Assistant Professor, Department of Mathematics

Weissman School of Arts and Sciences

Baruch College, The City University of New York (CUNY)

**TEACHING**

- MTH 3035: Vector Calculus

Line and surface integrals, Green’s theorem, divergence theorem, Stokes’ theorem

[syllabus] [written homework]

Spring 2019, MW 9:55am-11:35am, VC-10-170

- MTH 4115: Numerical Methods for Differential Equations in Finance

Computer arithmetics, nonlinear solver, matrix computation, time integration, finite difference solver for options

[syllabus] [quizzes] [book codes] [example codes] [rounding] [homework] [exam 1] [exam 2]

Spring 2019, MW 12:25pm-2:05pm, VC-8-135

- MTH 4125: Introduction to Stochastic Processes

Limit theorems, Markov chains, random walks, Poisson processes, Brownian motion

[syllabus] [quizzes] [homework] [homework solutions] [recurrent] [limit] [exam 1] [exam 2]

Spring 2019, MW 2:55pm-4:35pm, VC-12-170

- MTH 4120: Mathematical Probability

Probability space, discrete and continuous random variables, covariance and correlation, central limit theorem

- MTH 4130: Mathematics of Data Analysis

Inferential statistics, statistical tests, applied linear models, time series, unsupervised learning

- Analyzing and developing numerical algorithms for the linear complementarity problem (LCP)

Operator splitting, fractional derivatives, option pricing, fluid dynamics, systems with constraints - Designing and implementing spectral collation methods on the graphics processing unit (GPU)

Jacobi, Legendre, Chebyshev, Laguerre, Hermit, fractional derivatives - Applying and developing kernel methods in scientific computing and data analysis

Gaussian, Laplacian, triangular, orthogonal, fractional, logarithmic

**CONTACT**

- Office: Vertical Campus Room 6-285, 55 Lex at 24th, New York, NY
- Email: feng.chen@baruch.cuny.edu
- Phone: 646-312-4168

**BACKGROUND**

- Postdoc, Division of Applied Mathematics, Brown University, Providence, RI, 2012-2014
Projects: Efficient Algorithms for Fractional PDEs, Parallel-in-time Algorithms

Mentor: Jan S Hesthaven - Ph.D. in Mathematics, Purdue University, West Lafayette, IN, 2012
Thesis: Efficient Spectral Methods and Stable Time Discretizations for a Class of Parabolic Type PDEs

Adviser: Jie Shen - B.S. in Mathematics, Nanjing University, Jiangsu, China, 2006
Thesis: Applications of the Fractal Geometry in Oncology

Adviser: Weiyi Su

**JOURNAL PAPERS**

- Efficient energy stable schemes with spectral discretization in space for anisotropic Cahn-Hilliard systems

Feng Chen, Jie Shen

Communications in Computational Physics 13 (5), 1189-1208, 2013 - A multi-domain spectral method for time-fractional differential equations

Feng Chen, Qinwu Xu, Jan S Hesthaven

Journal of Computational Physics 293, 157-172, 2015 - Efficient spectral–Galerkin methods for systems of coupled second-order equations and their applications

Feng Chen, Jie Shen

Journal of Computational Physics 231(15), 2012 - A parareal method for time-fractional differential equations

Qinwu Xu, Jan S Hesthaven, Feng Chen

Journal of Computational Physics 293, 173-183, 2015 - An efficient and energy stable scheme for a phase-field model for the moving contact line problem

Sebstian Aland, Feng Chen

International Journal for Numerical Methods in Fluids 81 (11), 657-671, 2016 - A GPU parallelized spectral method for elliptic equations in rectangular domains

Feng Chen, Jie Shen

Journal of Computational Physics 250, 555-564, 2013 - A new spectral element method for pricing European options under the Black–Scholes and Merton jump diffusion models

Feng Chen, Jie Shen, Haijun Yu

Journal of Scientific Computing 52 (3), 499-518, 2012 - A new framework of GPU-accelerated spectral solvers: collocation and Galerkin methods for systems of coupled elliptic equations

Feng Chen

Journal of Scientific Computing 62 (2), 575-600, 2015 - Modeling and simulation of switchings in ferroelectric liquid crystals

Jinhae Park, Feng Chen, Jie Shen

Discrete and Cont. Dyn. Syst 26, 1419-1440, 2010 - A new operator splitting method for American options under
fractional Black–Scholes models

Chris Chen, Zeqi Wang, Yue Yang

Computers & Mathematics with Applications, 2018

**BOOK CHAPTER**

- On the use of reduced basis methods to accelerate and stabilize the parareal method

Feng Chen, Jan S Hesthaven, Xueyu Zhu

Modeling, simulation and applications: Reduced Order Methods for modeling and computational reduction, Chapter 7. Springer International Publishing, 2014. Editors: Alfio Quarteroni, Gianluigi Rozza

**REPORT**

- An adjoint approach for stabilizing the parareal method

Feng Chen, Jan S Hesthaven, Yvon Maday, Allan S Nielsen

Resaerch report to Brown University and Ecole Polytechnique Fédérale de Lausanne, 2015

**GOOGLE SCHOLAR PAGE: LINK **

**COMPUTATIONAL PACKAGES & EDUCATIONAL CODES: LINK **

**SELECTED REVIEWER SERVICE**

- Computers & Mathematics with Applications
- Journal of Scientific Computing
- Computer Methods in Applied Mechanics and Engineering
- Applied Numerical Mathematics