Vladimir T. Dobric

Email: vd00@lehigh.edu

Phone: (610)758-3734 (o)

Department of Mathematics

14 E. Packer Avenue

Lehigh University

Bethlehem, Pennsylvania.



  • About me

  • Math Dept.


  • Acta Mathematica Universitatis Comenianae

  • Annales Academif Scientiarum Fennicf Mathematica

  • Balkan Journal of Geometry and Its Applications

  • The Electronic Journal of Combinatorics

  • The Electronic Journal of Differential Equations

  • The Electronic Journal of Linear Algebra

  • Electronic Journal of Probability and Electronic Communications in Probability

  • Electronic Transactions on Numerical Analysis

  • International Journal of Mathematics and Mathematical Sciences

  • Lobachevskii Journal of Mathematics

  • The New York Journal of Mathematics

    • Research Interests

  • Analysis

  • Measure Theory

  • Probability

    Recent Publications

  • "Stability properties for compactly supported prescale function" in SIAM, Journal of Mathematical Analysis (1999).

  • "Weakly compactly generated Banach spaces and the strong law of large numbers," J. Theor. Probab. 7(1994), 129--134.

  • "Stochastic differentiability in maximum likelihood theory (with C. Liebars) Probability in Banach spaces," Proceedings on the Ninth International Conference, Birkhauser, Boston, 1994.

  • "Exact asymptotics for transportation cost in high dimensions (with J. Yukich)," J. Theor. Probab. 8(1995), 97--118.

  • "Some analogs of the Berry-Esseen bound for first-order Chebyshev-Edgeworth expansions (with B.K. Ghosh)," Statistics and Decisions 14(1996), 383--404.


    Courses I Taught

  • Math 467 Financial Calculus I
      Basic mathematical concepts behind derivative pricing and portfolio management of derivative securities. Development of Arbitrage Pricing Theory in the context of the binomial model and Black-Sholes model. Option pricing in more realistic scenarios. Introduction to the theory of Brownian motion and Ito calculus (Stochastic Calculus).
  • Math 468 Financial Calculus II
      Topics on continuous-time martingales, Brownian motion and Ito calculus. The absence of arbitrage opportunities and the existence of equivalent martingale measures, the pricing of contingent claims. Quantitative methods for portfolio management with the Capital Asset Pricing Model and Merton's continuous time dynamic models. Models for the random evolution of the term structure of interest rates.

    My Ph.D. Students

  • Cathy Liebars
  • Robert Stolz
    • Analysis
  • Prof. John Lindsay Orr. Analysis Notes


    • Measure Theory
  • Vitali's Theorem and WWKL (Penn State Univ.)

  • Prof. Ashish V. Naik's Resource-bounded Measure Theory Page


    • Probability
  • Probability Tutorials

  • Prof. E. T. Jaynes Probability Theory Page

  • Bibliography for Computational Probability and Statistics

  • Electronic Journal of Probability (Univ. of Washington)

  • Markov Chain Monte Carlo Preprint Service

  • Probability Abstract Service

  • InterStat --- Statistics on the Internet

  • Applied Probability Trust

  • Matrix-Analytic Cyberhome

  • The Probability Web

  • Institute of Mathematical Statistics

  • Stochastic Networks Web

  • Virtual Laboratories in Probability and Statistics

  • CADSMAP (Univ. of Queensland)

  • Myron Hlynka's Queueing Page

  • The pLab Project Home Page (random number generators)

  • Probability Theory listings (XXX Mathematics Archives)

  • Informs Applied Probability Society


    • Numerical Analysis
  • Computational Science Education Project

  • Finite Element Resources

  • NIST Applied and Computational Mathematics Division

  • Numerical Analysis Page




    • URL: http://www.lehigh.edu/