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于志勇
-
教授
博士生导师
硕士生导师
- 性别：男
- 毕业院校：山东大学
- 学历：博士研究生毕业
- 学位：理学博士学位
- 在职信息：在职
- 所在单位：数学学院
- 入职时间： 2002-07-16
- 学科：概率论与数理统计
金融数学与金融工程
统计学学科
访问量：
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[21]
Ran Tian , Zhiyong Yu and Rucheng Zhang.
A closed-loop saddle point for zero-sum linear-quadratic stochastic differential games with mean-fie.
Systems and Control Letters,
136,
11 pp.,
2020.
-
[22]
Zongyuan Huang , Haiyang Wang , Zhen Wu and Zhiyong Yu.
Quadratic reflected BSDEs and related obstacle problems for PDEs.
Communications in Statistics - Theory and Methods,
49,
567-589,
2020.
-
[23]
Qingmeng Wei , Jiongmin Yong and Zhiyong Yu.
Linear quadratic stochastic optimal control problems with operator coefficients: open-loop solutions.
ESAIM-Control Optimisation and Calculus of Variations,
25,
38 pp.,
2019.
-
[24]
Na Li and Zhiyong Yu.
Forward-backward stochastic differential equations and linear-quadratic generalized Stackelberg game.
SIAM Journal on Control and Optimization,
56,
4148-4180,
2018.
-
[25]
Qingmeng Wei and Zhiyong Yu.
Time-inconsistent recursive zero-sum stochastic differential games.
Mathematical Control and Related Fields,
8,
1051-1079,
2018.
-
[26]
Na Li , Zhen Wu and Zhiyong Yu.
Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stocha.
Science China-Mathematics,
61,
563-576,
2018.
-
[27]
Zhiyong Yu.
Infinite horizon jump-diffusion forward-backward stochastic differential equations and their applica.
ESAIM-Control Optimisation and Calculus of Variations,
23,
1331-1359,
2017.
-
[28]
Yanqing Wang , Donghui Yang , Jiongmin Yong and Zhiyong Yu.
Exact controllability of linear stochastic differential equations and related problems.
Mathematical Control and Related Fields,
7,
305-345,
2017.
-
[29]
Qingmeng Wei , Jiongmin Yong and Zhiyong Yu.
Time-inconsistent recursive stochastic optimal control problems.
SIAM Journal on Control and Optimization,
55,
4156-4201,
2017.
-
[30]
Siyu Lv , Zhen Wu and Zhiyong Yu.
Continuous-time mean-variance portfolio selection with random horizon in an incomplete market.
Automatica,
69,
176-180,
2016.
-
[31]
Zhiyong Yu.
An optimal feedback control-strategy pair for zero-sum linear-quadratic stochastic differential game.
SIAM Journal on Control and Optimization,
53,
2141-2167,
2015.
-
[32]
Na Li and Zhiyong Yu.
Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems wit.
Advances in Difference Equations,
2015,
19 pp.,
2015.
-
[33]
Li Chen and Zhiyong Yu.
Maximum principle for nonzero-sum stochastic differential game with delays.
IEEE Transactions on Automatic Control,
60,
1422-1426,
2015.
-
[34]
Zhen Wu and Zhiyong Yu.
Probabilistic interpretation for a system of quasilinear parabolic partial differential equation com.
Stochastic Processes and their Applications,
124,
3921-3947,
2014.
-
[35]
Jianhui Huang and Zhiyong Yu.
Solvability of indefinite stochastic Riccati equations and linear quadratic optimal control problems.
Systems and Control Letters,
68,
68-75,
2014.
-
[36]
Zhiyong Yu.
Continuous-time mean-variance portfolio selection with random horizon.
Applied Mathematics and Optimization,
68,
333-359,
2013.
-
[37]
Jingtao Shi and Zhiyong Yu.
Relationship between maximum principle and dynamic programming for stochastic recursive optimal cont.
Mathematical Problems in Engineering,
2013,
12 pp.,
2013.
-
[38]
Zhiyong Yu.
Equivalent cost functionals and stochastic linear quadratic optimal control problems.
ESAIM: Control, Optimisation and Calculus of Variations,
19,
78-90,
2013.
-
[39]
Li Chen , Zhen Wu and Zhiyong Yu.
Delayed stochastic linear-quadratic control problem and related applications.
Journal of Applied Mathematics,
2012,
22 pp.,
2012.
-
[40]
Zhiyong Yu.
The stochastic maximum principle for optimal control problems of delay systems involving continuous .
Automatica,
48,
2420-2432,
2012.
