Lane Chun Yeung

I am an Assistant Professor in the Department of Applied Mathematics at Illinois Institute of Technology. Previously, I was a postdoctoral research associate at the Department of Mathematical Sciences at Carnegie Mellon University, mentored by Professor Mykhaylo Shkolnikov. I received my Ph.D. in Industrial Engineering and Operations Research at Columbia University under the supervision of Professors Daniel Lacker and Ioannis Karatzas. My research interests lie broadly in probability and stochastic analysis, with an emphasis on interacting diffusion models and mathematical finance.

My CV

Office: Room 111B, John T. Rettaliata Engineering Center

Quantitative propagation of chaos for non-exchangeable diffusions via first-passage percolation
With Daniel Lacker and Fuzhong Zhou. [arXiv]
From rank-based models with common noise to pathwise entropy solutions of SPDEs
With Mykhaylo Shkolnikov. [arXiv] To appear in The Annals of Applied Probability
Mean field approximations via log-concavity
With Daniel Lacker and Sumit Mukherjee. International Mathematics Research Notices 2024(7): 6008–6042, 2024. [arXiv, DOI]
A trajectorial approach to entropy dissipation for degenerate parabolic equations
With Donghan Kim. Bernoulli 30(3): 2253–756, 2024. [arXiv, DOI]
A characterization of transportation-information inequalities for Markov processes in terms of dimension-free concentration
With Daniel Lacker. Annales de l’Institut Henri Poincaré (B) Probabilités et Statistiques 59(1) 364–377, 2023. [arXiv, DOI]
A trajectorial approach to relative entropy dissipation of McKean–Vlasov diffusions: gradient flows and HWBI inequalities
With Bertram Tschiderer. Bernoulli 29(1): 725–756, 2023. [arXiv, DOI]
D-Index: a risk measure in a new dimension
With Alfred Ma. The Journal of Index Investing 9(1): 84–91, 2018. [DOI]

An uncertainty quantification framework for the achievability of backtesting results of trading strategies
With Raymond Chan and Alfred Ma. Journal of Investment Strategies 6(4): 21–46, 2017. [DOI]

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