University of Southern California
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USC USC College Math dept Qingshuo Song
University of Southern California > USC College > Department of Mathematics > Qingshuo Song
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 and G. Yin Rates of convergence of numerical methods for controlled regime-switching diffusions with stopping times in the costs,     SIAM J. Control Optim. , (2009), Accepted.
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, G. Yin, Q. Zhang Stochastic Optimization Methods for Buying-low-and-selling-high Strategies,     Journal of Stochastic Analysis and Applications , (2008), Accepted.
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. , (2008), 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.
 
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