PEOPLE: Faculty
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Jin MaProfessor of MathematicsDirector, Mathematical Finance Program Contact Information E-mail: jinma@usc.edu Phone: (213) 740-3771 Office: KAP 250 |
Education
- B.S. Mathematics, Fudan University, 2/1982
- M.S. Applied Mathematics, Fudan University, 2/1985
- Ph.D. Mathematics, University of Minnesota, 8/1992
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
My main research areas include stochastic analysis, stochastic differential equations, and stochastic control theory. Many of my research topics come from problems in mathematical finance and actuarial sciences. My research subjects often overlap with partial differential equations and/or differential equations in general.
Research Keywords
Stochastic analysis, stochastic differential equations, stochastic control theory,
differential equations, control theory, mathematical finance, actuarial science
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
- "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
- "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
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.
Journal Article
- Buchdahn, R., Bulla, I., Ma, J. On Pathwise Stochastic Taylor Expansions. pp. 38.
- Ma, J., Yun, Y. Dependent Default Probability in Intensity-Based Cox Models.
- Ma, J., Wang, Y. On Variant Reflected Backward SDEs and Applications. pp. 28.
- 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.
- Liu, Y., Ma, J. (2008). Optimal Reinsurance/Investment for General Insurance Models. The Annals of Applied Probability.
- Jien, Y., Ma, J. (2008). Stochastic Differential Equations Driven by Fractional Brownian Motions. Bernoulli.
- Ma, J., Yao, S. (2008). Quadratic $g$-Expectations and the Associated Doob-Meyer Decompostion. Stochastic Analysis and Applications.
- 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.
- Ma, J., Zhang, J., Zheng, Z. (2007). Weak Solutions for Backward Stochastic Differential Equations, A Martingale Approach. The Annals of Probability.
- Figueroa-Lopez, E., Ma, J. (2007). State-Dependent Utility Maximization in Levy Markets. Stochastic Finance. pp. 32.
- 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)
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-


