Hongwei Mei

Portrait of Hongwei Mei

Tenure-Track Assistant Professor
Department of Mathematics and Statistics
Texas Tech University
MATH 217
hongwei.mei@ttu.edu

Research Interests

Applied Probability, Stochastic Analysis, Stochastic Control and Optimization, Optimal Stopping

Grants

  1. SIMONS Travel Grant (2023-2028); Amount: $42,000; Status: Awarded.

Submissions

  1. Mei, H., Rachev S., Wang R. (2025). Turnpike Property of Mean-Field Linear-Quadratic Optimal Control Problems in Infinite Horizon with Regime Switching.
  2. Mei, H., Wang, R., Yong, J. (2025). Turnpike Property of a Linear-Quadratic Optimal Control Problem in Large Horizons with Regime Switching II: Non-Homogeneous Cases.
  3. Mei, H., Wang, R., Yong, J. (2025). Turnpike Property of Stochastic Linear-Quadratic Optimal Control Problems in Large Horizons with Regime Switching I: Homogeneous Cases.

Publications

  1. Mei, H., Wang, R., Wei, Q., Yong, J. (2026). Infinite Horizon Mean-Field Linear-Quadratic Optimal Control Problems with Switching and Indefinite-Weighted Costs. Accepted for publication in Appl. Math. Optim.
  2. Mei, H., Wei, Q., Yong, J. (2025). Linear-Quadratic Optimal Control for Mean-Field Stochastic Differential Equations in Infinite Horizon with Regime Switching. Accepted for publication in Chinese Annals of Mathematics: Series B.
  3. Mei, H., Nguyen, S. L., Yin, G. (2025). Closed-loop Equilibria for Mean-Field Games in Randomly Switching Environments with General Discounting Costs. SIAM Journal on Control and Optimization, 63(2), 966-992.
  4. Ernst, P. A., Mei, H. (2025). The Minimax Wiener Sequential Testing Problem. SIAM Journal on Control and Optimization, 63(1), 206-226.
  5. Mei, H., Wei, Q., Yong, J. (2024). Linear-quadratic optimal control problem for mean-field stochastic differential equations with a type of random coefficients. Numerical Algebra, Control and Optimization, 14(4), 813-852.
  6. Ernst, P. A., Mei, H., Peskir, G. (2024). Quickest Real-Time Detection of Multiple Brownian Drifts. SIAM Journal on Control and Optimization, 62(3), 1832-1856.
  7. Cai, Z., Mei, H., Wang, R. (2024). A model specification test for nonlinear stochastic diffusions with delay. Statistical Inference for Stochastic Processes, 27(3), 795-812.
  8. Ernst, P. and Mei, H. (2023). Exact Optimal Stopping for Multidimensional Linear Switching Diffusions. Mathematics of Operations Research, 48(3), 1589-1606.
  9. Mei, H., Wei, Q., & Yong, J. (2021). Optimal Ergodic Control of Linear Stochastic Differential Equations with Quadratic Cost Functionals Having Indefinite Weights. SIAM Journal on Control and Optimization, 59(1), 584-613.
  10. Mei, H. and Yin, G. (2021). Controlled Markov chains with non-exponential discounting and distribution-dependent costs. ESAIM: Control Optimisation and Calculus of Variations, 27.
  11. Mei, Hongwei (2021). Time-Inconsistent Risk-Sensitive Equilibrium for Countable-Stated Markov Decision Processes. Appl. Math. Optim. 84, no. 2, 1641--1666.
  12. Cai, H., Chen, G. and Mei, H. (2021). Uniqueness of dissipative solution for Camassa-Holm equation with peakon-antipeakon initial data. Applied Mathematics Letters, 120, p.107268.
  13. H. Mei and C. Zhu (2020). Closed-Loop Equilibrium for Time-Inconsistent McKean-Vlasov Controlled Problem. SIAM Journal on Control and Optimization, 58(6), 3842-3867.
  14. H. Mei and J. Yong (2019). Equilibrium strategies for time-inconsistent stochastic switching systems. ESAIM Control Optim. Calc. Var. 25. Art. 64, 60 pp.
  15. F. Wu, G. Yin, and H. Mei (2017). Stochastic functional differential equations with infinite delay: Existence and uniqueness of solutions, solution maps, Markov properties, and ergodicity. J. Differential Equations, 262, 1226-1252.
  16. H. Mei, G. Yin, and F. Wu (2016). Properties of stochastic integro-differential equations with infinite delay: Regularity, ergodicity, weak sense Fokker-Planck equations. Stochastic Process. Appl., 126, 3102-3123.
  17. H. Mei and G. Yin (2015). Convergence and convergence rates for approximating ergodic means of functions of solutions to stochastic differential equations with Markov switching. Stochastic Process. Appl. 125, 3104-3125.
  18. H. Mei and G. Yin (2015). Strong invariance for switching diffusions. Asymptot. Anal. 92, 45-64.
  19. H. Mei, L. Wang, and G. Yin (2014). Almost sure convergence rates for system identification using binary, quantized, and regular sensors. Automatica 50, 2120-2127.
  20. M. Csörgö, Z. Hu, and H. Mei (2013). Strassen-type law of the iterated logarithm for self-normalized sums. J. Theoret. Probab. 26, 311-328.
  21. M. Csörgö, Z. Hu, and H. Mei (2012). Strassen-type law of the iterated logarithm for self-normalized increments of sums. J. Math. Anal. Appl. 393, 45-55.