
Email
sjin2@wpi.edu
My research interest includes stochastic calculus, stochastic differential equations, and related applications in quantitative finance. Specifically, I work in the Malliavin calculus of Brownian motion, fractional Brownian motion, and Lévy processes. We establish new series representations of martingales, which are widely applicable in pricing and hedging problems in finance. I also study stochastic differential equations driven by non-Markovian time-changed Brownian motion and the approximation schemes for their solutions.