Qingshuo Song
Assistant Professor (NTT)
Contact
Information
Office: DRB 334
Phone: (213)821-1892
E-mail: qingshus@usc.edu
|
| |
| Research
Interests |
 |
Stochastic analysis and probability, numerical analysis, mathematical finance. I am particularly interested in numerical methods on stochastic systems and viscosity solutions for Bellman equations (HJB), Isaac's equations (HJI), and Quasi-variational Inequalities (QVI) arising in portfolio optimization problems and differential games. |
| |
| Selected Publications |
|
|
Q.S. Song, G. Yin, and Z. Zhang,
Numerical solutions for stochastic differential games with regime switching,
IEEE Transactions on Automatic Control , Vol 53, No. 3, (2008), doi: 10.1109/TAC.2007.915169.
|
|
|
Q.S. Song,
The wellposedness of the system of variational inequalities,
Proceedings of 18th International Symposium on MTNS, Virginia Tech , (2008).
|
|
|
G. Yin, Q.S. Song, and H. Yang,
Stochastic Optimization Algorithms for Barrier Dividend Strategies,
J. of Computational and Applied Mathematics , (2008), doi: 10.1016/j.cam.2008 .01.007.
|
|
|
Q.S. Song,
Convergence of Markov Chain Approximation on Generalized HJB Equation and its Applications,
Automatica J. IFAC , (2007), doi: 10.1016/j.automatica.2007.07.014.
|
|
|
C. Zhu, G. Yin, Q. S. Song,
Stability of Random-Switching Systems of Differential Equations,
Quart. Appl. Math. , (2007), Accepted.
|
|
|
Q.S. Song, G. Yin, and Z. Zhang,
An $\epsilon$-uniform finite element method for singularly perturbed boundary value problems,
International Journal of Numerical Analysis & Modeling 4-1 (2007), 128-142.
|
|
|
Q.S. Song, G. Yin, and Z. Zhang,
Numerical Solutions of Stochastic Control Problems for Regime-switching Systems,
Dyn. Contin. Discrete Impuls. Syst. Ser. A Math. Anal. , Vol 13B (2006), pp.385--398..
|
|
|
Q.S. Song, G. Yin, and Z. Zhang,
Numerical Methods for Controlled Regime-switching Diffusions and Regime-switching Jump Diffusions
Automatica J. IFAC, Vol 42 (2006), no. 7, pp. 1147--1157, doi: 10.1016/j.automatica.2006.03.016.
|
|
|
Q.S. Song, G. Yin,
Existence of Saddle Points in Discrete Markov Games and Its Application in Numerical Methods for Stochastic Differential Games
Proceedings of 45th IEEE Conference on Decision and Control , (2006) pp. 6325-6330.
|
|
|
G. Yin, Q.S. Song, and Z. Zhang,
Numerical solutions for jump-diffusions with regime switching
Stochastics, Vol. 77, No. 1, (2005), 61-79, doi:10.1080/17442500512331341068. |
| |
You are the 
th visitor since 10/19/2005, Last updates on 3/12/2008. |
|
 |
|
