I am a professor at Department of Mathematical Sciences, WPI. My research interests include stochastic control theory and its applications to mathematical finance and various engineering problems. I received my BSc from Nankai University in 1996, MA and PhD from Wayne State University in 2006. Prior to joining WPI in 2019, I held positions at City University of Hong Kong as an Associate Professor (2010-2018), University of Michigan as a PostDoc (2009), and University of Southern California as a PostDoc (2006-2009).
My research interests are focused on Stochastic Control Theory, a field that connects probability and PDE analysis. Applications include mathematical finance and various engineering problems. Recently, I have been interested in the area of Mean Field Game/Control.
github, song@arXiv, song@gscholar, Orcid, papers, github/MyR