Faculty Directory: Jin Feng

Faculty Directory

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Jin Feng

Research Interests

Probability
Stochastic Control


Prof. Feng's research interests fall into Probability and related areas. He is currently working on statistical description of limit behaviors for a variety of deterministic PDEs. Usually, such problem has a microscopic origin which is stochastic, and the overall program involves variational characterization of a probabilistic theory known as large deviation. Some key techniques involved are Markov processes theory, viscosity solution for Hamilton-Jacobi equations, and the theory of optimal mass transportation. Professor Feng is also interested in financial mathematics and statistical inference for stochastic processes.

Selected Publications

  • Large Deviations for Stochastic Processes (with T.G. Kurtz), Mathematical Surveys and Monographs Vol. No. 131, American Mathematical Society, (2006) 410.
  • A comparison principle for Hamilton-Jacobi equations related to controlled gradient flows in infinite dimensions (with M. Katsoulakis), Archive for Rational Mechanics and Analysis, Vol. 192 (2009), 275-310.
  • Stochastic scalar conservation laws (with D. Nualart), Journal of Functional Analysis, Vol. 55, No. 2 (2008), 313-373.
  • Large deviation for diffusions and Hamilton-Jacobi equation in Hilbert spaces, The Annals of Probability, Vol. 34, No.1 (2006), 321-385.
  • Large deviation for stochastic Cahn-Hilliard equation, Methods of Functional Analysis and Topology, Vol. 9, No. 4 (2003), 333-356.