Hui Wang
Brown University · Applied Mathematics
Active 1989–2024
About
Hui Wang is an Associate Professor of Applied Mathematics and the Director of Undergraduate Studies at Brown University. His research interests lie in the theory and applications of probabilistic methods, with recent work focusing on game-theoretic importance sampling (IS). Importance sampling is a variance reduction technique in Monte Carlo simulation, especially effective when the quantities of interest are largely determined by rare events. Wang has collaborated with Paul Dupuis to introduce a game-theoretic approach to importance sampling, demonstrating that IS algorithms are connected with a differential game. This framework utilizes the Isaacs equation and its subsolutions to systematically and rigorously construct efficient dynamic IS schemes, representing a significant advancement in the field. Wang's previous work has concentrated on mathematical finance, addressing fundamental questions such as option pricing and portfolio optimization through stochastic optimization theory. His notable contributions include deriving explicit solutions for path-dependent options with double exponential jump diffusion stock prices and applying convex duality methods for portfolio optimization in incomplete semi-martingale financial markets. Currently, he is interested in extending importance sampling to various settings, including Jackson queuing networks, networks with Markov modulated rates, and functionals of exit times in small noise processes. Additionally, he aims to explore robust control for high-dimensional queuing networks, seeking to develop models and cost structures that allow for a comprehensive characterization of optimal policies regardless of system dimension.
Research topics
- Computer science
- Artificial intelligence
- Mathematics
- Data mining
- Algorithm
Frequent coauthors
- 145 shared
Therese RW Clauss
Pacific Northwest National Laboratory
- 145 shared
Ron Moore
Pacific Northwest National Laboratory
- 145 shared
Tujin Shi
Environmental Molecular Sciences Laboratory
- 145 shared
Zhe Xu
- 145 shared
Blake Mathews
Pacific Northwest National Laboratory
- 145 shared
Sam Payne
Emory University
- 145 shared
Maritza Sanchez Valdivia
Pacific Northwest National Laboratory
- 145 shared
Anil Shukla
Pacific Northwest National Laboratory
Education
- 1996
PhD, Computer Science
University of Ulster at Jordanstown
- 1988
MSc, Computer Science
Jilin University
- 1985
BSc, Computer Science
Jilin University
Awards & honors
- Manning Assistant Professor of Applied Mathematics (2004)
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