Ziteng Cheng

I am a postdoctoral fellow in the Department of Statistical Sciences, mentored by Dr. Sebastian Jaimungal. I got my Ph.D. in Applied Mathematics from Illinois Institute of Technology under the supervision of Dr. Tomasz R. Bielecki and Dr. Ruoting Gong. My research focus resides within the realm of stochastic processes and their practical applications. My thesis regards first exit problem of time-inhomogeneous Markov modulated processes, and statistical inferences for SPDEs. I am currently working on integrating risk aversion into mean field games, reinforcement learning and inverse reinforcement learning.  I am also interested in transport theory for stochastic processes.