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 Steven E. Shreve
Orion Hoch Professor
Ph.D., University of Illinois
Office: Wean Hall 6216
Phone: (412) 268-8484
E-mail: shreve at andrew.cmu.edu
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.
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