Ngô Hoàng Long

Education

• 2008 - 2011: PhD in Mathematics at Department of Mathematical Sciences, Ritsumeikan University. Advisors: Prof. Shigeyoshi Ogawa, Jiro Akahori and Arturo Kohatsu-Higa. Thesis title "Volatility estimation for diffusion type processes and related topics".

• 2003 - 2005: M.S. in Mathematics at Department of Mathematics and Informatics, Hanoi National University of Education. Advisor: Dr. Vu Viet Yen. Thesis title: “Measurable Multifunctions and the Convergence of Multivalued Martingale” (Rank: 1st).

• 1999 - 2003: B.S in Mathematics at Department of Mathematics and Informatics, Hanoi National University of Education (Rank: 1st).

Publications

21. Ngo Hoang Long, Marc Peigne, Limit theorem for perturbed random walks. Theory of stochastic processes 24(40) No. 2 (2019) 61-78.

20. Kieu Trung Thuy, Luong Duc Trong, Ngo Hoang Long, Nguyen Thu Thuy, Convergence, non-negativity and stability of a new tamed Euler-Maruyama scheme for stochastic differential equations with H\"older continuous diffusion coefficient. Vietnam Journal of Mathematics 48(1), 107-124 (2020) http://link.springer.com/article/10.1007/s10013-019-00373-3.

19. Hoang-Long Ngo and Dai Taguchi, Semi-implicit Euler Maruyama approximation for non-colliding particle systems Ann. Appl. Probab. Volume 30, Number 2 (2020), 673-705.

18. Hoang-Long Ngo and Duc-Trong Luong, Semi-implicit Milstein approximation scheme for non-colliding particle systems. Calcolo 2019, 56:25.

17. Hoang-Long Ngo and Dai Taguchi, On the Euler–Maruyama scheme for SDEs with bounded variation and Hölder continuous coefficients. Mathematics and Computers in Simulations Volume 161, July 2019, Pages 102-112.

16. Hoang-Long Ngo and Duc-Trong Luong, Tamed Euler-Maruyama approximation for stochastic differential equations with locally H\"older continuous diffusion coefficients. Statistics and Probability Letters Volume 145, February 2019, Pages 133-140.

15. Hoang-Long Ngo and Dai Taguchi, Approximation for non-smooth functionals of stochastic differential equations with irregular drift. Journal of Mathematical Analysis and Applications. Volume 457, Issue 1, 1 January 2018, Pages 361-388.

14. Nien-Lin Liu and Hoang-Long Ngo, Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis, Japan Journal of Industrial and Applied Mathematics, Vol. 34, Issue 3, 747-761 (2017). Doi 10.1007/s13160-017-0266-8

13. Hoang-Long Ngo and Dai Taguchi Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients . Statistics and Probability Letters Volume 125, Pages 55–63 (2017).

12. (with Dai Taguchi) On the Euler-Maruyama approximation for one-dimensional stochastic differential equations with irregular coefficients. IMA Journal of Numerical Analysis Volume 37, Issue 4, 1 October 2017, Pages 1864–1883.

11. (with Duc-Trong Luong) Strong Rate of Tamed Euler-Maruyama Approximation for Stochastic Differential Equations with H¨older Continuous Diffusion Coefficients. Brazilian Journal of Probability and Statistics Vol. 31, No.1, 24-40 (2017)

10. (with Dai Taguchi) Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients. Mathematics of Computation. 85 (2016), 1793-1819.

9. (with Arturo Kohatsu-Higa and Azmi Makhlouf) Approximation of non-smooth integral type functionals of one dimensional diffusion processes. Stochastic Processes and their Applications. Vol 124(5) 1881-1909 (2014). Preprint.

8. (with Arturo Kohatsu-Higa) Weak approximations for SDE's driven by Lévy processes. "Seminar on Stochastic Analysis, Random Fields and Application VII" 131--169 (2013).

7. An integrated cross-volatility estimation for asynchronous noisy data. Journal of Nonparametric Statistics, 24(2) 465-480 (2012).

6. (with Shigeyoshi Ogawa) On the discrete approximation of occupation time of diffusion processes. Electronic Journal of Statistics 5, 1374–1393 (2011).

5. Parametric estimation for discretely observed stochastic processes with jumps. Electronic Journal of Statistics 4, 1443–1469 (2010).

4. (with Shigeyoshi Ogawa) Real-time estimation scheme for the spot cross volatility of jump diffusion processes. Mathematics and Computers in Simulation 80 no. 9, 1962–1976 (2010).

3. (with Shigeyoshi Ogawa) A central limit theorem for the functional estimation of the spot volatility. Monte Carlo Method and Applications. Vol. 15 (4), p. 353--380 (2009).

2. Ogawa, S. and Ngo, H.L. Some remarks on the real-time scheme for the estimation of spot volatility. Mem. Inst. Sci. Engrg. Ritsumeikan Univ. No. 67 (2008), 1--8

1. (with Vu Viet Yen) On Levy’s convergence theorems of two-parameter multivalued random processes. Acta Mathematica Vietnamica Vol. 31, No. 3, p. 261--267 (2006).

Research Visits

• March 2009: University of Florence, Italy.

• April 2010: Academia Sinica, Taiwan.

• November 2010: Humboldt University in Berlin, Germany.

• January 2013: University of the Ryukyus, Japan.

• July 2013 - December 2014: Ritsumeikan University.

• January 2015 - April 2015: Vietnam Institute of Advanced Study in Mathematics

• February 2017: Ritsumeikan University

• March - June 2017: Vietnam Institute of Advanced Study in Mathematics

• September 2017: Ritsumeikan University

• April 2018: Tours University & Lyon University, France

• February 2019 - April 2019: Vietnam Institute of Advanced Study in Mathematics

• May 2019: Tours University, France

• July 2019: Ritsumeikan University, Japan

• September 2019: Paris 13, France