Dr. Chihoon Lee

Building: Babbio Center
Room: 632
Phone: 201-216-3812
Email: Chihoon.Lee@stevens.edu
  • Ph.D., Department of Statistics and Operations Research, University of North Carolina at Chapel Hill, 2008
  • B.Sc., Department of Statistics, Department of Mathematics, Seoul National University, Korea, 2003

Application Areas:

  • Operations Management: Large-scale Service Operations
  • Stochastic Networks: Fluid & Diffusion Analysis
  • Infectious Disease Modeling & Control
  • Financial Engineering

Methodological Areas:

  • Statistics for Stochastic Processes
  • Applied Probability, Queueing Theory
  • Stochastic Control, Simulation
  • Computational Statistics, Statistical Learning
  • Stevens Institute of Technology, Associate Professor, School of Business, 2015-Present
  • Chinese University of Hong Kong, Shenzhen, Institute for Data and Decision Analytics, Associate Professor, Fractional Faculty Appointment, Summers in 2019-2022
  • Colorado State University, Associate Professor, Department of Statistics, 2014-2015
  • Colorado State University, Assistant Professor, Department of Statistics, 2008-2014
Honors & Awards

Visiting Scholar at Institute for Data and Decision Analytics (iDDA), The Chinese University of Hong Kong, Shenzhen, China, July 16-August 7, 2018

New Researcher Fellowship, Statistical and Applied Mathematical Sciences Institute (SAMSI), NC: Involved with working group on Infectious Diseases Modeling, 2014-2015

Short-term Visiting Fellow, National Institute for Mathematical and Biological Synthesis (NIMBioS), TN, 2014

Early Career Statistician Award, Korean Statistical Society, Seoul, South Korea: Awarded to a single researcher in the Society within 5 years of receiving Ph.D., 2012

Excellence in Teaching Award, Department of Statistics and Operations Research, University of North Carolina at Chapel Hill: For excellence in teaching undergraduates, 2007

Wassily Hoeffding Award, Department of Statistics and Operations Research, University of North Carolina at Chapel Hill: For the best performance in the first year of Ph.D. program, 2004

Professional Societies

INFORMS and Applied Probability Society, Institute of Mathematical Statistics, Korean Statistical Society

Grants, Contracts & Funds
  • Probabilistic and statistical analysis of complex stochastic networks, Army Research Office, $122,722, Sole-PI. (2014-2017)
  • New Researcher Fellowship at SAMSI, National Science Foundation, $37,297, Sole-PI. (2014-2015)
  • Stability and control for stochastic networks with fractional Brownian motions, National Security Agency, $40,000, Sole-PI. (2012-2014)
  • Stationary solutions of constrained stochastic differential equations driven by fractional Brownian motions, Army Research Office, Short Term Innovative Research program, $50,000, Sole-PI. (2012-2013)
  • Controlled stochastic networks with fractional Brownian motions, The Simons Foundation Collaboration Grants, $7,000 (Original funding period was 5 years and terminated due to other funding), Sole-PI. (2011-2012)
  • Statistical analysis of complex networks: Applied probability approaches, National Security Agency, $40,000, Sole-PI. (Recommended for funding, but not eligible to receive due to other federal funding.) (2015-2017)
Selected Publications
  1. Chihoon Lee and Amy R. Ward. "Pricing and capacity sizing of a service facility: Customers abandonment effect", Revision submitted to Production and Operations Management.  Download  (552 kb PDF).
  2. Chihoon Lee, Amy R. Ward, Heng-Qing Ye. "Stationary Distribution Convergence of the Offered Waiting Processes for GI/GI/1+GI Queues in Heavy Traffic",  Download  (339 kb PDF).
  3. Levent Kocaga and Chihoon Lee. "Operational Perils and Benefits of Free Trials in Large Scale Service Systems",  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3256541  .
  4. Feng Mai, Tian Shaonan, Chihoon Lee, Ling Ma. (2018). "Deep Learning Models for Corporate Bankruptcy Prediction", Accepted for publication in European Journal of Operational Research.  Publisher Link  .
  5. German G. Creamer and Chihoon Lee. "A multivariate distance nonlinear causality test based on partial distance correlation: application to energy futures via SVM ", Revision submitted to Quantitative Finance: Special Issue on AI and Machine Learning in Finance.
  6. Zheng Han, Yaozhong Hu and Chihoon Lee. (2018). "Optimal pricing barriers in a regime-switching regulated market", Accepted for publication in Quantitative Finance.  Publisher Link  .
  7. Libo Sun, Chihoon Lee, and Jennifer Hoeting. (2018). "A penalized simulated maximum likelihood in parameter estimation for SDEs with measurement error", Accepted for publication in Computational Statistics.  Publisher Link  .
  8. Shi Chen, Cristina Lanzas, Chihoon Lee, M. Dulin, G. L. Zenarosa. (2018). "Metapopulation Model from Pathogen's Perspective: A Versatile Framework to Quantify Pathogen Transfer and Circulation between Environment and Hosts", Accepted for the publication in Nature: Scientific Reports.
  9. Zhenyu Cui, Chihoon Lee, Yanchu Liu, Kai Wang. "Failure and Rescue in Central Clearing Counterparty Design", Under review for Journal of Banking and Finance.
  10. Zhenyu Cui, Chihoon Lee and Yanchu Liu. "Uniqueness of Equilibrium in the Financial System under Partial Multilateral Netting", Under review for European Journal of Operational Research.
  11. Zhenyu Cui, Chihoon Lee and Yanchu Liu. (May 2018). "Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes", European Journal of Operational Research. 266 (3), 1134-1139.  Publisher Link  .
  12. Shi Chen, S. Lenhart, Judy D. Day, Chihoon Lee, M. Dulin, and Cristina Lanzas. (2017). "Pathogen transfer through environment-host contact: an agent-based queueing theoretic framework", Accepted for publication in Mathematical Medicine and Biology, A Journal of the IMA.
  13. Susan Wei, Chihoon Lee, Lindsay Wichers, J. S. Marron. (2016). "Direction-Projection-Permutation for High Dimensional Hypothesis Tests", Journal of Computational and Graphical Statistics, 25 (2), 549-569.
  14. Zheng Han, Yaozhong Hu, Chihoon Lee. (2016). "Optimal pricing barriers in a regulated market using reflected diffusion processes", Quantitative Finance, 16 (4), 639-647.
  15. Chihoon Lee and Jian Song. (2016). "On drift parameter estimation for reflected fractional Ornstein-Uhlenbeck processes", Stochastics (formerly Stochastics and Stochastics Reports). 88 (5), 751-778.
  16. Shi Chen, Chihoon Lee, M. Sanderson, Cristina Lanzas. (2016). "Basic reproduction number and transmission dynamics of common serogroups of enterohemorrhagic Escherichia coli.", Applied and Environmental Microbiology. 82 (18), 5612-20.
  17. Chihoon Lee and Anatolii A. Puhalskii. (2015). "Non-Markovian state dependent networks in critical loading", Stochastic Models, 31 (1), 43-66.
  18. Libo Sun, Chihoon Lee, and Jennifer Hoeting. (2015). "Penalized importance sampling for parameter estimation in stochastic differential equations", Computational Statistics and Data Analysis. (This paper has won the 2nd place prize from the American Statistical Association Section on Statistics and Environment student paper competition). 84 54-67.
  19. Chihoon Lee, Yaozhong Hu, Myung Hee Lee, and Jian Song. (2015). "Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations", Statistical Inference for Stochastic Processes. 18 (3), 279-291.
  20. Libo Sun, Chihoon Lee, Jennifer Hoeting. (2015). "Parameter inference and model selection in deterministic and stochastic dynamical models via approximate Bayesian computation: modeling a wildlife epidemic.", Environmetrics. 26 (7), 451-462.
  21. Chihoon Lee and Amy R. Ward. (2014). "Optimal pricing and capacity sizing for GI/GI/1 queue", Operations Research Letters, 42 (8), 527-531.
  22. Yaozhong Hu and Chihoon Lee. (2013). "Parameter estimation for a reflected fractional Brownian motion based on its local time,", Journal of Applied Probability, 50 (2), 592-597.
  23. Chihoon Lee, Jaya Bishwal, Myung Hee Lee. (2012). "Sequential maximum likelihood estimation for reflected Ornstein- Uhlenbeck processes", Journal of Statistical Planning and Inference, 142 (5), 1234-1242.
  24. Amarjit Budhiraja, Arka Ghosh, Chihoon Lee. (2011). "Ergodic rate control problem for single class queueing networks", SIAM Journal on Control and Optimization, 49 (4), 1570-1606.
  25. Chihoon Lee and Ananda Weerasinghe. (2011). "Convergence of a queueing system in heavy traffic with general abandonment distributions", Stochastic Processes and Their Applications, 121 (11), 2507-2552.
  26. Chihoon Lee and Ananda Weerasinghe. (2011). "Stationarity and control of a tandem fluid network with fractional Brownian motion input", Advances in Applied Probability, 43 (3), 847-874.
  27. Chihoon Lee. (2011). "On the return time for a reflected fractional Brownian motion process on the positive orthant", Journal of Applied Probability, 48 (1), 145-153.
  28. Chihoon Lee. (2012). "Bounds on exponential moments of hitting times for reflected processes on the positive orthant", Statistics and Probability Letters, 82 (6), 1120-1128.
  29. Chihoon Lee. (2011). "A geometric drift inequality for a reflected fractional Brownian motion process on the positive orthant", Journal of Applied Probability, 48 (3), 820 to 831.
  30. Chihoon Lee. (2011). "On moment stability properties for a class of state-dependent stochastic networks", Journal of the Korean Statistical Society. 40 (3), 325-336.
  31. Chihoon Lee and Jianqiang C. Wang. (2011). "Waiting time probabilities in the M/G/1+M queue", Statistica Neerlandica. 65 (1), 72-83.
  32. Chihoon Lee. (2010). "V-uniform ergodicity for state-dependent single class queueing networks", Queueing Systems: Theory and Applications. 65 (1), 93-108.
  33. Amarjit Budhiraja and Chihoon Lee. (2009). "Stationary distribution convergence for generalized Jackson networks in heavy traffic", Mathematics of Operations Research. 34 (1), 45-56.
  34. Amarjit Budhiraja and Chihoon Lee. (2007). "Long time asymptotics for constrained diffusions in polyhedral domains", Stochastic Processes and Their Applications. 117 (8), 1014-1036.
  35. Lingji Chen, Chihoon Lee, Raman Mehra. (2007). "How to tell a bad filter through Monte Carlo simulations?", IEEE Transactions on Automatic Control. 52 (7), 1302-1307.
  36. Amarjit Budhiraja, Lingji Chen, Chihoon Lee. (2007). "A survey of numerical methods for nonlinear filtering problems", Physica D: Nonlinear Phenomena. 230 27-36.
Conference Proceedings
  1. Chihoon Lee. (May 30, 2015). "A Session on Stochastic Simulation and Applications", Industrial and Systems Engineering Research Conference (ISERC). Nashville, TN.
  2. Chihoon Lee. (Nov 10, 2014). "Optimal Pricing and Capacity Sizing when Customers Abandon", INFORMS AnnualMeeting, Applied Probability Sponsored Session on Fluid and Diffusion Approximations of Stochastic Systems. San Francisco, CA.
  1. Chihoon Lee. (2011). "Invited discussion of "An explicit link between Gaussian fields and Gaussian Markov random fields: the stochastic partial differential equation approach" by F. Lindgren, H. Rue, and J. Lindstrom. ", Journal of the Royal Statistical Society B, 4 (73).
  • MGT 620 Statistical Models
  • MGT 719 Research Methods
  • BIA 654 Experimental Design II