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Xin Guo Associate Professor Ph.D. Rutgers University, 1999 Mathematics 4173 Etcheverry Hall (510) 642-3615 E-mail: xinguoieor.berkeley.edu Personal Webpage: http://www.ieor.berkeley.edu/~xinguo

Professor Xin Guo joined Berkeley's IEOR department July 1, 2006 after three years at Cornell School of Operations Research and Industrial Engineering. Prior to that, she spent four years at IBM T. J. Watson research center at Yorktown Heights, where she was the winner of the Herman Goldstein Postdoc Fellowship in 1999. Her primary research interests are in the general area of stochastic processes and applications and financial engineering.

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Research

Stochastic processes and applications. In particular,

• Stochastic control
• Semi-martingale and filteration expansions
• Credit Risk
• (Ir)reversible Investment

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Publications

• X. Guo. " An explicit solution to an optimal stopping problem with regime switching,'' Journal of Applied Probability, 38(2):464-481, 2001.
• X. Guo and L. Shepp. " Some optimal stopping problems with non-trivial boundaries for pricing exotic options,'' Journal of Applied Probability, 38(3):647-658, 2001.
• X. Guo, J. Liu, and X. Y. Zhou. " A constrained non-linear regular-singular stochastic control problem, with applications,'' Stochastic Processes and their Applications, 109(2):167-187, 2004.
• X. Guo and H. Pham. " Optimal partially reversible investment with entry decision and general production function,'' Stochastic Processes and their Applications, 115(5):705-736, 2005.
• A. Banerjee, X. Guo, and H. Wang " On the optimality of conditional expectation as a Bregman predictor,'' IEEE Transactions on Information Theory, 51(7):2664-2669, 2005.
• X. Guo, J. J. Miao, and E. Morellec. " Irreversible investment with regime shifts,'' Journal of Economic Theory, 122(1):37-59, 2005.