Jin Ma Professor of Mathematics Director, Mathematical Finance Program Contact Information E-mail: jinma@usc.edu Phone: (213) 740-3771 Office: KAP 250 LINKS Personal Website

Postdoctoral Training

• Research Assistant Professor, Purdue University, 08/17/1992-05/30/1994  

Academic Appointment, Affiliation, and Employment History

Tenure Track Appointments

• Professor, University of Southern California, 2008-  
• Professor, Purdue University, 2003-2008  
• Associate Professor, Purdue University, 1998-2003  
• Assistant Professor, Purdue University, 1994-1998  

Non-Tenure Track Appointments

• Research Assistant Professor, Purdue University, 1992-1994  

Visiting and Temporary Appointments

• Professor, University of Southern California, 2007-2008   

Description of Research

Summary Statement of Research Interests

Research Keywords

Funded Research

Contracts and Grants Awarded

• Stochastic Differential Equations and Applications (DMS 0806017) (National Science Foundation), Ma, Jin, $240,000, 07/15/2008-06/30/2011  
• Stochastic Differential Equations And Related Topics (DMS 0835051) (National Science Foundation), Ma, Jin, $68,919, 03/26/2008-06/30/2009  
• Stochastic Differential Equations And Related Topics (DMS 0505427) (National Science Foundation), Ma, Jin, $250,000, 07/15/2005-06/30/2008  
• Stochastic Differential Equations and Applications (DMS 0204332) (National Science Foundation), Ma, Jin, $125,000, 07/15/2002-12/31/2005  
• Stochastic Differential Equations And Related Topics (DMS 9971720) (National Science Foundation), Protter, Philip, Ma, Jin, $260,000, 07/15/1999-06/30/2003  
• Some Topics on Nonlinear Filtering (Office of Naval Research), Protter, Philip; Ma,Jin, Douglas, Jim, Jr., $348,464, 01/01/1996-01/30/1999  
• Topics on Singular Stochastic Control (DMS 9301516) (National Science Foundation), Ma, Jin, $36,440, 07/15/1993-12/31/1995  

Conferences and Other Presentations

Conference Presentations

• "An Impulse Control Problem with Sublinear Transaction Costs", International Conference on Mathematical Control Theory, Talk/Oral Presentation, Abstract, Beijing, China, Chinese Academy of Sciences, Invited, Spring 2009   
• "Law of Large Numbers for Self-Exciting Correlated Defaults", IMS International Conference on Statistics and Probability, Talk/Oral Presentation, Abstract, Weihai, China, IMS, Invited, Spring 2009   
• "Impulse Control and Optimal Portfolio Selection with General Transaction Costs", 2nd Western Conference in Mathematical Finance, Talk/Oral Presentation, Abstract, Austin, Taxas, UT Austin, Invited, Fall 2008   
• "Variant Reflected Backward SDEs and Applications", 5th Colloquium on BSDEs, Finance and Applications, Talk/Oral Presentation, Abstract, Le Mans, France, Invited, Spring 2008   
• "Weak Solutions of Forward-Backward Stochastic Differential Equations", Conference of Stochastic Processes and Their Applications, Special session on Stochastic Equations, Talk/Oral Presentation, Abstract, Urbana-Champaign, Illinois, Invited, Fall 2007   
• "Forward-Backward Martingale Problem and Weak Solutions of FBSDEs", 2nd Workshop on ``Stochastic Equations and Related Topics", Talk/Oral Presentation, Abstract, Jena, Germany, Invited, Spring 2006   
• "UVL Insurance Pricing Problems and Systems of Partial Differential-Difference Equations", International Workshop on Finance and Insurance, Talk/Oral Presentation, Paper, Lijiang, China, Invited, Spring 2006   
• "Weak Solutions for Forward-Backward SDEs---A Martingale Problem Approach", Conference on Martingales, Stochastic Analysis, and Potential Theory, Talk/Oral Presentation, Abstract, Gainsville, Florida, University of Florida, Invited, Fall 2005   
• "Weak Solutions for Forward-Backward SDEs---A Martingale Problem Approach", Conference on Martingales, Stochastic Analysis, and Potential Theory, Talk/Oral Presentation, Abstract, Gainsville, Florida, University of Florida, Invited, Fall 2005   
• "Weak Solutions for Forward-Backward SDEs---A Martingale Problem Approach", Conference on Martingales, Stochastic Analysis, and Potential Theory, Talk/Oral Presentation, Abstract, Gainsville, Florida, University of Florida, Invited, Fall 2005   
• "Large Deviation and Rare Event Simulation for Forward-Backward SDEs", Conference on Control of Distributed Parameter and Stochastic Systems, Talk/Oral Presentation, Paper, Hangzhou, China, Invited, Spring 1998   
• "Reflected Forward-Backward SDEs and Applilcations", AMS annual meeting, Talk/Oral Presentation, Abstract, Detroit, Michigan, AMS, Invited, Spring 1997   
• "Adapted Solution of Degenerate Backward SPDEs and Applications", AMS annual meeting, Talk/Oral Presentation, Abstract, Orlando, Florida, AMS, Invited, Spring 1996   
• "On Linear Degenerate Backward Stochastic PDE's", AMS-INRIA Second Joint Meeting on Stochastic Numerics, Talk/Oral Presentation, Abstract, Sophia-Antipolis, France, AMS, INRIA, Invited, Spring 1996   
• "Anticipating Integrals for Normal Martingales", Second joint meeting of the AMS and SMM, Talk/Oral Presentation, Abstract, Guanajuato, Moxico, AMS and SMM, Invited, Fall 1995   
• "Forward-Backward Stochastic Differential Equations and their Applications in Finance", 34th IEEE Conference on Decision and Control, Talk/Oral Presentation, Abstract, New Orleans, Louisiana, Invited, Fall 1995   
• "Forward-Backward Stochastic Differential Equations and Applications", AMS nnual meeting, Talk/Oral Presentation, Abstract, Cincinnati, Ohio, AMS, Invited, Spring 1994   
• "Large Investor Models and Forward-Backward Stochastic Differential Equations", IMS regional meeting, , Talk/Oral Presentation, Abstract, Cleveland, Ohio, IMS, Invited, Spring 1994   

Other Presentations

• "Backward Stochastic Differential Equations with Financial Applications", 2nd SMAI European Summer School in Financial Mathematics (Mini Course), Applied and Industrial Mathematics Society (SMAI), France, Paris, France, Fall 2009   
• "Quadratic Nonlinear Expectations and Convex Risk Measures", Seminar, Universite de Bretagne Occidentale, Brest, France, Spring 2007   
• "Representation of Quadratic Risk Measures ", Seminar, Illinois Institute of Technology, Chicago, Spring 2007   
• "Backward and Forward-Backward Stochastic Differential Equations---Old and New", Mini Course, Institute of Mathematics, Academia Sinica, Taipei, Taiwan, Fall 2006   
• "A Class of New Stochastic Control Problems for Systems with Jumps", Seminar, University of Washington at Seattle, Seattle, Spring 2006   
• "Stochastic Analysis in Actuarial Problems", Colloquium, Simon Fraser University, Vancouver, Canada, Spring 2006   
• "Backward Stochastic PDEs and Applications", Seminar, University of Paris, VI, Paris, France, Spring 1997   
• "On Degenerate, Linear Backward Stochastic Differential Equations", Seminar, Universite Blaise Pascal, Clermont-Ferrand, France, Spring 1997   

Publications

Book

• Ma, J., Yong, J. (1999). Forward-backward stochastic differential equations and their applications. Lecture Notes in Mathematics (1702), Springer-Verlag, Berlin.

Conference Proceeding

• Ma, J., Yu, Y. (2007). Indifference Pricing of Universal Variable Life Insurance. pp. 107--121. World Sci. Publ., Hackensack, NJ. Control Theory and Related Topics.
• Ma, J., You, Y. (2007). A tribute in memory of Professor Xunjing Li on his seventieth birthday, Control theory and related topics. pp. 3-8. Hackensack, NJ. World Sci. Publ..
• Ma, J., Sun, X. (2002). Sharp estimates of ruin probabilities for insurance models involving investments, Recent developments in mathematical finance (Shanghai, 2001). pp. 72-84. River Edge, NJ. World Sci. Publ.,.
• Ma, J., Zajic, T. (1999). Rough asymptotics of forward-backward stochastic differential equations, Control of distributed parameter and stochastic systems (Hangzhou, 1998). pp. 239--246. Boston, MA. Kluwer Acad. Publ..

Journal Article

• Figueroa-Lopez, E., Ma, J. (2009). State-Dependent Utility Maximization in Levy Markets. Stochastic Finance. pp. 32.
• Ma, J., Zhang, J. (2009). On Weak Solutions of Forward-Backward SDEs.
• Kharroubi, I., Ma, J., Pham, H., Zhang, J. (2009). Backward SDEs with constrained jumps and Quasi-Variational Inequalities. The Annals of Probability.
• Kharroubi, I., Ma, J., Pham, H., Zhang, J. (2009). Backward SDEs with constrained jumps and Quasi-Variational Inequalities. The Annals of Probability.
• Buchdahn, R., Bulla, I., Ma, J. (2009). On Pathwise Stochastic Taylor Expansions. pp. 38.
• Ma, J., Yun, Y. Dependent Default Probability in Intensity-Based Cox Models.
• Ma, J., Yin, H., Zhang, J. Strong Solutions of Forward-Backward Stochastic Partial Differential Equations. pp. 28.
• Liu, Y., Ma, J. (2009). Optimal Reinsurance/Investment for General Insurance Models. The Annals of Applied Probability. Vol. 19 (4), pp. 1495--1528.
• Jien, Y., Ma, J. (2009). Stochastic Differential Equations Driven by Fractional Brownian Motions. Bernoulli. Vol. 15 (3), pp. 846-870.
• Ma, J., Wang, Y. (2009). On Variant Reflected Backward SDEs and Applications. J. Appl. Math. Stoch. Anal.. Vol. Art. ID 854768, pp. 26.
• Ma, J., Song, Q., Xu, J., Zhang, J. (2008). Impulse Control and Optimal Portfolio Selection with General Transaction Cost. SIAM Journal on Control and Optimizations.
• Ma, J., Yao, S. (2008). Quadratic $g$-Expectations and the Associated Doob-Meyer Decompostion. Stochastic Analysis and Applications.
• Ma, J., Zhang, J., Zheng, Z. (2008). Weak Solutions for Backward Stochastic Differential Equations, A Martingale Approach. The Annals of Probability. Vol. 36 (6), pp. 2092--2125.
• Ma, J., Shen, J., Zhao, Y. (2008). Numerical Method for Forward-Backward Stochastic Differential Equations. SIAM Journal on Numerical Analysis. Vol. 46 (5), pp. 2636--2661.
• Hu, Y., Ma, J., Peng, S., Yao, S. (2008). Representation Theorems for Quadratic F-Consistent Nonlinear Expectations. Stochastic Processes and Their Applications. Vol. 118 (9), pp. 1518-1551.
• Buchdahn, R., Ma, J., Rainer, C. (2008). Stochastic Control Problems for Systems Driven by Normal Martingales. The Annals of Applied Probability. Vol. 18 (2), pp. 632--663.
• Buchdahn, R., Ma, J. (2007). Pathwise Stochastic Control Problems and Stochastic HJB Equations. SIAM Journal on Control and Optimizations. Vol. 45 (6), pp. 2224-2256.
• Ma, J., Yu, Y. (2006). Principle of Equivalent Utility and Universal Variable Life Insurance. Scandinavian Actuarial Journal. Vol. 2006 (6), pp. 311--337.
• Ma, J., Zhang, J. (2005). Representations and regularities for solutions to BSDEs with reflections. Stochastic Process. Appl. Vol. 115 (4), pp. 539--569.
• Hu, Y., Ma, J. (2004). Nonlinear Feynman-Kac formula and discrete-functional-type BSDEs with continuous coefficients. Stochastic Process. Appl.. Vol. 112 (1), pp. 23-51.
• Ma, J., Sun, X. (2003). Ruin probabilities for insurance models involving investments. Scand. Actuar. J.. Vol. 3, pp. 217--237..
• Antonelli, F., Ma, J. (2003). Weak solutions of forward-backward SDE's. Stochastic Anal. Appl.. Vol. 21 (3), pp. 493--514..
• Cvitanic, J., Ma, J., Zhang, J. (2003). Efficient computation of hedging portfolios for options with discontinuous payoffs. Math. Finance. Vol. 13 (1), pp. 135--151.
• Ma, J., Zhang, J. (2002). Representation theorems for backward stochastic differential equations. Ann. Appl. Probab.. Vol. 12 (4), pp. 1390--1418.
• Buckdahn, R., Ma, J. (2002). Pathwise stochastic Taylor expansions and stochastic viscosity solutions for fully nonlinear stochastic PDEs. The Annals of Probability. Vol. 30 (3), pp. 1131--1171.
• Hu, Y., Ma, J., Yong, J. (2002). On semi-linear degenerate backward stochastic partial differential equations. Probab. Theory Related Fields. Vol. 123 (3), pp. 381--411..
• Ma, J., Zhang, J. (2002). Path regularity for solutions of backward stochastic differential equations. Probability Theory and Related Fields. Vol. 122 (2), pp. 163--190.
• Ma, J., Protter, P., San-Martin, J., Torres, S. (2002). Numerical method for backward stochastic differential equations. Ann. Appl. Probab.. Vol. 12 (1), pp. 302--316.
• Ma, J., Yong, J. (2002). Approximate solvability of forward-backward stochastic differential equations. Appl. Math. Optim.. Vol. 45 (1), pp. 1--22.
• Cvitanic, J., Ma, J. (2001). Reflected forward-backward SDEs and obstacle problems with boundary conditions. J. Appl. Math. Stoch. Anal.. Vol. 14 (2), pp. 113-138.
• Ma, J., Protter, P., Zhang, J. (2001). Explicit form and path regularity of martingale representations. Levy Processes, Birkhäuser Boston,. pp. 337--360.
• Buckdahn, R., Ma, J. (2001). Stochastic viscosity solutions for nonlinear stochastic partial differential equations. II. Stochastic Process. Appl.. Vol. 93 (2), pp. 205--228.
• Buckdahn, R., Ma, J. (2001). Stochastic viscosity solutions for nonlinear stochastic partial differential equations. I. Stochastic Process. Appl.. Vol. 93 (2), pp. 181--204.
• Ma, J., Yong, J. (1999). Dynamic programming for multidimensional stochastic control problems. Acta Mathematica Sinica (English Series). Vol. 15 (4), pp. 485--506.
• Ma, J., Yong, J. (1999). On linear, degenerate backward stochastic partial differential equations. Probability Theory and Related Fields. Vol. 113 (2), pp. 135--170.
• Ma, J., Protter, P., San-Martin, J. (1998). Anticipating integrals for a class of martingales. Bernoulli. Vol. 4 (1), pp. 81--114.

Service to the University

Administrative Appointments

• Director, Mathematical Finance Program, 02/12/2008-05/30/2011  

Service to the Profession

Editorships and Editorial Boards

• Associate editor, SIAM Journal on Control and Optimization, 2006-  
• Associate editor, Journal of Applied Mathematics and Stochastic Analysis, 2005-  
• Associate editor, Stochastic Processes and their Applications, 2002-