Daniel Ostrov

Department of Mathematics and Computer Science
Santa Clara University

History

Professor, 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

Information Links

Interests

I 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 who studies Optimal Control problems and Partial Differential Equations that arise in Finance, as well as in Engineering, Chemistry, Economics, and Physics.

My recent research has concentrated on issues in Financial Mathematics and Economics.

  • Sanjiv Das and I have worked with Franklin Templeton investments on a string of papers that show people how to optimally change investments over time to maximize their chance of attaining a goal or how to optimally change investments and optimally select which goals to obtain when they have multiple goals over time of different importance to them. One of the offshoots of this work has been Franklin Templeton's Goals Optimiation Engine (GOE).
  • Jim DiLellio and I have looked at how a retiree can drain IRA/401(k), Roth IRA/Roth 401(k), and taxable stock accounts in the most tax efficient manner possible.
  • Jonathan Goodman and I have analyzed the effect of transaction costs on optimal investment strategies and worked on partial differential equations that describe how to price stock options.
  • Dan Friedman and I have looked at the effect of gradient based dynamics on models arising in Economics and other fields.
  • 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.)

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.

Many of my publications can be found here.

Contact Information

Email: dostrov@scu.edu

Snail mail:
Department of Mathematics and Computer Science
Santa Clara University
500 El Camino Real
Santa Clara, CA 95053-0290

Office: O'Connor Hall, Room 332 (Third Floor)

Phones:
408-554-4551 (office)
408-554-4525 (Math/CS department office)
408-554-2370 (Math/CS department FAX)


This homepage last updated August 27, 2022. It was a slow day.