Henry Schellhorn

Henry Schellhorn is a Professor of Mathematics at Claremont Graduate University’s Institute of Mathematical Sciences. He joined CGU in 2005 and previously taught at the University of Lausanne. His research focuses on stochastic analysis, mathematical finance, traffic theory, and epidemiology, with notable contributions to liquidity modeling, credit risk, and optimal control in epidemiological systems. Schellhorn holds patents in autonomous vehicle lane-changing algorithms and financial risk management techniques, and co-authored a book on machine learning for asset pricing.

Education

• PhD in Operations Research, University of California, Los Angeles (UCLA)
• MS in Operations Research, Stanford University
• Diplôme in Electrical Engineering, École Polytechnique Fédérale de Lausanne (EPFL)

Research Interests
Schellhorn’s work bridges stochastic processes, financial engineering, and applied mathematics. Key areas include:

• Stochastic control and its applications to epidemiology and finance
• Credit risk modeling and networked financial systems
• Liquidity analysis in financial markets
• Optimization of traffic and operational systems
• Machine learning in asset management

Professional Contributions
He has edited journals like the Journal of Applied Mathematics and Decision Sciences and organized symposiums on financial derivatives and energy markets. His research has been funded by institutions such as the Swiss National Research Fund and Fitch Ratings.

Patents & Innovation

• US Patent 11192553: Lane-changing algorithms for autonomous vehicles
• US Patent 7010510: Variance reduction techniques for risk management

Advising & Grants
Schellhorn advised Tianmin Kong on a co-authored book and led a research team at Oracle developing Monte Carlo simulation systems for Value at Risk. His work continues to explore stochastic modeling in dynamic systems.