Chihoon Lee, Ph.D.
Affiliations: | 2008 | Statistics | University of North Carolina, Chapel Hill, Chapel Hill, NC |
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"Chihoon Lee"Parents
Sign in to add mentor| Amarjit Budhiraja | grad student | 2008 | UNC Chapel Hill | |
| (Long time stability and control problems for stochastic networks in heavy traffic.) | ||||
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Publications
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| Lee C, Ward AR, Ye H. (2020) Stationary distribution convergence of the offered waiting processes for $$GI/GI/1+GI$$GI/GI/1+GI queues in heavy traffic Queueing Systems. 94: 147-173 |
| Han Z, Hu Y, Lee C. (2019) On pricing barrier control in a regime-switching regulated market Quantitative Finance. 19: 491-499 |
| Choi MCH, Lee C, Song J. (2019) Entropy flow and De Bruijn's identity for a class of stochastic differential equations driven by fractional Brownian motion Probability in the Engineering and Informational Sciences. 1-12 |
| Sun L, Lee C, Hoeting JA. (2018) A penalized simulated maximum likelihood method to estimate parameters for SDEs with measurement error Computational Statistics. 34: 847-863 |
| Han Z, Hu Y, Lee C. (2016) Optimal pricing barriers in a regulated market using reflected diffusion processes Quantitative Finance. 16: 639-647 |
| Cui Z, Lee C, Liu Y. (2015) Single-Transform Formulas for Pricing Asian Options in a General Approximation Framework under Markov Processes Operations Research. 266: 540-554 |
| Lee C, Puhalskii AA. (2015) Non-Markovian State-Dependent Networks In Critical Loading Stochastic Models. 31: 43-66 |
| Sun L, Lee C, Hoeting JA. (2015) A penalized simulated maximum likelihood approach in parameter estimation for stochastic differential equations Computational Statistics and Data Analysis. 84: 54-67 |
| Hu Y, Lee C, Lee MH, et al. (2015) Parameter estimation for reflected Ornstein–Uhlenbeck processes with discrete observations Statistical Inference For Stochastic Processes. 18: 279-291 |
| Lee C, Ward AR. (2014) Optimal pricing and capacity sizing for the GI / GI / 1 queue Operations Research Letters. 42: 527-531 |