Career 09. 2022 – present: (Tenure–Track) Assistant Professor, ShanghaiTech University 10. 2019 – 08. 2022: G. H. Hardy Junior Research Fellow, University of Oxford Education 02. 2015 – 06. 2019: Ph.D. in Mathematics, ETH Zurich 09. 2012 – 01. 2015: M.Sc. in Applied Mathematics, ETH Zurich 09. 2009 – 08. 2012: B.Sc. in Mathematics, University of Freiburg
Research Interest I am an applied mathematician working on (applied) stochastic analysis. My current research interest focuses on Rough Path Analysis and its applications in mathematical finance and data sciences.
Selected Publications Selected Publications (1) Compactness criterion for semimartingale laws and semimartingale optimal transport, with Ariel Neufeld. Transactions of the American Mathematical Society, Vol. 372, No. 1, p. 187-- 231. (2) Characterization of nonlinear Besov spaces, with David Proemel, Josef Teichmann. Transactions of the American Mathematical Society, Vol. 373, No. 1, p. 529 -- 550. (3) Stochastic analysis with modelled distributions, with David Proemel, Josef Teichmann. Stochastics and Partial Differential Equations: Analysis and Computations,Vol. 9, No. 2, 343--379. (4) Adapted topology and higher rank signatures, with Patric Bonnier, Harald Oberhauser. The Annals of Applied Probability, to appear. (5) Higher Order Kernel Mean Embeddings to Capture Filtrations of Stochastic Processes, with C. Salvi, M. Lemercier, B. Horvath, T. Damoulas, T. Lyons. Advances in Neural Information Processing Systems （NeurIPS2021) (6) Model-free Portfolio Theory: A Rough Path Approach, with Andrew L. Allan, Christa Cuchiero, David Proemel. Mathematical Finance, Published Online, DOI: 10.1111/mafi.12376. (7) A Càdlàg Rough Path Foundation for Robust Finance, with Andrew L. Allan, David Proemel. Finance and Stochastics, to appear.
Preprints: (1) Optimal Stopping via Distribution Regression: a Higher Rank Signature Approach, with C. Salvi, M. Lemercier et al, arXiv: 2304.01479.
(2) A Transfer Principle: Universal Approximators Between Metric Spaces From Euclidean Universal Approximators, with A. Kratsios, M. Lassa, M. V. de Hoop, I. Dokmanic, arXiv: 2304.12231. |
Email: https://sites.google.com/view/chongliu/home
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