Chang-han Rhee

Ph.D. Candidate Institute for Computational and Mathematical Engineering Stanford University Advisor: Professor Peter W. Glynn CV

Contact

Huang Engineering Center, 053J, Stanford, CA 94305
chrhee@stanford.edu
http://stanford.edu/~chrhee

Research

• Simulation and Statistical Inference for Stochastic Differential Equations (SDEs), Computational Finance

• Sensitivity Analysis, Gradient Estimation

• Markov chain Monte Carlo, Exact Estimation

• Stochastic Control, Dynamic Programming

Education

• Ph.D., Computational and Mathematical Engineering, Stanford University, June 2013 (Expected)

• B.S., Mathematics and Computer Science, Seoul National University, Aug 2006

Publication

Improved Convergence Rates for Biased Samplers

Chang-han Rhee, Peter Glynn
Coming Soon

Sensitivity Analysis of Stationary Distributions of Markov Chains

Chang-han Rhee, Peter Glynn
Working Paper

A New Approach to Unbiased Estimation for SDE's

Chang-han Rhee, Peter Glynn
Winter Simulation Conference 2012, Best Student Paper Award (MS/OR focused)