CV

— Qingshuo SONG —

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  • — Contact Information —

  • — Employment —
    • Department of Mathematics, City University of Hong Kong
      Associate Professor, July 2015 – present
      Assistant Professor, January 2010 – June 2015

    • Department of Mathematics, University of Michigan
      Term Assistant Professor, August 2009 – December 2009

    • Department of Mathematics, University of Southern California
      Non-tenure-track Assistant Professor, August 2006 – July 2009
  • — Research —
    • Stochastic control, Probability, Mathematical finance.

  • — Education —
    • Wayne State University, Michigan
      Ph.D., Mathematics, August 2006; Advisors: George Yin and Zhimin Zhang
      M.A., Mathematical Statistics, December,2005

    • Nankai University, Tianjin, China
      M.A., Computer Science, July, 1999
      B.S., Automatic Control and Systems Theory, July, 1996

  • — Editorial Boards —
    • Associate Editor, IEEE Control Systems Letters, 2017 – present
    • Associate Editor, SIAM Regular Papers for IEEE CDC, 2017 – present
    • Associate Editor, Nonlinear Analysis: Hybrid Systems, 2016- present
    • Associate Editor, Control Theory and Technology, 2015 – present
    • Editorial Board Member, SIAM conference on control and applications 2015 – present
    • Associate Editor, Conference Editorial Board, IEEE Control System Society, 2009-2010
  • — Publication List —
    • Yanting Ji, Qingshuo Song, and Chenggui Yuan, Neutral Stochastic Differential Delay Equations with Locally Monotone Coefficients, DCDIS Series A: Mathematical Analysis, 24, 195-217, (2017)
    • Xiaoshan Chen, Yu-Jui Huang, Qingshuo Song, and Chao Zhu, On the Stochastic Solution to a Cauchy Problem Associated with Nonnegative Price Processes, Journal of Mathematical Analysis and Applications, 451(1), 448-472, (2017)
    • Yao Tung Huang, Qingshuo Song, Harry Zheng, Weak Convergence of Path-Dependent SDEs in Basket Credit Default Swap Pricing with Contagion Risk, SIAM Journal on Financial Mathematics, 8(1); 1-27, (2017)
    • Qingshuo Song, Chao Zhu, On singular control problems with state constraints and regime-switching: A viscosity solution approach, Automatica J. IFAC, 70; 66-73, (2016),
    • Qingshuo Song, Pengfei Yang, Approximating Functional of Local Martingale Under the Lack of Uniqueness of Black-Scholes PDE, Quantitative Finance, 15(5); 901-908, (2015) Download,
    • Xuerong Mao, Qingshuo Song, Dichuan Yang, A Note on Exponential Almost Sure Stability of Stochastic Differential Equation, Bulletin of the Korean Mathematical Society, 51(1); 221-227, (2014), Download,
    • Qingshuo Song, George Yin, Qing Zhang, Weak Convergence Methods for Approximation of Path-dependent Functionals, SIAM J. Control Optim., 51(5): 4189-4210, 2013. Download,
    • Tim Leung, Qingshuo Song, Jie Yang, Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing, Finance and Stochastics, 17(4); 839-870, (2013), Download,
    • Qingshuo Song, Qing Zhang, An Optimal Pairs-Trading Rule, Automatica, 49(10); 3007-3014, (2013), Download,

    • Jin Ma, Qingshuo Song, Jing Xu, and Jianfeng Zhang, Optimal Portfolio Selection Under Concave Price Impact, Applied Mathematics and Optimization, 67(3); 353-390, (2013), Download .
    • Xiaoshan Chen, Qingshuo Song, Fahuai Yi, George Yin, Characterization of stochastic control with optimal stopping in a Sobolev space, Automatica, 49(6); 1654-1662, (2013), Download,
    • Erhan Bayraktar, Yu-jui Huang, Qingshuo Song, Outperforming the Market Portfolio with a Given Probability, Annals of Applied Probability, 22 (4); 1465-1494(2012), Download,
    • Desmond J. Higham, Xuerong Mao, Mikolaj Roj, Qingshuo Song, George Yin, Mean Exit Times and the Multi-level Monte Carlo Method, SIAM/ASA Journal on Uncertainty Quantification, 1(1): 2-18, (2013), Download ,
    • Xun Li, Jie Shen, Qingshuo Song, Saddle Points of Discrete Markov Zero-Sum Game With Stopping, Automatica J. IFAC , 48(8): 1898-1903, 2012. Download.
    • Qingshuo Song, G. Yin, Chao Zhu, Optimal switching with constraints and utility maximization of an indivisible market, SIAM J. Control Optim., 50(2); 629-651, 2012, Download,
    • Qingshuo Song, Markov Chain Approximation for Stochastic Control and Games, Book Chapter, Probability: Interpretation, Theory and Applications, edited by Yuriy S. Shmaliy, Nova Publishers, 2012, Download,
    • Qingshuo Song, Richard H. Stockbridge, Chao Zhu, On optimal harvesting problems in random environments, SIAM J. Control Optim., 49(2): 859-889, 2011.
    • Qingshuo Song, Guanrong Chen, Daniel W. C. Ho, On the Equivalence and Condition of Different Consensus Over a Random Network Generated by i.i.d. Stochastic Matrices, IEEE Transactions on Automatic Control, 56(5): 1203-1207, 2011. Download,
    • Erhan Bayraktar, Qingshuo Song, Jie Yang, On the Continuity of Stochastic Exit Control Problems, Stochastic Analysis and Applications, 29(1): 48-60, 2011, Download.
    • Q. S. Song, G. Yin, Convergence Rates of Markov Chain Approximation Methods for Controlled Diffusions with Stopping, J Syst Sci Complexity, 23(3): 600-621, 2010.
    • Q. S. Song, G. Yin, Rates of convergence of numerical methods for controlled regime-switching diffusions with stopping times in the costs, SIAM J. Control Optim., 48(3): 1831-1857, 2009.
    • G. Yin, Q. S. Song, and H. Yang, Stochastic optimization algorithms for barrier dividend strategies, J. of Computational and Applied Mathematics, 223(1): 240–262, 2009.
    • Q. S. Song, G. Yin, Q. Zhang, Stochastic optimization methods for buying-low-and-selling-high strategies, Stoch. Anal. Appl. , 27(3): 523-542, 2009.
    • C. Zhu, G. Yin, Q. S. Song, Stability of random-switching systems of differential equations, Quart. Appl. Math., 67(2): 201–220, 2009.
    • Q. S. Song, G. Yin, and Z. Zhang, Numerical solutions for stochastic differential games with regime switching, IEEE Transactions on Automatic Control, 53(2): 509-521, 2008.

    • Q. S. Song, Convergence of Markov chain approximation on generalized HJB equation and its applications, Automatica J. IFAC , 44(3): 761-766, 2008.
    • Q. S. Song, G. Yin, and Z. Zhang, An {\varepsilon}-uniform finite element method for singularly perturbed two-point boundary value problems, International Journal of Numerical Analysis and Modeling, 4(1): 128-142, 2007.
    • 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., 13B(suppl.): 385–398, 2006.
    • Q. S. Song, G. Yin, and Z. Zhang, Numerical methods for controlled regime-switching diffusions and regime-switching jump diffusions, Automatica J. IFAC , 42(7): 1147–1157, 2006.
    • G. Yin, Q. S. Song, and Z. Zhang, Numerical solutions for jump-diffusions with regime switching, Stochastics, 77(1): 61–79, 2005.
  • — Teaching —
    • (Supervisorship)
    • PostDoc: Yao-Tung Huang (2014-2015); Xiaoshan Chen (2012-2013);
    • PhD: Jie Shen (2009-2013), Dichuan Yang (2009-2013);
    • Master thesis: Sean Ellison (2016); Erik Olsson (2016); Wenwen Zhang (2013); Evan Man Kit Ma (2010);
    • Undergraduate Final Year Project:
      Yue Wang (2011), Joshua Hiew (2012), Ming Chen (2013), Wang Lap Hon (2013), Zhida Wang (2016)

    • The Mathematical Contest in Modeling (MCM):
      Meritorious (2012) — Peihan Xiong; Tianyu Wang; Ning Kang

    • (City University of Hong Kong)
    • Semester A 2016/2017
      MA3512 – Partial Differential Equations
      MA1300 – Enhanced Calculus and Linear Algebra I

    • Semester B 2015/2016
      MA3521 – Intro Mathematical Finance

    • Semester A 2015/2016
      MA4542 – Real Analysis
      MA5621 – Math Meth for Finan & Actl Sci

    • Semester B 2014/2015
      MA 3521 – Introductory Mathematical Finance;
      MA 6627 – Stochastic Interest Rate Models

    • Semester B 2013/2014
      MA 3521 – Introductory Mathematical Finance;
      MA 6627 – Stochastic Interest Rate Models

    • Semester A 2012/2013
      MA 5621- Mathematical Methods for Finance and Actuarial Science

    • Semester B 2012/2013
      MA 3521 – Introductory Mathematical Finance;
      MA 5624 – Sem. Math Fin & Actuarial Science;
      MA 6627 – Stochastic Interest Rate Models

    • Semester A 2012/2013
      MA 5624 – Sem. Math Fin & Actuarial Science;
      MA 1300 – Enhanced Calculus and Linear Algebra I

    • Semester B 2011/2012
      MA 3521 – Introductory Mathematical Finance;
      MA 5624 – Sem. Math Fin & Actuarial Science;
      MA 6627 – Stochastic Interest Rate Models

    • Semester A 2011/2012
      MA 5624 – Sem. Math Fin & Actuarial Science

    • Semester B 2010/2011
      MA 3521 – Introductory Mathematical Finance;
      MA 5624 – Sem. Math Fin & Actuarial Science

    • Semester A 2010/2011
      MA 1001 – Higher Mathematics I (A);
      MA 5624 – Sem. Math Fin & Actuarial Science

    • Semester B 2009/2010,
      MA 3521 – Introductory Mathematical Finance

    • (University of Michigan)
    • Fall 2009
      Math 525 – Introduction to Probability Theory

    • (University of Southern California)
    • Summer 2009
      Math 605 – Topics on Prob. Theory: Controlled diffusions and applications in finance

    • Spring 2009
      Math 125 – Calculus I;
      Math 407 – Probability theory

    • Fall 2008
      Math 218 – Probability for business

    • Summer 2008
      Math 118 – Fundamental principles of Calculus

    • Spring 2008
      Math 125 – Calculus I

    • Fall 2007
      Math 407 – Probability theory;
      Math 225 – Linear algebra and differential equations

    • Spring 2007
      Math 218 – Probability for business

    • Fall 2006
      Math 407 – Probability theory;
      Math 458 – Numerical methods

    • (Wayne State University)
    • Spring/Summer 2006, Math 2020 – Calculus II; Math 2010 – Calculus I
    • Winter 2006, Math 1800 – Precalculus: Elementary functions
    • Fall 2005, Math 1800 – Precalculus: Elementary functions
    • Winter 2004, Math 1800 – Precalculus: Elementary functions
    • Spring/Summer 2003, Math 0991 – Basic concepts of beginning algebra
    • Winter 2003, Math 0995 – Intermediate Algebra
    • Fall 2002, Math 1050 – Algebra with trig. functions
  • — Conferences / Workshops —
    • (Organizer)
    • Program committee member, CityU-SCUT workshop on estimation, control and mean field games, 2017,
    • Program committee member, SIAM conference on control and applications, 2015 – present,
    • Program committee member of The Third Asian Quantitative Finance Conference (AQFC), at CUHK, July 2015
    • Chair of Workshop : Quantitative Finance Day, Hong Kong Consortium of Quantitative Finance, at City University of Hong Kong, May 2012
    • (Session chair)
    • Session chair of Stochastic control theory related to portfolio and risk management at SIAM Conference on Financial Mathematics and Engineering, Austin, 2016
    • Session chair of Controlled hybrid switching model and its applications at SIAM conference on control and applications, Paris, 2015
    • Session chair of Stochastic control perspectives in mathematical finance at The 8th The International Congress on Industrial and Applied Mathematics (ICIAM), Beijing, 2015
    • Session chair of Stochastic Control and Optimization Related to Portfolio and Risk Management at SIAM Conference on Financial Mathematics and Engineering, Minneapolis, 2012
    • Session chair of Stochastic Control, Heavy Traffic, Optimal Stopping and their Applications, at SIAM Conference and Its Applications, Baltimore, 2011
    • Session chair of System Identification III at 46th IEEE Conference on Decision and Control, New Orleans, 2007
  • — Presentations —
    • Invited talk, The Fifth Asian Quantitative Finance Conference (AQFC), Seoul, April 2017
    • Invited talk, School of Mathematics, Huazhong University of Science and Technology, October 2016 {}
    • Invited talk, Department of Mathematics, Wayne State University, October 2016 {}
    • Invited talk, Department of Mathematics, University of Michigan, October 2016 {}
    • Invited talk, Workshop on Stochastic Control and Financial Applications, Hong Kong, August 2016,
    • Seminar talk, Department of Mathematics, Fudan University, Shanghai, April 2016,
    • Invited talk, The 8th International Congress on Industrial and Applied Mathematics, Beijing, August 2015,
    • Invited talk, SIAM conference on control and its application, Paris, July 2015,
    • Invited talk, IMS-China International Conference on Statistics and Probability, Yunnan, China, July 2015,
    • Invited talk, CUHK Symposium on Financial Risk Management, Hong Kong, December 2014,
    • Conributed talk, SIAM conference on financial mathematics and engineering, Chicago, US, November 2014,
    • Colloquium talk, University of Wisconsin-Milwaukee, US, November 2014,
    • Seminar talk, KAIST, Daejeon, Korea, September 2014,
    • Invited talk, The Tenth Workshop on Markov Processes and Related Topics, Xi’an, China, August 2014,
    • Invited talk, The second Asian Quantitative Finance Conference (AQFC), Weihai, China, June 2014,
    • Invited talk, Workshop on Rare-event Stochastic Computing and Application , Hong Kong, Jan 2014, {}
    • Invited talk, The Second International Conference on Engineering and Computational Mathematics , Hong Kong, Dec 2013, {}
    • Invited talk, Workshop on Applied Mathematics , Hong Kong, Dec 2013, {}
    • Invited talk, CityU-SCUT Joint Workshop on Stochastic Systems and Processes , Hong Kong, June 2013, {}
    • Seminar talk, SEEM, Chinese University of Hong Kong, April 2013. {}
    • Seminar talk, Math Dept. University of Southern California, CA, March 2013. {}
    • Invited talk, The First Asian Quantitative Finance Conference (AQFC) , Singapore, Jan 2013, {}
    • Invited talk, International Workshop in Stochastic Control and Its Applications, PolyU, Hong Kong, Dec 2012, {}
    • Invited talk, 2012 Forum on Financial Engineering and Risk Mangament (The 4th), South China Normal University, Guang Zhou, China, Dec 2013, {}
    • Invited talk, CityU-ZJU Joint Workshop on Applied Mathematics , CityU, Hong Kong, Dec 2012, {}
    • Invited talk, The First Hong Kong – Shanghai Workshop on Quantitative Finance and Risk Management , Shanghai, Sep 2012, {}
    • Seminar talk, Math Dept, Wayne State University, Detroit, July, 2012, {}
    • Seminar talk, Dept of Mathematics, Statistics, and Computer Science , University of Illinois at Chicago, Chicago, June, 2012, {}
    • Invited talk, CityU-Vanderbilt Workshop on Applied Mathematics , Hong Kong, May 2012, \quad
    • Contributed talk, 2011 International Conference on Business Intelligence and Financial Engineering, Hong Kong, December 2011,
    • Seminar talk, Math Dept, Nankai University, Tian Jin, China, October, 2011, {}
    • Invited talk, Markov & semi-Markov Processes & Related Fields 2011, Sithonia, Greece, September 2011, {}
    • Invited talk, 2011 Sun Yat-sen University International Conference on Frontiers of Numerical PDEs, Guang Zhou, China, August 2011, {}
    • Invited talk, SIAM Conference on Control and Its Applications, Baltimore, MD, July 2011.
    • Seminar talk, Math Dept, South China Normal University, Guang Zhou, China, July 2011, {}
    • Invited talk, Quantitative Finance Day Hong Kong, March, 2011. {}
    • Contributed talk, 49th IEEE Conference on Decision and Control, Atlanta, GA, December 2010. {}
    • Colloquium talk, Stat Dept. Chinese University of Hong Kong, Hong Kong, October 2010. {}
    • Invited talk, 19th International Symposium on Mathematical Theory of Networks and Systems, Budapest, Hungary, July 2010. {}
    • Poster, 6th World Congress of the Bachelier Finance Society, Toronto, Canada, June 2010. {}
    • Colloquium talk, Math Dept. City University of Hong Kong, Hong Kong, February 2009. {}
    • Seminar talk, Math Dept. University of California at Irvine, CA, December 2008. {}
    • Invited talk, SIAM Conference on Financial Mathematics and Engineering: Mini symposium on Numerical and PDE Methods in Finance, New Brunswick, NJ, November 2008. {}
    • Invited talk, Mathematical Theory of Networks and Systems, Virginia Tech, VA, July 2008. {}
    • Invited talk, 2008 American Control Conference, Seattle, WA, June 2008. (Best Presentation Award) {}
    • Seminar talk, Math Dept. Wayne State University, MI, April 2008. {}
    • Contributed talk, 46th IEEE Conference on Decision and Control, New Orleans, LA, December 2007. {}
    • Invited talk, SIAM Conference on Control and Its Applications: Mini symposium on Bellman and Isaacs Equations, San Francisco, CA, June 2007. {}
    • Seminar talk, Math Dept. University of Southern California, CA, February 2007. {}
    • Poster, Conference on Asymptotic Analysis in Stochastic Processes, Nonparametric Estimation and Related Problems, Detroit, MI, September 2006. {}
    • Poster, 45th IEEE Conference on Decision and Control, San Diago, CA, December 2006. {}
    • Seminar talk, Math Dept. University of Southern California, CA, September 2006. {}
    • Colloquium talk, Math Dept, University of Alabama in Huntsville, AL, March 2006. {}
    • Contributed talk, Special Session on Stochastic, Large Scale and Hybrid Systems with Applications, at AMS-SIAM Joint Mathematics Meetings, San Antonio, TX, January 2006.
    • Poster, Conference on Stochastic Control and Numerics, Milwaukee, WI, September 2005. (Best Poster Award) {}
    • Invited talk, International Workshop on Differential Equations and Dynamical Systems, University of Guelph, Canada, July 2005. {}
    • Contributed talk, The 6th Midwest Optimization Workshop, Detroit, MI, September 2004.
  • — Conference Proceedings: —
    • Xun Li, Jie Shen, Qingshuo Song, Sufficient conditions on the existence of saddle points on Markov games, in proceedings of 20th International Symposium on Mathematical Theory of Networks and Systems, 2012.
    • Tim Leung, Qingshuo Song, Jie Yang, Generalized Hypothesis Testing and Maximizing the Success Probability in Financial Markets, in 2011 International Conference on Business Intelligence and Financial Engineering, 2011.
    • Qingshuo Song, G. Yin, Rates of Convergence of Markov Chain Approximation for Controlled Regime-switching Diffusions with Stopping Times, in 49th IEEE Conference on Decision and Control, 2010.
    • Qingshuo Song, G. Yin, Convergence Rates of Markov Chain Approximation Methods for Controlled Regime-switching Diffusions with Stopping, in proceedings of 19th International Symposium on Mathematical Theory of Networks and Systems, (2010).
    • Erhan Bayraktar, Yu-Jui Huang, Qingshuo Song, Outperforming the Market Portfolio with A Given Probability, 6th World Congress of the Bachelier Finance Society, 2010.
    • Erhan Bayraktar, Qingshuo Song, Jie Yang, On the Continuity of Stochastic Exit Control Problems, 6th World Congress of the Bachelier Finance Society, 2010.
    • Qingshuo Song, The wellposedness of the system of variational inequalities, in proceedings of 18th International Symposium on Mathematical Theory of Networks and Systems 2008.
    • Q. S. Song, G. Yin, Numerical methods for buying-low-and-selling-high stock policy, in proceedings of 2008 American Control Conference 2008.
    • X. Li, Q. S. Song, Markov chain approximation methods on generalized HJB equation, in proceedings of 46th IEEE Conference on Decision and Control 2007.
    • Q. S. Song, G. Yin, Study of convergence rates of numerical methods for stochastic control problems, in proceedings of 46th IEEE Conference on Decision and Control 2007.
    • Q.S. Song, G. Yin, Existence of saddle points in discrete Markov games and its application in numerical methods for stochastic differential games, in proceedings of 45th IEEE Conference on Decision and Control 2006.

    • C. Zhu, G. Yin, Q. S. Song, On stability of hybrid systems with random-switching, 44th Annual Allerton Conference 2006.
  • — Professional servieces —
    • (Departmental Service at City University of Hong Kong)
    • 2016 – present: Programme Leader for MSc in Mathematics for Finance and Actuarial Science (MSMFAS)
    • 2016 – 2018: Member of Sub-Committee on Taught Postgraduate Programmes (STPP)
    • 2011 – 2015: MSMFAS Deputy Programme Leader
    • 2013 – 2014: Departmental Staffing Committee Member
    • 2011 – 2012: Deputy Admission Tutor
    • 2010 – 2012: MA Liaison Representatives for EF/MS Departments
    • 2010 – 2011: MSMFAS Assistant Programme Leader
    • (Departmental Service at University of Southern California)
    • 2006-2008: Screening exam committee member for Numerical Analysis
    • 2006-2007: Co-organizer of weekly seminar talk for CAMS (Center for Applied Mathematical Sciences)
    • 2006-2007: member of MURI project
    • (Others)
    • 2017: External Examiner for PhD student of Lingfei Li, CUHK
    • 2017: External Examiner for PhD student of Qi Wu, CUHK
    • 2017: External Examiner for PhD student of Mark Joshi and Zhuo Jin, University of Melbourne
    • 2017: Panel Chair and an examiner for the PhD of Daniel Ho, CityU HK
    • 2017: Panel Chair and an examiner for the PhD of Alain Bensoussan, CityU HK
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