数学科学研究所
Insitute of Mathematical Science

Tongseok Lim

Career 

2018.9-present, Assistant Professor, ShanghaiTech University

• 2016.10-2018. 8, Postdoc, University of Oxford, Oxford, UK
• 2016.5-2016.9, Postdoc, Technische Universität Wien, Vienna, Austria


Education
• 2016.5, PhD in Mathematics. University of British Columbia, Vancouver, Canada
• 2006.2, BSc in Mathematics. Yonsei University, Seoul, Korea


Research

· (Martingale) Optimal Transport in multi-dimensions and its applications to Financial Mathematics and Statistical Optimization. 

· Analysis of Variational problems arising in Physics, Geometry and Data.


Publications    

· with N. Ghoussoub and Y-H Kim. Structure of optimal martingale transport in general dimensions. The Annals of Probability, Volume 47, Number 1 (2019), 109--164.

· with M. Beiglböck and J. Obłój. Dual attainment for the martingale transport problem. Bernoulli, Volume 25, Number 3 (2019), 1640--1658.

· Optimal martingale transport between radially symmetric marginals in general dimensions. Stochastic Processes and their Applications, https://doi.org/10.1016/j.spa.2019.06.005 (2019)

· with N. Ghoussoub and Y-H Kim. Optimal Brownian stopping when the source and target are radially symmetric distributions. https://arxiv.org/abs/1906.11635 (June 2019)

· with K. Kang, H.K. Kim and G. Seo. Uniqueness and characterization of local minimizers for the interaction energy with mildly repulsive potentials. https://arxiv.org/abs/1907.07004 (July 2019)

· with R.J. McCann. Isodiametry, variance, and regular simplices from particle interactions. https://arxiv.org/abs/1907.13593 (Aug 2019)

· Multi-martingale optimal transport. https://arxiv.org/abs/1611.01496 (2017)

· with S. Eckstein, G. Guo and Jan Obłój. Robust pricing and hedging of options on multiple assets and its numerics. https://arxiv.org/abs/1909.03870 (Sep 2019) 





Email:

Tlim@shanghaitech.edu.cn

Office: S415, School of Creativity & Arts


地址:上海市浦东新区华夏中路393号
邮编:201210
上海市徐汇区岳阳路319号8号楼
200031(岳阳路校区)