transform Meets Non-Gaussian Random Processes, a Double Scaling Limit Result(jointly with Gi-Ren Liu and Hau-Tieng Wu), preprint (2021)

Update. 4/21/2022