Research Areas: BSDE, Stochastic Control, Financial Mathematics
0531-88362798
nietianyang@sdu.edu.cn
2003.9 - 2007.7 BSc of Information and Computational Sciences, School of Mathematics, Shandong University
2007.9 - 2012.12 PhD in Mathematics, Probability and Mathematical Statistics, School of Mathematics, Shandong University
2009.10 - 2012.9 PhD in Mathematics, Université de Bretagne Occidentale, France & Alexandru Ioan Cuza University of laşi (UAIC), Romania
2013.3 - 2015.3 Postdoctoral Research Associate, University of Sydney, Australia
2015.3 - 2016.8 Assistant Researcher, School of Mathematics, Shandong University
2016.9 - 2018.8 Associate Professor, School of Mathematics, Shandong University
2018.9 - now Professor, School of Mathematics, Shandong University
2022.9 - now Vice Dean, School of Mathematics, Shandong University
[1] Second Prize, Natural Science Award of Shandong Province (1/1)
[2] 12th Excellent Youth in Science and Technology Award of Shandong Province
[3] Second Prize, National Teaching Achievement Award (7/10)
[4] Grand Prize, 9th Teaching Achievement Award for Higher Education of Shandong Province (7/10)
[5] Award for Excellent Youth in Mathematics of Shandong Mathematical Society
[6] First Prize, Natural Science Award of Shandong Automation Society/Zhang Siying Prize (1/1)
[7] Science and Technology Award for Universities/Colleges of Shandong Province (2/2)
[1] Min Li, Tianyang Nie, Zhen Wu, Linear-quadratic large-population problem with partial information: Hamiltonian approach and Riccati approach. SIAM Journal on Control and Optimization, 61(4), 2114–2139, 2023.
[2] Bozhang Dong, Tianyang Nie, Zhen Wu, Maximum principle for discrete-time stochastic control problem of mean-field type. Automatica, 144, Paper No. 110497, 12 pp, 2022.
[3] Edward Kim, Tianyang Nie, Marek Rutkowski, American options in nonlinear markets. Electronic Journal of Probability. 26(90), 1-41, 2021.
[4] Ying Hu, Jianhui Huang, Tianyang Nie, Linear-quadratic-Gaussian mixed mean-field games with heterogeneous input constraints. SIAM Journal on Control and Optimization, 56(4), 2835-2877, 2018.
[5] Tianyang Nie, Marek Rutkowski, Fair bilateral pricing under funding costs and exogenous collateralization. Mathematical Finance, 28(2), 621-655, 2018.
[6] Tianyang Nie, Jingtao Shi, Zhen Wu, Connection between MP and DPP for stochastic recursive optimal control problems: viscosity solution framework in the general case. SIAM Journal on Control and Optimization, 55(5), 3258–3294, 2017.
[7] Tianyang Nie, Marek Rutkowski, A BSDE approach to fair bilateral pricing under endogenous collateralization. Finance and Stochastics, 20(4), 855-900, 2016.
[8] Rainer Buckdahn, Tianyang Nie, Generalized Hamilton-Jacobi-Bellman equations with Dirichlet boundary condition and stochastic exit time optimal control problem. SIAM Journal on Control and Optimization, 54(2), 602-631, 2016.
[9] Tianyang Nie, Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality. Science China Mathematics, 58 (4), 729-748, 2015.
[10] Tianyang Nie, Marek Rutkowski, Multi-player stopping games with redistribution of payoffs and BSDEs with oblique reflection. Stochastic Processes and their Applications, 124 (8), 2672-2698, 2014.
[1] NSFC Excellent Young Scientists Fund, Principal Investigator
[2] Sub-project of National Key Research and Development Program of China, Principal Investigator
[3] Shandong Provincial Fund for Distinguished Young Scholars, Principal Investigator
[4] Two NSFC General Projects, Principal Investigator
