Chihoon Lee

• PhD (2008) University of North Carolina at Chapel Hill (Statistics)
• BS (2003) Seoul National University (Statistics and Mathematics)

• Associate Dean of Graduate Studies Chair
• Institute Graduate Curriculum Committee Member
• School Graduate Curriculum Committee Chair
• Graduate Student Academic Integrity Board Member
• Analytics Faculty Search Committee Member
• Management Faculty Search Committee Member
• Marketing Faculty Search Committee Member
• Search Committee for the Dean of College of Online and Professional Education Member
• School of Business Gradudate Marketing Committee Chair
• Nominating Committee Member
• Search Committee for Associate Provost Member
• Business Statistics Faculty Search Committee Chair
• Financial Engineering and Financial Analytics Programs Committee Member
• Business Intelligence and Analytics Programs Committee Member
• Institute Curriculum Committee Member
• Graduate Curriculum Committee Member
• Organizing Committee for the International Conference on High Frequency Finance and Data Analytics (HF2019) Member
• Financial Engineering PhD Programs Committee Member

• Associate Editor of Journal of Korean Statistical Society
• External evaluator on a CRT (Collaborative Research Team) proposal

• INFORMS Member
• IMS – Institute of Mathematical Statistics Member

Conference Proceeding

1. Lee, C.; Yao, Z.; Florescu, I. (2024). Control in Stochastic Environment with Delays: A Model-based Reinforcement Learning Approach. International Conference on Automated Planning and Scheduling (ICAPS 2024). Association for the Advancement of Artificial Intelligence (AAAI).
2. Xiong, Z.; Liu, R.; Chen, Y.; Lee, C. (2023). Overcoming the Novelty Discount: The Roles of Open-source Development in the Initial Coin Offerings (ICOs). Academy of Management Proceedings.
3. Shen, H.; Huang, J. Z.; Lee, C. (2007). Forecasting and dynamic updating of uncertain arrival rates to a call center. 2007 IEEE International Conference on Service Operations and Logistics, and Informatics. 2007 IEEE International Conference on Service Operations and Logistics, and Informatics (pp. 1--6).
4. Chen, L.; Lee, C.; Budhiraja, A.; Mehra, R. K. (2007). PFLib: an object-oriented MATLAB toolbox for particle filtering. Signal Processing, Sensor Fusion, and Target Recognition XVI. Signal Processing, Sensor Fusion, and Target Recognition XVI (vol. 6567, pp. 65670S).
5. Saeidi, S.; Khodadadi, J.; Johnson, C.; Lee, C.; Yang, E. (2005). Computational Modeling of a Piezoelectrically Actuated Microvalve for the Control of Liquid Flowrate. NSTI-Nanotech (vol. 3).

Journal Article

1. Cui, Z.; Lee, C.; Liu, M.; Wu, C. (2024). VIX Options Valuation via Continuous-Time Markov Chain Approximation and Ito-Taylor Expansion. The Journal of Derivatives (1 ed., vol. 32, pp. 11-31).
   http://dx.doi.org/10.3905/jod.2024.1.206.
2. Cui, Z.; Lee, C.; Zhu, L.; Zhu, Y. (2021). Non-convex isotonic regression via the Myersonian approach. Statistics & Probability Letters (vol. 179, pp. 109210). Elsevier BV.
   http://dx.doi.org/10.1016/j.spl.2021.109210.
3. Choi, M. C.; Lee, C.; Song, J. (2021). Entropy flow and de Bruijn's identity for a class of stochastic differential equations driven by fractional Brownian motion. Probability in the Engineering and Informational Sciences (3 ed., vol. 35, pp. 369-380).
4. Lee, C.; Liu, X.; Liu, Y.; Zhang, L. (2021). Optimal production rate for double ended queueing system under time varying demand. Stochastic Systems (vol. 11, pp. 140-173).
5. Lee, C.; Ward, A. R.; Ye, H. (2021). Stationary Distribution Convergence of the Offered Waiting Processes in Heavy Traffic under General Patience Time Scaling. Queueing Systems: Theory and Applications (vol. 99, pp. 283–303 ).
6. Cui, Z.; Lee, C.; Zhu, L.; Zhu, Y. (2021). On the optimal design of the randomized unbiased Monte Carlo estimators. Operations Research Letters (4 ed., vol. 49, pp. 477-484). Elsevier BV.
   http://dx.doi.org/10.1016/j.orl.2021.05.004.
7. Chen, S.; Owolabi, Y.; Li, A.; Lo, E.; Robinson, P.; Janies, D.; Lee, C.; Dulin, M. (2020). Patch dynamics modeling framework from pathogens? perspective: Unified and standardized approach for complicated epidemic systems. PLoS One (vol. 15, pp. e0238186).
8. Lee, C.; Ward, A. R.; Ye, H. (2020). Stationary distribution convergence of the offered waiting processes for GI/GI/1+ GI queues in heavy traffic. Queueing Systems (vol. 94, pp. 147--173).
9. Sun, L.; Lee, C.; Hoeting, J. A. (2019). A penalized simulated maximum likelihood method to estimate parameters for SDEs with measurement error. Computational Statistics (vol. 34, pp. 847--863).
10. Lee, C.; Ward, A. R. (2019). Pricing and capacity sizing of a service facility: Customer abandonment effects. Production and Operations Management (vol. 28, pp. 2031--2043).
11. Creamer, G.; Lee, C. (2019). A multivariate distance nonlinear causality test based on partial distance correlation: application to energy futures via SVM. Quantitative Finance: Special Issue on AI and Machine Learning in Finance (vol. 19, pp. 1531–1542).
    https://www.tandfonline.com/doi/abs/10.1080/14697688.2019.1622300.
12. Han, Z.; Hu, Y.; Lee, C. (2019). Optimal pricing barriers in a regime-switching regulated market. Quantitative Finance (vol. 19, pp. 491–499).
    https://www.tandfonline.com/doi/abs/10.1080/14697688.2018.1480835.
13. Mai, F.; Tian, S.; Lee, C.; Ma, L. (2019). Deep learning models for bankruptcy prediction using textual disclosures. European Journal of Operational Research (2 ed., vol. 274, pp. 743-758).
14. Chen, S.; Lanzas, C.; Lee, C.; Zenarosa, . L.; Arif, . A.; Dulin, M. (2019). Metapopulation Model from Pathogen’s Perspective: A Versatile Framework to Quantify Pathogen Transfer and Circulation between Environment and Hosts. Nature: Scientific Reports (pp. Article Number:1694).
    https://www.nature.com/articles/s41598-018-37938-0.
15. Chen, S.; Lenhart, S.; Day, J.; Lee, C.; Dulin, M.; Lanzas, C. (2018). Pathogen transfer through environment-host contact: an agent-based queueing theoretic framework.. Mathematical Medicine and Biology: A Journal of the IMA (vol. 35, pp. 409–425).
    https://academic.oup.com/imammb/article/35/3/409/4585724.
16. Cui, Z.; Lee, C.; Liu, Y. (2018). Single-transform formulas for pricing Asian options in a general approximation framework under Markov processes. European Journal of Operational Research (3 ed., vol. 266, pp. 1134-1139). Elsevier BV.
    http://dx.doi.org/10.1016/j.ejor.2017.10.049.
17. Chen, S.; Sanderson, M. W.; Lee, C.; Cernicchiaro, N.; Renter, D. G.; Lanzas, C. (2016). Basic reproduction number and transmission dynamics of common serogroups of enterohemorrhagic Escherichia coli. Applied and Environmental Microbiology (vol. 82, pp. 5612--5620).
18. Wei, S.; Lee, C.; Wichers, L.; Marron, J. (2016). Direction-projection-permutation for high-dimensional hypothesis tests. Journal of Computational and Graphical Statistics (vol. 25, pp. 549--569).
19. Lee, C.; Song, J. (2016). On drift parameter estimation for reflected fractional Ornstein--Uhlenbeck processes. Stochastics (formerly Stochastics and Stochastics Reports) (vol. 88, pp. 751--778). Stochastics (formerly Stochastics and Stochastics Reports).
20. Han, Z.; Hu, Y.; Lee, C. (2016). Optimal pricing barriers in a regulated market using reflected diffusion processes. Quantitative Finance (vol. 16, pp. 639--647). Quantitative Finance.
21. Sun, L.; Lee, C.; Hoeting, J. A. (2015). A penalized simulated maximum likelihood approach in parameter estimation for stochastic differential equations. Computational Statistics and Data Analysis (vol. 84, pp. 54--67).
22. Lee, C.; Puhalskii, A. A. (2015). Non-Markovian state-dependent networks in critical loading. Stochastic Models (vol. 31, pp. 43--66).
23. Hu, Y.; Lee, C.; Lee, M. H.; Song, J. (2015). Parameter estimation for reflected Ornstein--Uhlenbeck processes with discrete observations. Statistical Inference for Stochastic Processes (vol. 18, pp. 279--291).
24. Sun, L.; Lee, C.; Hoeting, J. A. (2015). Parameter inference and model selection in deterministic and stochastic dynamical models via approximate Bayesian computation: modeling a wildlife epidemic. Environmetrics (vol. 26, pp. 451--462).
25. Lee, C.; Ward, A. R. (2014). Optimal pricing and capacity sizing for the GI/GI/1 queue. Operations Research Letters (vol. 42, pp. 527--531).
26. Hu, Y.; Lee, C. (2013). Drift parameter estimation for a reflected fractional Brownian motion based on its local time. Journal of Applied Probability (vol. 50, pp. 592--597).
27. Lee, C. (2012). Bounds on exponential moments of hitting times for reflected processes on the positive orthant. Statistics and Probability Letters (vol. 82, pp. 1120--1128).
28. Lee, C.; Bishwal, J. P.; Lee, M. H. (2012). Sequential maximum likelihood estimation for reflected Ornstein--Uhlenbeck processes. Journal of Statistical Planning and Inference (vol. 142, pp. 1234--1242).
29. Lee, C. (2011). A geometric drift inequality for a reflected fractional Brownian motion process on the positive orthant. Journal of Applied Probability (vol. 48, pp. 820--831).
30. Lee, C.; Weerasinghe, A. (2011). Convergence of a queueing system in heavy traffic with general patience-time distributions. Stochastic Processes and their Applications (vol. 121, pp. 2507--2552).
31. Budhiraja, A.; Ghosh, A. P.; Lee, C. (2011). Ergodic rate control problem for single class queueing networks. SIAM Journal on Control and Optimization (vol. 49, pp. 1570--1606).
32. Lee, C. (2011). On moment stability properties for a class of state-dependent stochastic networks. Journal of the Korean Statistical Society (vol. 40, pp. 325--336).
33. Lee, C. (2011). On the return time for a reflected fractional Brownian motion process on the positive orthant. Journal of Applied Probability (vol. 48, pp. 145--153).
34. Lee, C.; Weerasinghe, A. (2011). Stationarity and control of a tandem fluid network with fractional Brownian motion input. Advances in Applied Probability (vol. 43, pp. 847--874).
35. Lee, C.; Wang, J. C. (2011). Waiting time probabilities in the M/G/1+ M queue. Statistica Neerlandica (vol. 65, pp. 72--83).
36. Lee, C. (2010). V-uniform ergodicity for state-dependent single class queueing networks. Queueing Systems (vol. 65, pp. 93--108).
37. Budhiraja, A.; Lee, C. (2009). Stationary distribution convergence for generalized Jackson networks in heavy traffic. Mathematics of Operations Research (vol. 34, pp. 45--56).
38. Budhiraja, A.; Chen, L.; Lee, C. (2007). A survey of numerical methods for nonlinear filtering problems. Physica D: Nonlinear Phenomena (vol. 230, pp. 27--36).
39. Chen, L.; Lee, C.; Mehra, R. K. (2007). How to tell a bad filter through Monte Carlo simulations. IEEE Transactions on Automatic Control (vol. 52, pp. 1302--1307).
40. Budhiraja, A.; Lee, C. (2007). Long time asymptotics for constrained diffusions in polyhedral domains. Stochastic Processes and Their Applications (vol. 117, pp. 1014--1036).