Sheu, shuenn Jyi
Gender Male
Education Ph.D., Brown University
Tel 886-3-4227151 Ext. 65125
Fax 886-3-4257379
Office Room 414, Hong-Jing Building
Field Probability Theory
1.NSC Research Fellow (2001-2006)
2.NSC Outstanding Research Award (1986, 1988, 1998)
  1. Stochastic control and its application to large deviation theory, Ph.D.,Dissertation, Brown Univ., 1982.

  2. Solutions of certain parabolic eqs. with unbounded coefficients and its application to nonlinear filtering, Stochastics, 10(1983), 31-46.

  3. Stochastic control and principal eigenvalue, Stochastics, 11(1984), 191-211.

  4. Asymptotic behavior of transition density of diffusion Markov process with small diffusion, Stochastics, 13(1984), 131-163.

  5. Stochastic control and exit probabilities of jump processes, SIAM J. Control and Optimization, 23(1985), 306-328.

  6. Asymptotic behavior of invariant density of diffusion Markov process with small diffusion, SIAM J. Math. Analysis, 12(1985), 451-460.

  7. (with Y. Chow) On the eigenvalues and eigenfunctions of a singular perturbed integral equation, J. Integral Equation, 9(1985), 199-212.

  8. (with W.H. Fleming) Stochastic variational formula for fundamental solutions of parabolic PDE, Applied Math. Optim., 13(1985), 193-204.

  9. (with C.R. Hwang) Cramer's theorem for certain ergodic processes in Banach space, Stochastics, 18(1986), 83-94.

  10. (with C.R. Hwang) A generalization of Chernoff's inequality via stochastic analysis, Probab. Th. Rel. Fields, 75(1987), 149-157.

  11. (with T.S. Chiang and C.R. Hwang) Diffusion for global optimization in R^n, SIAM J. Control and Optimization, 25(1987), 737-753.

  12. (with T.S. Chiang) Large deviations of infinite dimensional Ornstein-Uhlenbeck process on C[0, 1], Stochastics, 23(1988), 159-178.

  13. (with W.H. Fleming and H.M. Soner) On the existence of the dominant eigenfunction and its application to the large deviation properties of an ergodic Markov process, Stochastics, 22(1987), 187-199.

  14. (wih C.R. Hwang) On the weak reversibility condition in simulated annealing, Soochow J. of Math., vol. 15, No. 2, 1989.

  15. Two-sided estimates for the fundamental solution of a second order parabolic equation via logarithmic transformation, preprint.

  16. (with C. R. Hwang) Large-time behavior of perturbed diffusion Markov processes with applications to the second eigenvalue problem for Fokker-Planck operators and simulated annealing, Acta Applicandae Mathematicae, 19(1990), 253-295.

  17. (with C.-R. Hwang) On the behavior of a stochastic algorithm with annealing, preprint.

  18. Some estimates of the transition density of a nondegenerate diffusion Markov process, Annals of Probab., 19(1991), 538-561.

  19. (with C. R. Hwang) Singular perturbed Markov chains and the exact behaviors of simulated annealing processes, J. Theoretical Probab, 5(1992), 223-249.

  20. (with C. R. Hwang) A remark on the ergodicity of systematic sweep in stochastic relaxation, Lecture Notes in Statistics, 74(1992), 199-202, Springer.

  21. (with A.Frigessi, C. R. Hwang, P. di Stefano) Convergence rate of the Gibbs sample, the Metropolis algorithm, and other single-site updating dynamics, J. R. Statist. Soc. B, 55(1993), 205-219.

  22. (with C.-R. Hwang, S.-Y. Hwang-Ma) Accelerating Gaussian diffusions,  Ann. Appl. Probab., 3(1993), 897-913.

  23. (with T.-S. Chiang) Large deviation of small perturbation of some unstable systems, Stochastic Analysis and Applications, 15 (1997)31-50.

  24. (with W.H. Fleming) Asymptotics for the principal eigenvalue and eigenfunction of a nearly first order operator with large potential, Ann. Probab., 25(1997), 1953-1994.

  25. (with C.-R. Hwang) On the geometrical convergence of Gibbs sampler in R^d, Journal of Multivariate Analysis 66 (1998), 22-37.

  26. (with A. D. Wentzell) On the solutions of the equation arising from the singular limit of some eigen problems,  Stochastic Analysis, Control, Optimization and Applications, a volumn in honor of Professor W. H. Fleming on the occasion of his 70th birthday (1999)135-151, Birkhauser.

  27. (with W. H. Fleming) Optimal long term growth rate of expected utility of wealth, Ann. Appl. Probab., 9 (1999), 871-903.

  28. (with C.-R. Hwang) On some quadratic perturbation of Ornstein-Uhlenbeck processes, Soochow J. Math. 26 (2000) 205-244.

  29. (with M. Freidlin) Diffusion processes on graphs: stochastics differential equations, large deviation principle, Probability Theory and Related Fields, 116(2000), 181-220.

  30. (with T. S. Chiang) Large deviation of diffusion processes and their occupation times with discontinuous drift, Ann. Probability, 28(2000), 140-165.

  31. (with A. Date, C. R. Hwang) On the number of equilibrium states in weakly coupled random network, Statistics and Probab Letter, 49(2000) 291-297.

  32. (with W. H. Fleming) Risk sensitive control and an investment model, Math. Finance, 10(2000), 197-213.

  33. (with T.-S. Chiang ) Large deviations of diffusion processes with discontinuous drift, Stochastic Analysis and Related Topics VII, 159-175, Progr. Probab. 48, Birkhauser Boston, 2001

  34. (with T.-S. Chiang) Small perturbation of diffusions in inhomogeneous media, Annales DE L'Institut Henri Poincare 3(2002), 285-318.

  35. (with W. H. Fleming) Risk sensitive control and an investment model(II), Ann. Applied Probability 12(2002), 730-767.

  36. (with H. Kaise) Risk sensitive optimal investment: solutions for the dynamical programming equation, AMS Contemporary Mathematics Vol 351 (2004), 217-230.

  37. (with H. Kaise) Structure on solutions of ergodic type Bellman equations of first and second orders: some observations through the singular limits, Stochastic Processes and Its Applications to Mathematical Finance, Eds. J. Akahori, S. Ogawa and S. Watanabe, World Scientific, 2004, 119-132.

  38. (with H. Kaise) Differential games of inf-sup type and Issacs equations, Appl. Math. Optim. 52 (2005) 1-22

  39. (with T. R. Bielecki and S. R. Pliska) Risk sensitive portfolio management with Cox-Ingersoll-Ross interest rates, SIAM J. Control Optimi. 44 (2005) 1811-1843

  40. (with C. R. Hwang, S. Y. Hwang-Ma) Accelerating diffusions, Ann. Appl. Probab. 15 (2005) 1433-1444

  41. (with H. Kaise) On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control, Ann. Probab. 34 (2006) 284-320.

  42. (with T.S. Chiang and S.Y. Shiu) Price Systems for Markets with Transaction Costs and Control Problems for Some Finance Problems,IMS Lecture Notes-Monograph Series, Time Series and Related Topics, 52(2006), 257-271.

  43. (with H. Kaise) Ergodic type Bellman equations of first order with quadratic Hamiltonian, Appl. Math. Optim. 59 (2009), 37-73.

  44. (with H. Hata and H. Nagai) Asymptotics of down-side risk minimization, Ann. Appl. Probab. 20 (2010), 52-89.

  45. (with B. Franke, C.-R. Hwang, S.-J. Sheu and H.-M. Pai) The behaviour of the spectral gap under growing drift, Transaction AMS 362 (2010), 1325-1350.

  46. (with W.H. Fleming and H. Kaise) Max-plus stochastic control and risk-seneitivity, to appear in Appl. Math. Optim. (2010).

  47. (with H. Kaise) Evaluation of large time expectations for diffusion processes, preprint 2005.

  48. (with T. S. Chiang) On option pricing in multiplicative trinomial models with transaction costs, preprint 2005.

  49. (with T. S. Chiang and S. Y. Shiu) Dynamics of price systems for multinomial models with transaction costs, preprint 2005.

  50. (with H.Hata) Down-side risk probability minimization, preprint (2008).

  51. (with H. Hata) On the Hamilton-Jacobi-Bellman equation for an optimal consumption problem: I. Existence of Solution. Submitted (2010).

  52. (with H. Hata) On the Hamilton-Jacobi-Bellman equation for an optimal consumption problem: II. Verification Theorem. Submitted (2010).


Sheu, shuenn Jyi
Meng-Kai Hong
Feng-Nan Hwang
Chin-Yuan Lin
Ming-Guang Leu
Chin-Cheng Lin
Jann-Long Chern
Cheng-Hsiung Hsu
Suh-Yuh Yang
Hong-Gwa Yeh
Yen-Mei J. Chen
Duy-Minh Nhieu
Hwa-Long Gau
Mei-Lin Yau
Fang, Xiang
Ming-Yi Lee
Hung-Lin Chiu
Jenn-Hwa Yu
Wei-Chang Shann
Yu-Sheng Hsu
Chia-Chang Hsiao
Re-Bin Rau
Wei-Han Wu
Sheng-Chyang Liaw
Ching-hsiao Cheng
Rung-Tzung Huang
Shang-Yuan Shiu
Yung-Ning Peng
Jheng-Jie Chen
Fu-Tsun Wei
Hau-Wen Huang
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