Seyed Mohammad Hossein Mousavi



I am a Ph.D. candidate at Operations Research group in the Management Science and Engineering department at Stanford University under the supervision of Professor Peter Glynn.


I did my undergraduate studies in Mathematics and Electrical Engineering at the Sharif University of Technology, Tehran, Iran.



Contact Information:

Huang Engineering Center 314E, Stanford , CA 94305


mousavi [at] stanford [dot] edu




Research Interests

  • Stochastic Control and Approximate Dynamic Programming
  • Stochastic Simulation
  • Queueing Theory
  • Financial Engineering, Credit Risk.
  • Stochastic Modeling.




1.    Exact Simulation of Non-Stationary Reflected Brownian Motion (with P.W. Glynn) Working paper

2.    Shape-constrained Estimation of Value Functions (with P.W. Glynn) Working paper

3.    Social Influence and Evolution of Market Share with A. Saberi and S. Ceyhan, Internet Mathematics. Volume 7, Number 2 (2011), 107-134.
preliminary version of this paper appeared in Workshop on the Economics of Networked Systems (NetEcon 2009). The current version is available here.

4.    Exact Simulation of Point processes with stochastic Intensities (with K. Giesecke and H. Kakavand) Operations Research, Septem- ber/October 2011 vol. 59 no. 5 1233-1245

5.    Exact and Efficient Simulation of Correlated Defaults  with K. Giesecke, H. Takada, H. Kakavand SIAM Journal on Financial Mathematics, 1, 868-896, 2010


6.    Simulating Point Processes by Intensity Projection with K. Giesecke and H. Kakavand Proceedings of the 2008 Winter Simulation Conference, IEEE Press, 560--568, 2008.