John P. Lehoczky

Thomas Lord University Professor of Statistics Emeritus

Bio

Thomas Lord University Professor of Statistics and Mathematical Sciences received his Ph.D. in statistics from Stanford University in 1969.  Dr. Lehoczky’s main teaching and research interest involve the theory and application of stochastic processes.  His current focus is on two broad application areas: financial markets and real-time computer and communication systems.  In finance, he has been involved in the development of new simulation methodologies to price and hedge complex securities, the estimation of parameters of stochastic differential equations and its application to term structure or asset pricing models, and the behavior of limit-order books.  His research in real-time computer systems involves collaboration with researchers at the CMU School of Computer Science, Electrical and Computer Engineering Departments and the Department of Mathematical Sciences.  He developed, jointly with Professor Steve Shreve, a new analytic methodology called real-time queueing theory.  He has published extensively in journals including the Annals of Applied Probability, Management Science and Real-Time Systems.  He has served on the editorial staff of Management Science, IEEE Transactions on Computers, and Real Time Systems.   Dr. Lehoczky is a fellow of the American Statistical Association, Institute of Mathematical Statistics, INFORMS, AAAS, is an elected member of the International Statistics Institute, and was co-recipient of the 2016 IEEE Simon Ramo medal.