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Steven E. Shreve, Orion Hoch University Professor of Mathematical Sciences Ph.D., University of Illinois Email: shreve AT cmu DOT edu Office: Wean Hall 6216 Phone: 4122688484 Personal web site Research:Shreve's recent research has followed two tracks. The first has been problems in financial mathematics, including models for derivative securities, utility maximization (especially in the presence of transaction costs), optimal execution of large financial transactions, and the principal agent problem of how a bank should compensate its traders. In all these cases, continuoustime models using stochastic calculus are constructed and analyzed. A second activity has been modeling of queueing systems in heavy traffic when tasks have deadlines for completion. Although queues are intrinsically discreteevent systems, when in heavy traffic, the queue lengths can profitably be approximated by diffusions. If tasks have attributes, such as lead times until deadlines expire, the approximation is a measurevalued diffusion. In a series of papers with multiple coauthors, Shreve has determined the limiting measurevalued diffusion processes obtained in a variety of queueing systems. These two threads have recently come together in the construction of diffusion approximations for limitorder books that govern trading on electronic exchanges. This is ongoing work with John Lehoczky of the CMU Department of Statistics and Ph.D. advisee Christopher Almost. Selected Publications:
