About

My interests are in various applied problems which have impact. My formal training is in electrical engineering and applied mathematics. I find that some of the more interesting problems I have worked on have come from looking at the real world with a strongly quantitative toolset. Along the way, I have spent time at a hedge fund and consulted for private industry and the U.S. Government.  Finally, at the moment I am the associate head for undergraduate studies in the department of Industrial and Enterprise Systems Engineering.

Education

Ph.D. in Applied Mathematics, May 1991, University of Maryland at College Park M.S. in Electrical Engineering, August 1988, University of Maryland at ...
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Academic Appointments

Professor, Department of Industrial and Enterprise Systems Engineering, University of Illinois at Urbana-Champaign, August 2012 to present. Professor, Department of Mathematics, University of Illinois ...
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Grants

NSF IIP 1748498: I-Corps: Data Analytics for Hand-Picked Agriculture NSF CMMI #1727785:  Signatures and Barcodes: Data-driven Understanding of Transportation System ...
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Thesis Students

StudentDegreeDepartmentYearThesis titleCurrent
Narayanan, RamakrishnanM.S.Industrial Engineering2017Exploring image recognition: applying convoluted neural networks and learning to recognize safe cyclistsWestern Digital
Srivastava, NitinM.S.Industrial Engineering2016Machine learning and task disambiguation in hand-picked agricultureBoston Consulting Group
Song, RuiPh.D.Mathematics2014Clearing financial network and its stabilityPlymouth Rock
Ravat, UmaPh.D.Mathematics2014On the Analysis of Stochastic Optimization and Variational Inequality ProblemsUIUC Statistics
Kone, Estelle Ph.D.Industrial Engineering2014Monitoring unknown source IP addresses and packet sizes to detect DDoS attacksGoldman Sachs
Zheng, ZhiPh.D.Mathematics2012Stochastic Stefan problems: existence, uniqueness, and modeling of market limit ordersGoldman Sachs
Li, XiaoPh.D.Mathematics2012Dynamics of bankrupt stocksMorgan Stanley
Kim, KunwooPh.D.Mathematics2012New results in stochastic moving boundary problemsPhang University of Science and Technology (POSTECH)
Chetan PahlajaniPh.D.Mathematics2007Stochastic Averaging Correctors for a Noisy Hamiltonian System With Discontinuous StatisticsIIT Gandhinagar
O'Bryant, Natella Ph.D.Mathematics2002A Problem From Hamiltonian Mechanics With Time -Periodic Coefficients, Small Noise, and DegeneracyBarclays
Yang, JianPh.D.Mathematics2002Stochastic Volatility Models: Option Price Approximation, Asymptotics and Maximum Likelihood EstimationGoldman Sachs
Qin, WeiPh.D.Mathematics2017Information, insider trading and takeover announcementsWolfram

Undergrad Students

Undergrads who have worked with me have been accepted to the below graduate schools (click on word cloud for expanded view):

Undergraduates who have worked with me have gone to graduate schools as below (click on map for expanded view):

I’ve also started to keep track of where the grad students who have worked with me do internships:

Most of my current research involves looking at data from a quantitative perspective and with a socially-important goal.    If you are interested in working with me, be prepared for getting your hands dirty.  Further thoughts about projects.