- C.F. Koo Professor Emeritus of Statistics

**Primary Email:**

steele@wharton.upenn.edu

**Research Interests: **applications of probability, mathematical finance, modeling of price processes, statistical modeling

**Links:**
Personal Website

PhD, Stanford University, 1975

BA, Cornell University, 1971

President, Institute for Mathematical Statistics, 2010

Fellow, Institute for Mathematical Statistics, 1984

Fellow, American Statistical Association, 1989

Frank Wilcoxon Prize, American Society for Quality Control and the American Statistical Association, 1990

**Wharton**: 1990-present (named C.F. Koo Professor, 1991).

**Previous appointments**: Princeton University; Carnegie Mellon University; Stanford University; University of British Columbia.

**Visiting appointments**: University of Chicago, Columbia University

V. Pozdnyakov and J. Michael Steele,

**“Scan Statistics: Pattern Relations and Martingale Methods”**. In Handbook of Scan Statistics, edited by (J. Glaz, et al), Springer Verlag, (2019)A. Arlotto and J. Michael Steele (2018),

**A Central Limit Theorem for Costs in Bulinskaya’s Inventory Management Problem When Deliveries Face Delays**,*Methodology and Computing in Applied Probability: Special Issue in Memory of Moshe Shaked*, 41 (4), pp. 1448-1468.J. Michael Steele (2016),

**The Bruss-Robertson Inequality: Elaborations, Extensions, and Applications**,*Mathematica Applicanda (Annales Societatis Mathematicae Polonae Series III)*, 44 (1), pp. 3-16.A. Arlotto and J. Michael Steele (2016),

**A Central Limit Theorem for Temporally Non-Homogenous Markov Chains with Applications to Dynamic Programming**,*Mathematics of Operations Research*, 41 (4), pp. 1448-1468.Peichao Peng and J. Michael Steele (2016),

**Sequential Selection of a Monotone Subsequence from a Random Permutation**,*Proceedings of the American Mathematics Society*, 144 (11), pp. 4973-4982.A. Arlotto, Elchanan Mossel, J. Michael Steele (2016),

**Quickest Online Selection of an Increasing Subsequence of Specified Size**,*Random Structures and Algorithms*, 49, pp. 235-252.A. Arlotto and J. Michael Steele (2016),

**Beardwood-Halton-Hammersly Theorem for Stationary Ergodic Sequences: a Counter-example**,*Annals of Applied Probability*, 26 (4), pp. 2141-2168.V. Posdnyakov and J. Michael Steele (2016),

**Buses, Bullies, and Bijections**,*Mathematics Magazine*, 89 (3), pp. 167-176.S. Bhamidi, J. Michael Steele, T. Zaman (2015),

**Twitter Event Networks and the Superstar Model**,*Annals of Applied Probability*, 25 (5), pp. 2462-2502.A. Arlotto, V. Nguyen, J. Michael Steele (2015),

**Optimal Online Selection of a Monotone Subsequence: A Central Limit Theorem**,*Stochastic Processes and their Applications*, 125, pp. 3596-3622.

### CIS8990 - PhD Independent Study

For doctoral students studying a specific advanced subject area in computer and information science. The Independent Study may involve coursework, presentations, and formally gradable work comparable to that in a CIS 5000 or 6000 level course. The Independent Study may also be used by doctoral students to explore research options with faculty, prior to determining a thesis topic. Students should discuss with the faculty supervisor the scope of the Independent Study, expectations, work involved, etc. The Independent Study should not be used for ongoing research towards a thesis, for which the CIS 9990 designation should be used.

### MATH5460 - Adv Applied Probability

The required background is (1) enough math background to understand proof techniques in real analysis (closed sets, uniform covergence, fourier series, etc.) and (2) some exposure to probability theory at an intuitive level (a course at the level of Ross's probability text or some exposure to probability in a statistics class).

### STAT4330 - Stochastic Processes

An introduction to Stochastic Processes. The primary focus is on Markov Chains, Martingales and Gaussian Processes. We will discuss many interesting applications from physics to economics. Topics may include: simulations of path functions, game theory and linear programming, stochastic optimization, Brownian Motion and Black-Scholes.

### STAT5330 - Stochastic Processes

An introduction to Stochastic Processes. The primary focus is on Markov Chains, Martingales and Gaussian Processes. We will discuss many interesting applications from physics to economics. Topics may include: simulations of path functions, game theory and linear programming, stochastic optimization, Brownian Motion and Black-Scholes.

### STAT9550 - Stoch Cal & Fin Appl

Selected topics in the theory of probability and stochastic processes.

### STAT9910 - Sem in Adv Appl of Stat

This seminar will be taken by doctoral candidates after the completion of most of their coursework. Topics vary from year to year and are chosen from advance probability, statistical inference, robust methods, and decision theory with principal emphasis on applications.

### STAT9950 - Dissertation

### STAT9990 - Independent Study

Written permission of instructor and the department course coordinator required to enroll.

- Wharton Undergraduate Excellence in Teaching Award, 2010
- Frank Wilcoxon Prize, American Society for Quality Control and the American Statistical Association, 1990
- Fellow, American Statistical Association, 1989
- Fellow, Institute for Mathematical Statistics, 1984

V. Pozdnyakov and J. Michael Steele, **“Scan Statistics: Pattern Relations and Martingale Methods”**. In Handbook of Scan Statistics, edited by (J. Glaz, et al), Springer Verlag, (2019)

All Research