Daniel OstrovDepartment of Mathematics and Computer Science
Santa Clara University
HistoryProfessor, Mathematics and Computer Science, Santa Clara University, 2012-present.
Associate Professor, Mathematics and Computer Science, Santa Clara University, 2001-2012.
Assistant Professor, Mathematics and Computer Science, Santa Clara University, 1995-2001.
Visiting Assistant Professor, Applied Mathematics, Brown University, 1994-1995.
Ph.D. 1994, Brown University, Applied Mathematics
M.S. 1992, Brown University, Applied Mathematics
M.S. 1992, Brown University, Engineering
B.S. 1990, University of Wisconsin - Madison, Chemical Engineering
InterestsI am a Professor in the Mathematics and Computer Science Department at Santa Clara University. Yes, that means I do math just because I like it. The doctors tell me that many people with my condition can still lead an active, normal life. Personally, I suspect these doctors are a bunch of quacks.
I am an Applied Mathematician and study Partial Differential Equations that arise in Finance, Engineering, Chemistry, Economics, and Physics.
Recently, I have concentrated on issues from Financial Mathematics and Economics. Jonathan Goodman and I have worked on linear partial differential equations that describe how to price stock options. We have also analyzed the effect of transaction costs on optimal investment strategies. Tom Wong and I have studied optimal investment strategies in the presence of taxes, in particular quantifying the effect of reaping tax losses wherever possible. (The C++ program for quantifying these losses is available here.) Dan Friedman and I have looked at the effect of gradient based dynamics on models arising in Economics and other fields. Jim DiLellio and I are looking at how in retirement to drain IRA, Roth IRA, and taxable stock accounts in the most tax efficient manner possible.
I have also studied non-linear, first order hyperbolic partial differential equations called Conservation Laws and Hamilton-Jacobi equations. I have shown how to use these equations to study shape from shading, which reconstructs a 3-D surface by exploiting a 2-D picture (or radar image) of the surface, and chromatography, which is a chemical separation process.
For more, see my publications list here.
Office: O'Connor Hall, Room 332 (Third Floor)