Faculty Steven E. Shreve, Orion Hoch Professor of Mathematical Sciences
Ph.D., University of Illinois
E-mail: shreve AT cmu DOT edu
Office: Wean Hall 6216
Phone: 412-268-8484
Personal web site

Research:

Professor Shreve works in the general area of stochastic processes with applications to financial markets and heavy-traffic limits of queueing systems. He is the co-author with I. Karatzas of the graduate text "Brownian Motion and Stochastic Calculus," Springer-Verlag, 1991. His is also the author of the two-volume work "Stochastic Calculus for Finance," Springer-Verlag, 2004. He directs the B.S. program in Computational Finance at Carnegie Mellon and serves on the Steering Committee for the Master's program in Computational Finance.

Selected Publications:

• Asymptotic analysis for optimal investment and consumption with transaction costs (with K. Janecek), Finance and Stochastics 8, 181-206, 2004.
• Satisfying convex risk limits by trading (with K. Larsen, T. Pirvu and R. Tutuncu), Finance and Stochastics 9, 177-196, 2005.
• A two-person game for pricing convertible bonds (with M. Sirbu), SIAM Journal on Control and Optimization 45, 1508--1639, 2006.
• Accuracy of state space collapse for earliest-deadline-first queues (with L. Kruk and J. Lehoczky), Annals of Applied Probability 16, 516-581, 2006.
• An explict formula for the Skorokhod map on [0,a] (with L. Kruk, J. Lehoczky and K. Ramanan), Annals of Probability, to appear.