معرفی
Song Yao is an Associate Professor in the Department of Mathematics at the University of Pittsburgh, within the Dietrich School of Arts and Sciences. He holds a PhD from Purdue University. His research focuses on Mathematical Finance, Applied Probability, Stochastic Analysis, and Stochastic Control. Yao has contributed to the study of stochastic control problems, optimal stopping under expectation constraints, and nonlinear expectations with applications in financial risk management.
He teaches courses in Mathematics of Finance, Actuarial Mathematics, and Calculus. His work bridges theoretical stochastic analysis and practical financial modeling, addressing challenges in dynamic programming, BSDEs, and robust optimization under uncertainty. Presentations include talks at Carnegie Mellon University, University of Michigan, and SIAM conferences.
Recent research emphasizes solving complex stochastic control problems with constraints, developing robust methodologies for optimal stopping, and analyzing reflected BSDEs with jumps. His findings are published in top journals like Stochastic Processes and their Applications, SIAM Journal on Control and Optimization, and Annals of Applied Probability.
