Probability, Stochastic Processes and Financial Mathematics

Probability theory, a well-established branch of mathematics, provides the mathematical framework for the study of random phenomena arising in nature and many aspects of modern life. The powerful methods and ideas developed in probability theory naturally interact with other research areas ranging from number theory to algebraic geometry within mathematics and from statistical physics to quantitative psychology outside mathematics.

The interests of faculty in the NC State Probability, Stochastic Processes and Financial Mathematics group include spectral analysis on random matrices, random signal processing, stochastic control theory, financial risk analysis, interacting particle systems, stochastic analysis and nonlinear filtering theory.

KI

Kazufumi Ito

Professor


Optimal control and inverse problems for partial differential equations, control of Navier-Stokes equations, numerical partial differential equations, nonlinear semigroup theory, dynamical systems in Banach spaces, stochastic differential equations and applications, applied functional analysis.

Min Kang

Associate Professor, Director of Mathematics Honors Program


Probability theory and stochastic analysis, interacting particle systems, partial differential equations.

Tao Pang

Professor, Director of Financial Mathematics Graduate Program


Stochastic control, probability, mathematical finance.

Jeff Scroggs

Emeritus Professor


Numerical analysis, financial mathematics, scientific computation, partial differential equations.

Jack Silverstein

Professor


Probability theory. Main area of interest: Spectral properties of large dimensional random matrices