Chia Lee

I am currently at the Department of Statistics and Operations Research in the University of North Carolina, Chapel Hill.

Education
PhD, Applied Mathematics (Brown University, Division of Applied Math)
Advisor: Professor Boris Rozovsky
MS, Applied Mathematics (Brown University, Division of Applied Math)
B.Sc., Mathematics and Music (The University of Michigan at Ann Arbor)

Research Interests
My research interests lie in the intersection between stochastic analysis and numerical simulation. My work at SAMSI focuses on simulation methods for computing important functionals or statistics of a stochastic system of interest, and in particular for computing probabilities relating to rare events in the stochastic system. In this context, I study importance sampling techniques for estimating rare probabilities, as well as the connection between large deviation results and the design of sampling schemes. Applications include problems in stochastic differential equations, reflected diffusions, and graph theory.

At Brown, my research was in the analysis and numerical analysis of stochastic PDEs driven by spatial white noise. I studied the existence of solutions of SPDE as generalized random elements using techniques from the Malliavin calculus and Wiener chaos expansion. In particular, I looked at parabolic SPDEs and the stochastic Navier-Stokes equations modeled using the Malliavin calculus or the Wick product, as well as numerical error analysis for solving SPDE using the Wiener chaos expansion.

Before going to Brown, I spent a year at the Bioinformatics Institute in Singapore, where I studied the modeling of p53 tumor suppressor reaction pathways as well as modifications of Gillespie's Stochastic Simulation Algorithm for simulating enzymatic reactions catalyzed by a single enzyme whose reaction rate constant varies randomly in time.

Publications

• C. Y. Lee, J. Nolen, S. Bhamidi, J. Hannig.
  The importance sampling technique for understanding rare events in Erdos-Renyi random graphs
  Submitted.
  arxiv
• C. Y. Lee.
  Stochastic simulation of biochemical systems with randomly fluctuating rate constants
  Preprint.
  arxiv
• C. Y. Lee and B. R. Rozovskii.
  On Stochastic Navier-Stokes Equation Driven by Stationary White Noise
  To appear in: D Nualart Festchrift, Springer, 2012.
  PDF
• C. Y. Lee and B. R. Rozovskii.
  A stochastic finite element method for stochastic parabolic equations driven by purely spatial noise,
  Communications on Stochastic Analysis, 2010, Vol. 4, No. 2, pp. 271-297.
  PDF
• C. Y. Lee, B. R. Rozovskii and H. M. Zhou.
  Randomization of forcing in large systems of PDEs for improvement of energy estimates,
  SIAM Journal of Multiscale Modeling and Simulation, 2010, Vol. 8, No. 4, pp. 1419-1438.
  DOI

Curriculum Vitae

• CV (current as of 27 Feb 2013)

Teaching
Fall 2012---STOR113 Decision Models for Economists

My Musical and Pianistic Endeavors
This is my secret life...