金融经济学与金融数学；倒向随机微分方程和非线性期望理论及其应用；随机优化问题及其在经济和金融中的应用

·代表论著（selected publications）

一．  金融经济学

1.  Larry G. Epstein and Shaolin Ji, Ambiguous Volatility and Asset Pricing in Continuous Time, The Review of Financial Studies,  26 (7): 1740-1786, 2013.

2.  Carole Bernard, Shaolin Ji and Weidong Tian, An optimal insurance design problem under Knightian uncertainty, Decisions in economics and finance, 36(2): 99-124, 2013.

3.  Larry G. Epstein and Shaolin Ji, Ambiguous volatility, possibility and utility in continuous time, Journal of Mathematical Economics, 50: 269-282, 2014.

4.     Shaolin ji, Li Li and Jianjun Miao, Dynamic Contracts with Learning Under Ambiguity, Preprint (download), 2016.

5.     Larry G. Epstein and Shaolin Ji, Optimal learning under robustness and time-consistency, Preprint (download), 2018.

二．  倒向随机微分方程和非线性期望

1.  Shaolin Ji and Shige Peng, Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection, Stochastic processes and their Applications, 118(6): 952-967, 2008.

2.  Shaolin Ji and Xun Yu Zhou, A generalized Neyman–Pearson lemma under g-probabilities, Probability theory and related fields, 148: 645-669,  2010.

3.  Shaolin Ji, Dual method for continuous-time Markowitz’s problems with nonlinear wealth equations, Journal of Mathematical Analysis and Applications, 366: 90-100, 2010.

4.  Mingshang Hu, Shaolin Ji, Shige Peng, Yongsheng Song, Backward stochastic differential equations driven by G-Brownian motion, Stochastic Processes and their Applications, 124(1): 759–784, 2014.

5.    Mingshang Hu, Shaolin Ji, Shige Peng, Yongsheng Song, Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G-Brownian motion, Stochastic Processes and their Applications, 124(2): 1170–1195, 2014.

三．  随机优化

1. Shaolin Ji and Xun Yu Zhou, A maximum principle for stochastic optimal control with terminal state constraints, and its applications, A special issue dedicated Tyrone Duncan on the occation of his 65th birthday, Communications in Information and Systems, 6(4): 321-338, 2006.

2. Mingshang Hu, Shaolin Ji and Shuzhen Yang A Stochastic Recursive Optimal Control Problem Under the G-expectation Framework，Applied Mathematics and Optimization, 70(2): 253-278, 2014.

3. Mingshang Hu and Shaolin Ji Stochastic maximum principle for stochastic recursive optimal control problem under volatility uncertainty, SIAM J. CONTROL OPTIM.,54(2):918-945, 2016.

4. Mingshang Hu and Shaolin Ji, Dynamic programming principle for stochastic recursive optimal control problem driven by a G-Brownian motion, Stochastic Processes and their Applications 127 (2017) 107–1.

5. Mingshang Hu, Shaolin Ji and Xiaole Xue, A Global stochastic maximum principle for fully coupled forward-backward stochastic systems, SIAM J. CONTROL OPTIM.,56(6): 4309-4335, 2018.