Carnegie Mellon University

John P. Lehoczky

Professor of Statistics and Mathematics

232G Baker Hall
Department of Statistics & Data Science
Carnegie Mellon University
5000 Forbes Avenue
Pittsburgh, PA 15213

P: 412-268-6295

Education

Ph.D., Stanford University

Research

My research is in the area of stochastic processes and their application in mathematical finance, computer, communication and manufacturing systems, queueing theory and stochastic control. In mathematical finance, I'm studying the problem of finding the optimal consumption and investment policies for a single agent and the existence and uniqueness of equilibrium. My research involves Brownian motion, martingales and It calculus. Other areas of my research involve the asymptotic analysis of manufacturing systems and scheduling algorithms for real-time computer systems.

Select Publications

Strosnider, J., Lehoczky, J. and Sha, L. (1995), "The Deferrable Server Algorithms for Enhanced Responsiveness in Real-time Environments," IEEE Transactions on Computers, 44, 79–91.

Lehoczky, J. and Thuel, S. R. (1994), "Scheduling Periodic and Aperiodic Tasks Using the Slack Stealing Algorithm," to appear in Principles of Real-Time Systems (ed. S. Son), Prentice Hall.

Lehoczky, J., Sethi, S., Soner, M. and Taksar, M. (1991), "An Asymptotic Analysis of Hierarchical Control of Manufacturing Systems," Math. of Operations Research 16: 596–608.

Karatzas, I., Lehoczky, J., Shreve, S. and Xu, G.-L. (1991), "Martingale and Duality Methods for Utility Maximization in an Incomplete Market," SIAM J. Control and Optimization 29: 702–730.