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Sheu, Shuenn-Jyi

photo Shuenn-Jyi Sheu received B.S. from Department of Mathematics, National Central University in 1975 and M.S. from National Taiwan University in 1977. In 1979, he came to Brown University for the graduate study in Mathematics and received his Ph.D. in 1982. Afterward he was a visiting assistant professor in the Division of Applied Mathematics, Brown University for one year. In 1983, he joined the Institute of Mathematics, Academia Sinica as an Associate Research Fellow. From 1986, he is a Research Fellow .

　　Dr. Sheu major research interest is the applications of stochastic analysis. In the past few years, he has done some works on the problems related to the large deviation theory as well as on the use of control method to study the problems related to Markov processes including diffusion processes. He also works on some mathematical problems arised from Monte Carlo method. 　

Publications :

1.　 (with Tzuu-Shuh Chiang) Large deviation of small perturbation of some unstable systems15(1997), 31-50., Journal of Stochastic Analysis and Application.(1997), no. 15, 31-50.
2.　 (with W. H. Fleming) Asymptotics for the principal eigenvalue and eigen function of a nearly first order operator with large potential25(1997), 1953-1994., Annals of Probability(1997), no. 25, 1953-1994.
3.　 (with Chii-Ruey Hwang) On the geometrical convergence of Gibbs Sampler in Rd, Journal of Multivariate Analysis(1998), no. 66, 22-37.
4.　 (with A. D. Wentzell) On the solutions of an equation arising from the singular limit of some eigen problems, Stoch. Anal., Control, Optim. Appl., A volume in Honor of W. H. Fleming, Birkhaeuser, Boston.(1999), 135-151.
5.　 (with W.H.Fleming) Optimal long term growth rate of expected utility of wealth, Annals of Applied Probability(1999), no. 9, 871-903.
6.　 (with M. Freidlin) Diffusion processes on graphs: stochastic differential equations, large deviation principle, 116(2000), 181-220., Probability Theory and Related Fields(2000), no. 116, 181-220.
7.　 (with Tzuu-Shuh Chiang) Large deviations for diffusion processes and occupation times with discontinuous, Annals of Probability(2000), no. 28, 140-165.
8.　 (with A. Date ! Chii-Ruey Hwang) On the expected number of equilibrium states in some neural networks, 49(2000), 291-297.., Statistics and Probabability Letter(2000), no. 49, 291-297.
9.　 (with W. H. Fleming) Risk-sensitive control and an optimal investment model, Math. Finance, 10(2000), 197-213.(2000), no. 10, 197-213
10.　 (with T.-S. Chiang) (2002) Small perturbation of diffusions in inhomogeneous media, 3(2002), 285-318., Annales DE L'Institut Henri Poincare(2002), no. 3, 285-318.
11.　 (with W. H. Fleming) Risk sensitive control and an investment model(II), Annals of Applied Probability(2002), no. 12, 730-767.
12.　 (with H. Kaise) Risk sensitive optimal investment: solutions for the dynamical programming equation, Mathematics of Finance, Contemporary Mathematics AMS(2004), no. 351, 217-230.
13.　 (with C. R. Hwang!S. Y. Hwang-Ma) Accelerating Diffusions, Annals of Applied Probability(2005), no. 15, 1433-1444.
14.　 (with T. R. Bielecki ! S. R. Pliska) Risk sensitive portfolio management with Cox-Ingersoll-Ross interest rates, SIAM Journal of Control and Optimization.(2005), no. 44, 1811-1843.
15.　 (with H. Kaise) Differential games of inf-sup type and Issacs equations, Applied Mathematics and Optimization.(2005), no. 52, 1-22.
16.　 (with H. Kaise) Evaluation of large time expectations for diffusion processes(2005)
17.　 (with T.S. Chiang! S.Y. Shiu) Price Systems for Markets with Transaction Costs and Control Problems for some Finance Problems, IMS Lecture Note Series and Monographs(2006), 257-271.
18.　 (with H. Kaise) On the structure of solutions of ergodic type Bellman equations related to risk-sensitive control, Annals of Probability(2006), no. 34, 284-320.
19.　 (with H.Hata!H.Nagai) Asymptotics of the Probability Minimizing a Down-side Risk, Annals of Applied Probability(2009)(To appear in Ann. Appl. Probab.).
20.　 (with B.Franke!C.R.Hwang!H.M.Pai) The behaviour of the spectral gap under growing drift, Transaction AMS(2008)(To appear Transaction AMS).
21.　 (with H. Kaise) Ergodic type of Bellman equations of first order with quadratic Hamiltonian, Applied Mathematics and Optimization, 2009(2009), no. 59, 37-73.
22.　 (with H. Hata) Down-Side Risk Probability Minimization Problem for a Multidimensional Model with Stochastic Volatility(2008)
23.　 (with W.H. Fleming!H. Hata) Max-plus stochastic control and risk senstitivity(2009-06)
24.　 Hamilton-Jacobi-Bellman equation of an optimal consumption problem(2009-06)