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个人信息Personal Information
教授 博士生导师 硕士生导师
主要任职：山东大学副校长
其他任职：数学学院院长、泰山学堂常务副院长
性别：男
毕业院校：山东大学
学历：博士研究生毕业
学位：博士生
在职信息：在职
所在单位：数学学院
学科：金融数学与金融工程
概率论与数理统计
运筹学与控制论
联系方式：(86)531-88365550
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- [61] 陈田. A Kind of Optimal Investment Problem under Non-Markovian Regime-Switching Model with Random Horizon. 2022.
- [62] 李长喜. Bridging the Gap Between Probabilistic Logical Networks and Stochastic Logical Networks. 2022.
- [63] . On well-posedness of forward-backward SDES - A unified approach. ANNALS OF APPLIED PROBABILITY, 25, 2168, 2015.
- [64] 陈颖谷. The stochastic maximum principle for relaxed control problem with regime-switching. Systems and Control Letters, 169, 2022.
- [65] 董伯彰. Maximum principle for discrete-time stochastic control problem of mean-field type. Automatica, 144, 2022.
- [66] 刘如一. TWO EQUIVALENT FAMILIES OF LINEAR FULLY COUPLED FORWARD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS. ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS, 28, 1, 2022.
- [67] 陈田. Linear-quadratic optimal control for partially observed forward-backward stochastic systems with random jumps. SCIENCE CHINA-Information Sciences, 65, 2022.
- [68] 杜凯. Social optima in mean field linear–quadratic–Gaussian models with control input constraint. 162, 2022.
- [69] Huang Jianhui . Robust Stackelberg Differential Game With Model Uncertainty. IEEE Transactions on automatic control, 2022.
- [70] Jin Ma. On well-posedness of forward-backward SDEs-A unified approach. THE ANNALS OF APPLIED PROBABILITY, 25, 2168, 2015.
- [71] 王光臣. A maximum principle for mean-field stochastic control system with noisy observation. Automatica, 2022.
- [72] Ma Ning , Wu Zhen and Zhao Huaizhong. Backward stochastic differential equations with Markov chains and associated PDEs. Journal of Differential Equations, 302, 854, 2021.
- [73] Song Yuanzhuo , Tang Shanjian and Wu Zhen. The maximum principle for progressive optimal stochastic control problems with random jumps. SIAM Journal on Control and Optimization, 58, 2171, 2020.
- [74] Wang Haiyang and Wu Zhen. Mean-variance portfolio selection with discontinuous prices and random horizon in an incomplete market. SCIENCE CHINA-Information Sciences, 63, 2020.
- [75] Li Min and Wu Zhen. Near-optimal control problems for forward-backward regime-switching systems. ESAIM-Control Optimisation and Calculus of Variations, 26, 2020.
- [76] Liu Ruyi , Wu Zhen and Zhang Qing. Pairs-trading under geometric Brownian motions: An optimal strategy with cutting losses. Automatica, 115, 2020.
- [77] Huang Jianhui , Si Kehan and Wu Zhen. Linear-Quadratic Mixed Stackelberg-Nash Stochastic Differential Game with Major-Minor Agents. Applied Mathematics & Optimization, 2021.
- [78] Li Na , Wang Guangchen and Wu Zhen. Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information. Automatica, 121, 2020.
- [79] Lv Siyu , Wu Zhen and Zhang Qing. The Dynkin game with regime switching and applications to pricing game options. Annals of Operations Research, 2021.
- [80] Lv Siyu , Wu Zhen and Yu Zhiyong. Continuous-time mean-variance portfolio selection with random horizon in an incomplete market. Automatica, 69, 176, 2016.