Steven Shreve

Steven Shreve is the Orion Hoch Professor of Mathematical Sciences, Mellon College of Science, and by courtesy, Tepper School of Business at Carnegie Mellon University. He is affiliated with the BUS department. His research focuses on financial mathematics, including models for derivative securities, utility maximization, optimal execution of large financial transactions, and the principal agent problem. He also studies queueing systems in heavy traffic, particularly when tasks have deadlines for completion. His work involves continuous-time models using stochastic calculus and has recently explored diffusion approximations for limit-order books in electronic trading. This research is ongoing with John Lehoczky and Ph.D. advisee Christopher Almost.

Steven Shreve is a Professor of Mathematical Sciences at Carnegie Mellon University, specializing in Probability and financial mathematics. His research focuses on stochastic processes, stochastic calculus, and their applications in financial modeling. He has contributed significantly to the development of continuous-time and discrete-time models for asset pricing, portfolio optimization, and hedging strategies. His work includes the analysis of transaction costs, utility maximization in incomplete markets, and optimal consumption/investment problems. Shreve's research also explores connections between optimal stopping and stochastic control, as well as the behavior of financial markets under various constraints. His publications often emphasize the mathematical foundations of financial derivatives and risk management.