Dr. Moustapha Pemy
Applied and Computational Mathematics
- Ph.D. Applied Mathematics, University of Georgia
Professor, Towson University
PublicationsOptimal Oil Production and Taxation in Presence of Global Disruptions, Proceedings of the SIAM Conference on Control and its Applications, 2017, pp.70-77
Optimal Oil Production under Mean Reverting Levy Models with Regime Switching, Journal of Energy Markets, Volume 10, Issue 2, (June 2017), pp. 1-15.
Optimal Stopping of Markov Switching Lévy Processes, Stochastics; An International Journal of Probability and Stochastic Processes, Vol. 89 (2), 2014, pp. 341 - 369.
Optimal Algorithms for Trading Large Positions, Automatica, Volume 48, Issue 7, (July 2012), pp. 1353-1358.
Viscosity Solution of Optimal Stopping Problem for Stochastic Systems with Bounded Memory, with Mou-Hsiung Chang and Tao Pang, Stochastic Analysis and Applications, Volume 30, Issue 6, (November 2012), pp. 1102 - 1135.
Optimal Selling Rule in a Regime Switching Lévy Market, International Journal of Mathematics and Mathematical Sciences, Volume 2011, No. 264603, 28 pages.
An Approximation scheme for Black-Scholes equations with delays, with Mou-Hsiung Chang and Tao Pang, Journal of System Science and Complexity, Volume 23, No. 3, (June 2010), pp. 438-455.
Liquidation of a Large Block of Stock under Regime Switching Model, with Qing Zhang and George Yin, Mathematical Finance: An International Journal of Mathematics, statistics and Financial Economics, Volume 18 Issue 4 (October 2008), pp. 629-648.
Optimal Control of Stochastic Functional Differential Equations with a Bounded Memory, with Mou-Hsiung Chang and Tao Pang, Stochastics: An international Journal of Probability and Stochastic Processes Volume 80, Issue 1, (November 2008), pp. 69-96.
Finite Difference Approximation for Stochastic Optimal Stopping Problems with Delays, with Mou-Hsiung Chang and Tao Pang, Journal of Industrial and Management Optimization. Volume 4, Issue 2, (May 2008), pp.227-246.
Finite Difference Approximations for Stochastic Control System with Delay, with Mou-Hsiung Chang and Tao Pang, Stochastic Analysis and Applications, Volume 26, Issue 3, (May 2008), pp. 451-470.
Liquidation of a large block of stock: A stochastic Control Approach with State Constraints, with George Yin and Qing Zhang, Communications in Information and Systems , Volume 7, No. 1, (2007) pp.93-110.
Liquidation of a large block of stock, with George Yin and Qing Zhang, Journal of Banking and Finance Volume 31, Issue 5, (May 2007) pp. 1295-1305.
Optimal stock liquidation in a regime switching model with finite time horizon, with Qing Zhang, Journal of Mathematical Analysis and Application , Volume 321, Issue 2, 15 September 2006, pp 537-552.
Honors and Awards
- Henry C. Welcome Fellowship Grant, MHEC (2006)
- William Armor Wills Memorial Scholarship, University of Georgia (2003)
- Diploma Program Fellowship, International Center of Theoretical Physics (2000)