About Me


I am a university teacher in stochastic analysis at the University of Edinburgh. I finished my PhD under the supervision of Professor Sandy Davie, and I work on pathwise approximation of stochastic differential equations using the coupling method.


I was the organiser of the working probability seminar of our group from January 2016 to May 2017. I also organised the PG colloquium in the maths department for the academic year 2014/15, and the joint PG colloquium on 1st May 2015.


Thanks to the generosity of the School of Mathematics, I was awarded the postgraduate essay prize 2014/15.


Research Interests


I have a broad interest in stochastic analysis, and in particular the theory and approximation of SDEs. During my first year Ph.D. I worked on the integrability and asymptotic stability with respect to a certain class of Lyapunov functions of modified ("tamed") Euler schemes for SDEs with non-globally Lipschitz coefficients. In my second year, I worked on estimating the minimal distances of the central limit theorem in the multi-dimensional case, and its application in controlling the computational cost of approximating multi-dimensional Lévy-driven SDEs.


My main focus now is on the Fourier approximation of multiple stochastic integrals, which leads to higher order approximations of SDE solutions.


I am also interested in the KMT method and some probabilistic applications of optimal transport.


Publication [·]


  1. Coupling Approximation for Triple Stochatic Integrals, in preparation.
  2. A Multi-Dimensional Central Limit Bound and Its Application to The Euler Approximation of Lévy SDEs, May 2016, arXiv.org:1609.08037.
  3. V-Integrability, Asymptotic Stability and the Comparison Property of Explicit Numerical Schemes for Non-Linear SDEs, joint work with Łukasz Szpruch, Nov 2014. DOI: https://doi.org/10.1090/mcom/3219, Mathematics of Computations.

Education


PhD Mathematics, University of Edinburgh, Scotland, 2017.

MSc Financial Modelling and Optimization, University of Edinburgh, Scotland, 2011.

BSc Mathematcis, Fudan University, Shanghai, P. R. China, 2010.