PGS. TS. Ngô Hoàng Long

Education

• 2008 – 2011: PhD in Mathematics at Department of Mathematical Sciences, Ritsumeikan University. Advisors: Prof. Shigeyoshi Ogawa, Jiro Akahori and Arturo Kohatsu-Higa. Thesis title “Volatility estimation for diffusion type processes and related topics”.
• 2003 – 2005: M.S. in Mathematics at Department of Mathematics and Informatics, Hanoi National University of Education. Advisor: Dr. Vu Viet Yen. Thesis title: “Measurable Multifunctions and the Convergence of Multivalued Martingale” (Rank: 1st).
• 1999 – 2003: B.S in Mathematics at Department of Mathematics and Informatics, Hanoi National University of Education (Rank: 1st).

Publications

M.-T. Do, H.-L. Ngo and N.-A. Pho, Tamed-adaptive Euler-Maruyama approximation for SDEs with superlinearly growing and piecewise continuous drift, superlinearly growing and locally Holder continuous diffusion, J. Complex82 (2024), Paper No. 101833, 40 pp.; MR4692491

N. K. Tran and H.-L. Ngo, LAMN property for jump diffusion processes with discrete observations on a fixed time interval, J. Statist. Plann. Inference 225 (2023), 1–28; MR4516400

T.-T. Kieu et al., Strong convergence in infinite time interval of tamed-adaptive Euler-Maruyama scheme for Lévy-driven SDEs with irregular coefficients, Comput. Appl. Math. 41 (2022), no. 7, Paper No. 301, 31 pp.; MR4476921

N. K. Tran and H.-L. Ngo, LAMN property for multivariate inhomogeneous diffusions with discrete observations, Electron. J. Stat. 16 (2022), no. 2, 4275–4331; MR4474575

T.-T. Kieu, D.-T. Luong and H.-L. Ngo, Tamed-adaptive Euler-Maruyama approximation for SDEs with locally Lipschitz continuous drift and locally Holder continuous diffusion coefficients, Stoch. Anal. Appl. 40 (2022), no. 4, 714–734; MR4438740

H.-L. Ngo and M. Peigne, Limit theorem for reflected random walks, in {\it Thermodynamic formalism, 205–233, Lecture Notes in Math. CIRM Jean-Morlet Ser., 2290 , Springer, Cham, ; MR4436826

H.-L. Ngo and D. Taguchi, Semi-implicit Euler-Maruyama approximation for noncolliding particle systems, Ann. Appl. Probab. 30 (2020), no. 2, 673–705; MR4108119

T.-T. Kieu et al., Convergence, non-negativity and stability of a new tamed Euler-Maruyama scheme for stochastic differential equations with Holder continuous diffusion coefficient, Vietnam J. Math. 48 (2020), no. 1, 107–124; MR4068373

H.-L. Ngo and M. Peigne, Limit theorem for perturbed random walks, Theory Stoch. Process. 24 (2019), no. 2, 61–78; MR4105264

D.-T. Luong and H.-L. Ngo, Semi-implicit Milstein approximation scheme for non-colliding particle systems, Calcolo 56 (2019), no. 3, Paper No. 25, 18 pp.; MR3981194

H.-L. Ngo and D. Taguchi, On the Euler-Maruyama scheme for SDEs with bounded variation and Holder continuous coefficients, Math. Comput. Simulation 161 (2019), 102–112; MR3926802

H.-L. Ngo and D.-T. Luong, Tamed Euler-Maruyama approximation for stochastic differential equations with locally Holder continuous diffusion coefficients, Statist. Probab. Lett. 145 (2019), 133–140; MR3873899

H.-L. Ngo and D. Taguchi, Approximation for non-smooth functionals of stochastic differential equations with irregular drift, J. Math. Anal. Appl. 457 (2018), no. 1, 361–388; MR3702711

N.-L. Liu and H.-L. Ngo, Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis, Jpn. J. Ind. Appl. Math. 34 (2017), no. 3, 747–761; MR3719692

H.-L. Ngo and D. Taguchi, On the Euler-Maruyama approximation for one-dimensional stochastic differential equations with irregular coefficients, IMA J. Numer. Anal. 37 (2017), no. 4, 1864–1883; MR3712177

H.-L. Ngo and D. Taguchi, Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients, Statist. Probab. Lett. 125 (2017), 55–63; MR3626068

H.-L. Ngo and D.-T. Luong, Strong rate of tamed Euler-Maruyama approximation for stochastic differential equations with Holder continuous diffusion coefficient, Braz. J. Probab. Stat. 31 (2017), no. 1, 24–40; MR3601659

H.-L. Ngo and D. Taguchi, Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients, Math. Comp. 85 (2016), no. 300, 1793–1819; MR3471108

A. Kohatsu-Higa, A. Makhlouf and H.-L. Ngo, Approximations of non-smooth integral type functionals of one dimensional diffusion processes, Stochastic Process. Appl. 124 (2014), no. 5, 1881–1909; MR3170228

A. Kohatsu-Higa and H.-L. Ngo, Weak approximations for SDE’s driven by Lévy processes, in {\it Seminar on Stochastic Analysis, Random Fields and Applications VII, 131–169, Progr. Probab., 67, Birkh\”auser/Springer, Basel, ; MR3380098

H.-L. Ngo, An integrated cross-volatility estimation for asynchronous noisy data, J. Nonparametr. Stat. 24 (2012), no. 2, 465–480; MR2921147

H.-L. Ngo and S. Ogawa, On the discrete approximation of occupation time of diffusion processes, Electron. J. Stat. 5 (2011), 1374–1393; MR2842909

H.-L. Ngo, Parametric estimation for discretely observed stochastic processes with jumps, Electron. J. Stat. 4 (2010), 1443–1469; MR2741208

S. Ogawa and H.-L. Ngo, Real-time estimation scheme for the spot cross volatility of jump diffusion processes, Math. Comput. Simulation 80 (2010), no. 9, 1962–1976; MR2658526

H.-L. Ngo and S. Ogawa, A central limit theorem for the functional estimation of the spot volatility, Monte Carlo Methods Appl. 15 (2009), no. 4, 353–380; MR2603470

S. Ogawa and H.-L. Ngo, Some remarks on the real-time scheme for the estimation of spot volatility, Mem. Inst. Sci. Engrg. Ritsumeikan Univ. No. 67 (2008), 1–8; MR2543891

H.-L. Ngo and Vu Viet Yen, On Levy’s convergence theorems of two-parameter multivalued random processes, Acta Math. Vietnam. 31 (2006), no. 3, 261–267; MR2286874

Research Visits

• March 2009: University of Florence, Italy.
• April 2010: Academia Sinica, Taiwan.
• November 2010: Humboldt University in Berlin, Germany.
• January 2013: University of the Ryukyus, Japan.
• July 2013 – December 2014: Ritsumeikan University.
• January 2015 – April 2015: Vietnam Institute of Advanced Study in Mathematics
• February 2017: Ritsumeikan University
• March – June 2017: Vietnam Institute of Advanced Study in Mathematics
• September 2017: Ritsumeikan University
• April 2018: Tours University & Lyon University, France
• February 2019 – April 2019: Vietnam Institute of Advanced Study in Mathematics
• May 2019: Tours University, France
• July 2019: Ritsumeikan University, Japan
• September 2019: Paris 13, France