Shuenn-Jyi Sheu

@@ @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. @

  1. (With Tzuu-Shuh Chiang) Large deviation of small perturbation of some unstable systems, J. Stochastic Analysis and Application. 15(1997), 31-50.
  2. (With Chii-Ruey Hwang) On the geometrical convergence of Gibbs Sampler in Rd, to appear in J. Multivariate Analysis. 66(1998), 22-37
  3. (With W. H. Fleming) Asymptotics for the principal eigenvalue and eigen function of a nearly first order operator with large potential, Ann. Probab., 25(1997), 1953-1994.
  4. (With M. Freidlin) Diffusion processes on graphs: stochastic differential equations, large deviation principle, Probability Theory and Related Fields, 116(2000), 181-220.
  5. (With Tzuu-Shuh Chiang) Large deviations for diffusion processes and occupation times with discontinuous drift, Ann. Probab., 28(2000),140-165..
  6. (With W. H. Fleming) Optimal long term growth rate of expected utility of wealth, Ann. Applied Probab, 9(1999), 871-903.
  7. (With A. Date and Chii-Ruey Hwang)On the expected number of equilibrium states in some neural networks, Statistics and Probab Letter 49(2000), 291-297..
  8. T.-S. Chiang and S. J. Sheu (2002) Small perturbation of diffusions in inhomogeneous media, Annales DE L'Institut Henri Poincare 3(2002), 285-318.
  9. (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.
  10. (With W. H. Fleming) Risk-sensitive control and an optimal investment model, Math. Finance, 10(2000), 197-213.
  11. W. H. Fleming and S. J. Sheu (2002) Risk sensitive control and an investment model(II), Ann. Applied Probability 12(2002), 730-767.
  12. H. Kaise and S. J. Sheu(2004) On the structure of solutions of ergodic type Bellman equations related to risk-sensitive control, to appear in Ann. Probab.
  13. H. Kaise and S. J. Sheu(2004) Risk sensitive optimal investment: solutions for the dynamical programming equation, to appear in Mathematics of Finance, Contemporary Mathematics AMS Vol 351.
  14. C. R. Hwang, S. Y. Hwang-Ma, S. J. Sheu, Accelerating diffusions, to appear in Ann. Appl. Probab.
  15. T. R. Bielecki and S. R. Pliska (2003) Risk sensitive portfolio management with Cox-Ingersoll-Ross interest rates, submitted.
  16. H. Kaise and S. J. Sheu(2003) Differential games of inf-sup type and Issacs equations, preprint.
  17. H. Kaise and S. J. Sheu(2004) Evaluation of large time expectations for diffusion processes, preprint..