Richard H. Stockbridge

Professor and Graduate Program Coordinator

Department of Mathematical Sciences
University of Wisconsin-Milwaukee

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Contact Information

• Office: EMS E402
• Office Phone: (414) 229-5110
• Math Department Phone: (414) 229-4836
• Math Department Fax: (414) 229-4907
• E-mail: stockbri@uwm.edu
• US Mail: P. O. Box 413
  Department of Mathematical Sciences
  University of Wisconsin-Milwaukee
  Milwaukee, WI 53201-0413
  USA

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Research Interests:

• Stochastic Control Theory
• Numerical Methods for Stochastic Analysis and Control
• Financial Mathematics

List of Publications

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Recent Papers and Preprints:

• Determining the Optimal Control of Singular Stochastic Processes using Linear Programming, to appear in

Markov Processes and Related Fields: A Festschrift in Honor of Thomas G. Kurtz, SN Ethier, J Feng and RH Stockbridge eds.

IMS.

• Linear Programming Approach to Optimal Stopping of Singular Stochastic Processes

Stochastics 79 (2007), 309-335..

• A Separation Principle for Partially Observed Control of Singular Stochastic Processes

Nonlinear Analysis 63 (2005), e2057-2065 (electronic).

• Characterizing Option Prices by Linear Programs

in Mathematics of Finance, G. Yin and Q. Zhang eds., Contemporary Mathematics 351 (2004), 349-359.

• The Problem of Moments on Polytopes and Other Bounded Regions

Journal of Mathematical Analysis and its Applications 285 (2003), 356-375..

• Option Pricing for Finite Models with Limits on Hedging

Proceedings of the Fourth Asian Control Conference, Singapore, (2002), 1563-1568.

• Extension of Dale's Moment Conditions with Application to the Wright-Fisher Model

(with Kurt Helmes) Stochastic Models 19 (2003), 255-267.

• Portfolio Optimization in Markets having Stochastic Rates

in Stochastic Theory and Control, B. Pasik-Duncan, ed., Lect. Notes in Control and Inform. Sci., 280 (2002), 447-458.

• Linear Programming Formulation for Optimal Stopping Problems

(with Moon Jung Cho), SIAM J. Control Optim., 40 (2002), 1965-1982.

• Numerical Evaluation of Resolvents and Laplace Transforms of Markov Processes using Linear Programming

(with Kurt Helmes), Math. Meth. of Oper. Res. 53 (2001), 309-331.

• Stationary Solutions and Forward Equations for Controlled and Singular Martingale Problems

(with Thomas Kurtz), Electronic Journal of Probability 6 (2001), Paper No. 14, 1-52.

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• Long term average control of a local time process

(with Marta Mendiondo) in Markov Processes and Controlled Markov Chains, Z. Hou, J. Filar, A. Chen, eds., Kluwer (2002), 425-441.

Updated 1 September 2006

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