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Yipeng Yang

Yipeng Yang, Ph.D.

Program Director and Associate Professor of Mathematics,
College of Science and Engineering

Contact number: 281-283-3737
Email: yangy@uhcl.edu
Office: B3521-5

Biography

  • Ph.D. in Operations Research, 2008, North Carolina State University, Raleigh, NC
  • M.S. in Financial Mathematics, 2007, North Carolina State University, Raleigh, NC
  • M.E. in Control Theory and Engineering, 2003 Shanghai Jiao Tong University, Shanghai, China
  • B.S. in Applied Mathematics, 2001
  • Shanghai Jiao Tong University, Shanghai, China, B.E. in Control Theory and Engineering, 2000, Shanghai Jiao Tong University, Shanghai, China

Areas of Expertise

Optimization, dynamical system and control theory, stochastic process and financial mathematics.

Publications

  1. Yipeng Yang, Long-range dependence and rational Gaussian noise, Statistics, 58 (2), 364-382, 2024.
  2. Yipeng Yang, Finite Horizon Optimal Execution with Bounded Rate of Transaction, Stochastic Models, 35(4) 469-495, 2019.
  3. Yipeng Yang, Stability Analysis of Networked Control Systems with Bounded Random Delay and State Compensation: How Large is the Actual System Scale? AIMS Electronic Engineering, 3(1) 16-32, 2019.
  4. Yipeng Yang and Allanus Tsoi, A Level Set Analysis and A Nonparametric Regression on S&P 500 Daily Return, International Journal of Financial Studies, 4(3) 1-24, 2016
  5. Y. Charles Li and Yipeng Yang, On the paradox of pesticides, Communications in Nonlinear Science and Numerical Simulation, 29(1-3) 179-187, 2015
  6. Tao Pang, Yipeng Yang and Dai Zhao, Convergence Studies on Monte Carlo Methods for Pricing Mortgage-Backed Securities, International Journal of Financial Studies, 3(20) 136-150, 2015
  7. Yipeng Yang, A Multi-dimensional Stochastic Singular Control Problem Via Dynkin Game and Dirichlet Form, SIAMJ. Control and Optim., 52(6) 3807-3832, 2014
  8. Yipeng Yang, Refined Solutions of Time Inhomogeneous Optimal Stopping Problem and Zero-sum Game via Dirichlet Form, Probability and Mathematical Statistics, 34(2) 253-271, 2014
  9. Yipeng Yang and Y. Charles Li, The Effect of Synchronous Firing on the Clustering Dynamics of Social Amoebae, Complexity, 20(1) 16-26, 2014
  10. Mou-Hsiung Chang, Tao Pang and Yipeng Yang, A Stochastic Portfolio Optimization Model with Bounded Memory, Mathematics of Operations Research, 36 i4(11) 604-619, 2011
  11. Mengdi Gu, Yipeng Yang, Shoude Li and Jingyi Zhang, Constant elasticity of variance model for proportional reinsurance and investment strategies, Insurance: Mathematics and Economics, 46(3) 580-587, 2010

Research Projects

Optimal control problems in financial engineering, such as portfolio management, stability analysis in dynamical systems, optimal stopping problem in game theory, singular stochastic control, stochastic models in bio-systems.

Awards and Accomplishments

  • Co-PI: NSF S-STEM, 2020-2025, Award Number: 2030391
  • Barrios Technology Faculty Fellowship, University of Houston - Clear Lake, 2017
  • Faculty Development Fund (FDF),  University of Houston - Clear Lake, 2017
  • Faculty Development Fund (FDF),  University of Houston - Clear Lake, 2015
  • Faculty Research and Support Fund (FRSF), University of Houston - Clear Lake, 2014
  • Faculty Development Fund (FDF),  University of Houston - Clear Lake, 2014