Dr. Chihoon Lee

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

Application Areas:

  • Service Operations
  • Call Centers
  • Infectious Disease Modeling
  • Stochastic Networks 

Methodological Areas:

  • Statistics for Stochastic Processes
  • Applied Probability
  • Stochastic Control
  • Computational Statistics
Experience
  • Colorado State University, Associate Professor, Department of Statistics, 2014-2015
  • Colorado State University, Assistant Professor, Department of Statistics, 2008-2014

 

Honors & Awards

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
Journals
  1. F. Mai, T. Shaonan, C. Lee, L. Ma. "Deep Learning Models for Corporate Bankruptcy Prediction", Under review.
  2. Z. Cui, C. Lee, Y. Liu, K. Wang. "Failure and Rescue in Central Clearing Counterparty Design", Under review.
  3. Chihoon Lee and Amy R. Ward. "Pricing and capacity sizing of a service facility: Customers abandonment effect", Under revision for Production and Operations Management.
  4. Z. Han, Y. Hu and C. Lee. "Optimal pricing barriers in a regulated market using Markov modulated reflected diffusion processes", Under revision for Quantitative Finance.
  5. Z. Cui, C. Lee and Y. Liu. "Uniqueness of Equilibrium in the Financial System under Partial Multilateral Netting", Under revision for Operations Research Letters.
  6. L. Sun, C. Lee, and J. Hoeting. "A penalized simulated maximum likelihood in parameter estimation for SDEs with measurement error", Under revision for Computational Statistics.
  7. Z. Cui, C. Lee and Y. Liu. (2017). "On a General Framework for Pricing Asian Options Under Markov Processes", European Journal of Operational Research.
  8. S. Chen, S. Lenhart, J.D. Day, C. Lee, M. Dulin, and C. Lanzas. (2017). "Pathogen transfer through environment-host contact: an agent-based queueing theoretic framework", Mathematical Medicine and Biology.
  9. S. Wei, C. Lee, L. Wichers, G. Li and J. S. Marron. (2016). "Direction-Projection-Permutation for High Dimensional Hypothesis Tests", Journal of Computational and Graphical Statistics, 25 (2), 549-569.
  10. Z. Han, Y. Hu, and C. Lee. (2016). "Optimal pricing barriers in a regulated market using reflected diffusion processes", Quantitative Finance, 16 (4), 639-647.
  11. C. Lee and J. Song. (2016). "On drift parameter estimation for reflected fractional Ornstein-Uhlenbeck processes", Stochastics (formerly Stochastics and Stochastics Reports). 88 (5), 751-778.
  12. S. Chen, C. Lee, M. Sanderson, and C. Lanzas. (2016). "Basic reproduction number and transmission dynamics of common serogroups of enterohemorrhagic Escherichia coli.", Applied and Environmental Microbiology. 82 (18), 5612-20.
  13. C. Lee and A. A. Puhalskii. (2015). "Non-Markovian state dependent networks in critical loading", Stochastic Models, 31 (1), 43-66.
  14. L. Sun, C. Lee, and J. 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.
  15. C. Lee, Y. Hu, M. Lee, and J. Song. (2015). "Parameter estimation for reflected Ornstein-Uhlenbeck processes with discrete observations", Statistical Inference for Stochastic Processes. 18 (3), 279-291.
  16. L. Sun, C. Lee, and J. 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.
  17. C. Lee and A. R. Ward. (2014). "Optimal pricing and capacity sizing for GI/GI/1 queue", Operations Research Letters, 42 (8), 527-531.
  18. Y. Hu and C. Lee. (2013). "Parameter estimation for a reflected fractional Brownian motion based on its local time,", Journal of Applied Probability, 50 (2), 592-597.
  19. C. Lee, J. Bishwal, and M. Lee. (2012). "Sequential maximum likelihood estimation for reflected Ornstein- Uhlenbeck processes", Journal of Statistical Planning and Inference, 142 (5), 1234-1242.
  20. A. Budhiraja, A. Ghosh, and C. Lee. (2011). "Ergodic rate control problem for single class queueing networks", SIAM Journal on Control and Optimization, 49 (4), 1570-1606.
  21. C. Lee and A. Weerasinghe. (2011). "Convergence of a queueing system in heavy traffic with general abandonment distributions", Stochastic Processes and Their Applications, 121 (11), 2507-2552.
  22. C. Lee and A. Weerasinghe. (2011). "Stationarity and control of a tandem fluid network with fractional Brownian motion input", Advances in Applied Probability, 43 (3), 847-874.
  23. C. 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.
  24. C. Lee.. (2012). "Bounds on exponential moments of hitting times for reflected processes on the positive orthant", Statistics and Probability Letters, 82 (6), 1120-1128.
  25. C. 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.
  26. C. Lee. (2011). "On moment stability properties for a class of state-dependent stochastic networks", Journal of the Korean Statistical Society. 40 (3), 325-336.
  27. C. Lee and J. C. Wang. (2011). "Waiting time probabilities in the M/G/1+M queue", Statistica Neerlandica. 65 (1), 72-83.
  28. C. Lee. (2010). "V-uniform ergodicity for state-dependent single class queueing networks", Queueing Systems: Theory and Applications. 65 (1), 93-108.
  29. A. Budhiraja and C. Lee. (2009). "Stationary distribution convergence for generalized Jackson networks in heavy traffic", Mathematics of Operations Research. 34 (1), 45-56.
  30. A. Budhiraja and C. Lee. (2007). "Long time asymptotics for constrained diffusions in polyhedral domains", Stochastic Processes and Their Applications. 117 (8), 1014-1036.
  31. L. Chen, C. Lee and R. Mehra. (2007). "How to tell a bad filter through Monte Carlo simulations?", IEEE Transactions on Automatic Control. 52 (7), 1302-1307.
  32. A. Budhiraja, L. Chen and C. Lee. (2007). "A survey of numerical methods for nonlinear filtering problems", Physica D: Nonlinear Phenomena. 230 27-36.
Conference Proceedings
  1. C. Lee. (May 30, 2015). "A Session on Stochastic Simulation and Applications", Industrial and Systems Engineering Research Conference (ISERC). Nashville, TN.
  2. C.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.
Reports
  1. C. Lee. (2011). "Invited discussion of "An explicit link between Gaussian fields and Gaussian Markov random fields: the stochastic partial differential equation approach", Journal of the Royal Statistical Society B, 4 (73).
Courses
  • MGT 620 Statistical Models
  • MGT 719 Research Methods
  • BIA 654 Experimental Design II