Research interests
Applied probability, data science, operations research and financial engineering..

Professor Zhu obtained his PhD from the Courant Institute of NYU under the direction of S.R.S. Varadhan. He worked at Morgan Stanley in NYC and held a Dunham Jackson Assistant Professorship at the University of Minnesota before joining the Mathematics Department at FSU. His research has been supported by three NSF grants and a Simons Collaboration Grant. He was a recipient of Kurt O. Friedrichs Prize for an outstanding dissertation from Courant Institute, New York University in 2013 and Developing Scholar Award from Florida State University in 2022.

Professor Zhu works in applied probability, data science, operations research and financial engineering, including: Langevin algorithms, stochastic gradient and momentum-based variants, heavy-tailed methods and phenomena in machine learning, option pricing, risk management, point processes, large deviations, random graphs and social networks.

Lingjiong Zhu
Lingjiong Zhu
Associate Professor of Mathematics
Selected papers
(with Xuefeng Gao and Mert Gurbuzbalaban). Global convergence of stochastic gradient Hamiltonian Monte Carlo for nonconvex stochastic optimization: Nonaysmptotic performance bounds and momentum-based acceleration. (2022). Operations Research, 70, 2931-2947.
(with Mert Gurbuzbalaban and Umut Simsekli). The heavy-tail phenomenon in SGD. (2021). International Conference on Machine Learning, 3964-3975.
(with Yuqian Xu and Michael Pinedo). Operational Risk management: A stochastic control framework with preventive and corrective controls. (2020). Operations Research, 68, 1804-1825.
(with Dan Pirjol). Short maturity Asian options in local volatility models. (2016). SIAM Journal on Financial Mathematics, 7, 947-992. Large deviations for Markovian nonlinear Hawkes processes. (2015). Annals of Applied Probability, 25, 548-581.
Department of Mathematics

1017 Academic Way

Florida State University

Tallahassee, FL 32306-2180

Phone: (850) 644-2202
Fax: (850) 644-4053