Research Areas:Stochastic analysis, Stochastic control, Stochastic differential games, 

             Backward stochastic differential equations, Mathematical finance

   0631-5685397/5688523

   juanlisdu@163.com

、

Ph.D.: Shandong University, 2000-2003

M.S.: Shandong Normal University, 1994-1997

B.S.: Shandong Normal University, 1990-1994

l 2008-2022: Vice-dean of School of Mathematics and Statistics, Shandong University

l 2022-present: Vice-Director of Research Center for Mathematics and Interdisciplinary Sciences, Shandong University

l 2005-2007: Postdoctoral position, Fudan University, Shanghai; University of Brest, Brest (France)

l The First Prize of 2023 Natural Science Award of Shandong Province 1/3), 2023

l Selected into the Chang Jiang Scholars Distinguished Professor Program, 2017

l Baogang Excellent Teacher's Prize, 2014

l Excellent Teacher of Shandong University, 2014

l Selected into the Program for New Century Excellent Talents in University, 2013

l Shandong National Science Fund for Distinguished Young Scholars, 2012

l National Science Fund for Excellent Young Scholars, 2012

[1] Rainer Buckdahn, Juan Li, Chuanzhi Xing. Doubly-stochastic interpretation for nonlocal semi-linear backward stochastic partial differential equations. Journal of Differential Equations. 375, 1-81, 2023. (SCI)

[2] Rainer Buckdahn, Juan Li, Jin Ma. A general conditional McKean-Vlasov stochastic differential equation. Annals of Applied Probability. 33 (3): 2004-2023, 2023. (SCI)

[3] Yaozhong Hu, Juan Li, Chao Mi. BSDEs generated by fractional space-time noise and related SPDEs. Applied Mathematics and Computation. 450, No. 127979: 1-30, 2023. (SCI)

[4] Juan Li, Hao Liang, Chao Mi. A stochastic maximum principle for partially observed general mean-field control problems with only weak solution. Stochastic Processes and their Applications. 165, 397-439, 2023. (SCI)

[5] Florin Avram, Lorenzo Freddi, Dan Goreac, Juan Li, Junsong Li. Controlled compartmental models with time-varying population: normalization, viability and comparison. Journal of Optimization Theory and Applications. 198(3), 1019-1048, 2023. (SCI)

[6] Rainer Buckdahn, Dan Goreac, Juan Li. On the near-viability property of controlled mean-field flows. Numerical Algebra, Control and Optimization. 2023. Doi: 10.3934/naco.2023004.

[7] Lorenzo Freddi, Dan Goreac, Juan Li, Boxiang Xu. SIR epidemics with state-dependent costs and ICU constraints: a Hamilton-Jacobi verification argument and dual LP algorithms. Applied Mathematics and Optimization. 86(2), No.23: 1-31, 2022. (SCI)

[8] Goreac Dan, Juan Li, Boxiang Xu. Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. Part I: theoretical aspects. Applied Mathematics and Computation. No. 127321, 2022. (SCI)

[9] Juan Li, Chuanzhi Xing. General mean-field BDSDEs with continuous coefficients. Journal of Mathematical Analysis and Applications. 506(2), No. 125699, 2022. (SCI)

[10] Juan Li, Wenqiang Li, Gechun Liang. A game theoretical approach to homothetic robust forward investment performance processes in stochastic factor models. SIAM Journal on Financial Mathematics. 12(3), 867-897, 2021. (SCI)

[11] Florin Avram, Dan Goreac, Juan Li, Xiaochi Wu. Equity cost induced dichotomy for optimal dividends with capital injections in the Cramer-Lundberg model. Mathematics. 9(9), No. 931, 2021. (SCI)

[12] Juan Li, Wenqiang Li, Qingmeng Wei. Probabilistic interpretation of a system of coupled Hamilton-Jacobi-Bellman-Isaacs equations. ESAIM-Control Optimisation and Calculus of Variations. 27(S), S17, 2021. (SCI)

[13] Juan Li, Chuanzhi Xing, Ying Peng. Comparison theorems for multi-dimensional general mean-field BDSDEs. Acta Mathematica Scientia. 41(2), 535-551, 2021. (SCI)

[14] Rainer Buckdahn, Yajie Chen, Juan Li. Partial derivative with respect to the measure and its application to general controlled mean-field systems. Stochastic Processes and Their Applications. 134, 265-307, 2021. (SCI)

[15] Rainer Buckdahn, Juan Li, Nana Zhao. Representation of limit values for nonexpansive stochastic differential games. Journal of Differential Equations. 276, 187-277, 2021. (SCI)

[16] Rainer Buckdahn, Juan Li, Marc Quincampoix, Jérôme Renault. Representation formulas for limit values of long run stochastic optimal controls. SIAM Journal on Control and Optimization. 58(4), 1846-1873, 2020. (SCI)

[17] Juan Li, Nana Zhao. Representation of asymptotic values for nonexpansive stochastic control systems. Stochastic Processes and Their Applications. 129(2), 634-673, 2019. (SCI)

[18] Juan Li, Wenqiang Li. Nash equilibrium payoffs for non-zero-sum stochastic differential games without Isaacs condition. Stochastic. 91(1), 1-36, 2019. (SCI)

[19] Juan Li, Hao Liang, Xiao Zhang. General mean-field BSDEs with continuous coefficients. Journal of Mathematical Analysis and Applications. 466(1), 264-280，2018. (SCI)

[20] Juan Li. Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs. Stochastic Processes and Their Applications. 128(9), 3118-3180, 2018. (SCI)

[21] Rainer Buckdahn, Juan Li, Shige Peng, Catherine Rainer. Mean-field stochastic differential equations and associated PDEs. Annals of Probability. 45(2), 824-878, 2017. (SCI)

[22] Juan Li, Wenqiang Li. Zero-sum and nonzero-sum differential games without Isaacs condition. ESAIM: Control, Optimisation and Calculus of Variations. 23, 1217-1252. 2017. (SCI)

[23] Juan Li, Hui Min. Weak solutions of mean-field stochastic differential equations. Stochastic Analysis and Applications. 35(3), 542-568, 2017. (SCI)

[24] Tao Hao, Juan Li. BSDEs in games, coupled with the value functions. Associated nonlocal Bellman-Isaacs equations. Acta Mathematica Scientia. 37(5): 1497-1518, 2017. (SCI)

[25] Rainer Buckdahn, Juan Li, Jin Ma. A mean-field stochastic control problem with partial observations. Annals of Applied Probability. 27(5), 3201-3245, 2017. (SCI)

[26] Rainer Buckdahn, Juan Li, Jin Ma. A stochastic maximum principle for general mean-field systems. Applied Mathematics and Optimization. 74(3), 507-534, 2016. (SCI)

[27] Juan Li, Hui Min. Controlled mean-field backward stochastic differential equations with jumps involving the value function. Journal of Systems Science and Complexity. 29(5), 1238-1286, 2016. (SCI)

[28] Tao Hao, Juan Li. Mean-field SDEs with jumps and nonlocal integral-PDEs. Nonlinear Differential Equations and Applications. 23(2), 1-51, 2016. (SCI)

[29] Tao Hao, Juan Li. Fully coupled forward-backward sdes involving the value function and associated nonlocal Hamilton - Jacobi - Bellman equations. ESAIM - Control, Optimisation and Calculus of Variations. 22, 519-538, 2016. (SCI)

[30] Juan Li, Hui Min. Weak solutions of mean-field stochastic differential equations and application to zero-sum stochastic differential games. SIAM Journal on Control and Optimization, 54(3), 1826-1858, 2016. (SCI)

[31] Juan Li, Shanjian Tang. Optimal stochastic control with recursive cost functionals of stochastic differential systems reflected in a domain. ESAIM - Control, Optimisation and Calculus of Variations. 21(4), 1150-1177, 2015. (SCI)

[32] Juan Li, Wenqiang Li. Controlled reflected mean-field backward stochastic differential equations coupled with value function and related PDEs. Mathematical control and related fields. 5(3), 501-516, 2015. (SCI)

[33] Juan Li, Qingmeng Wei. Stochastic differential games for fully coupled FBSDEs with jumps. Applied Mathematics and Optimization. 71(3), 411-448, 2015. (SCI)

[34] Rainer Buckdahn, Juan Li, Marc Quincampoix. Value in mixed strategies for zero-sum stochastic differential games without Isaacs condition. Annals of Probability. 42 (4), 1724-1768, 2014. (SCI)

[35] Juan Li. Reflected mean-field backward stochastic differential equations. Approximation and associated nonlinear PDEs. Journal of Mathematical Analysis and Applications. 413(1), 47-68, 2014. (SCI)

[36] Juan Li, Qingmeng Wei. Lp estimates for fully coupled FBSDEs with jumps. Stochastic Processes and Their Applications. 124(4), 1582-1611, 2014. (SCI)

[37] Juan Li, Qingmeng Wei. Optimal control problems of fully coupled FBSDEs and viscosity solutions of Hamilton-Jacobi-Bellman equations. SIAM Journal on Control and Optimization. 52 (3), 1622-1662, 2014. (SCI)

[38] Tao Hao, Juan Li. BSDEs coupled with value function and related optimal control problems. Abstract and Applied Analysis. Article ID 262713, 2014. (SCI)

[39] Rainer Buckdahn, Juan Li, Shige Peng. Nonlinear stochastic differential games involving a major player and a large number of collectively acting minor agents. SIAM Journal on Control and Optimization. 52 (1), 451-492, 2014. (SCI)

[40] Rainer Buckdahn, Juan Li, Marc Quincampoix. Value function of differential games without Isaacs conditions. An approach with nonanticipative mixed strategies. International Journal of Game Theory. 42(4), 989-1020, 2013. (SCI)

[41] Juan Li. Stochastic maximum principle in the mean-field controls. Automatica. 48(2), 366-373, 2012. (SCI)

[42] Rainer Buckdahn, Jianhui Huang, Juan Li. Regularity properties for general HJB equations. A BSDE method. SIAM Journal on Control and Optimization. 50 (3), 1466-1501, 2012. (SCI)

[43] Rainer Buckdahn, Ying Hu, Juan Li. Stochastic representation for solutions of Isaacs' type integral-partial differential equations. Stochastic Processes and Their Applications. 121 (12), 2715-2750, 2011. (SCI)

[44] Rainer Buckdahn, Juan Li. Stochastic differential games with reflection and related obstacle problems for Isaacs equations. Acta Mathematicae Applicatae Sinica. 27 (4), 647-678, 2011. (SCI)

[45] Rainer Buckdahn, Boualem Djehiche, Juan Li. A general stochastic maximum principle for SDEs of mean-field type. Applied Mathematics and Optimization. 64(2), 197-216, 2011(SCI)

[46] Yanling Gu, Juan Li. Valuation of futures options with initial margin requirements and daily price limit. Acta Mathematica Sinica, English Series, 26(3), 579-586, 2010 (SCI)

[47] Rainer Buckdahn, Juan Li, Shige Peng. Mean-field backward stochastic differential equations and related partial differential equations. Stochastic Processes and Their Applications. 119(10), 3133-3154, 2009. (SCI)

[48] Rainer Buckdahn, Boualem Djehiche, Juan Li, Shige Peng. Mean-field backward stochastic differential equations. A limit approach. Annals of Probability. 37 (4), 1524-1565, 2009. (SCI)

[49] Rainer Buckdahn, Juan Li. Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers. Nonlinear Differential Equations and Applications. 16(3), 381-420, 2009. (SCI)

[50] Juan Li, Shige Peng. Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations. Nonlinear Analysis: Theory, Methods & Applications. 70 (4), 1776-1796, 2009. (SCI)

[51] Rainer Buckdahn, Juan Li. Stochastic differential games and viscosity solutions of Hamilton-Jacobi-Bellman-Isaacs equations. SIAM Journal on Control and Optimization. 47 (1), 444-475, 2008. (SCI)

[52] Juan Li, Shanjian Tang. A local strict comparison theorem and converse comparison theorems for reflected backward stochastic differential equations. Stochastic Processes and Their Applications. 117(9), 1234-1250, 2007. (SCI)

[53] Yanling Gu, Juan Li. Converse comparison problems for reflected backward stochastic differential equations. I. (Chinese) Chinese Ann. Math. Ser. A 28 (2), 239-248, 2007; translation in Chinese J. Contemp. Math. 28 (2), 201-210, 2007.

[54] Juan Li. Fully coupled forward-backward stochastic differential equations with general martingale. Acta Mathematica Scientia. 26 (3), 443-450, 2006. (SCI)

1) Mean field dynamical system and its applications to insurance and biomathematics, Major Basic Research Project of NSF of Shandong Province, ZR2023ZD35, 2024.01- 2026.12, Chair.

2) Mean field theory and nonlinear mathematical expectation, Key Project of NSF of P.R. China, 12031009, 2021.01-2025.12, Chair.

3) Financial risk measurement theory based on modern stochastic analysis, National Key R & D Program of China, 2018YFA0703900, 2019.09-2024.08, Chair.

4) Mean field stochastic control and stochastic differential game, General Program of NSF of China, 11871037, 2019.01-2022.12, Chair.

5) Ergodic theory of stochastic dynamical systems with nonlinear expectation, Newton Advanced Fellowship, 11661130148, 2016.03-2019.02, Chair.

6) Stochastic differential games and stochastic control theory and its applications, National Science Fund for Excellent Young Scholars, 2013.01-2015.12, Chair.

7) New Century Excellent Talents in University, NCET-12-0331、2013.01-2015.12, Chair.

8) Stochastic control and stochastic analysis, Shandong National Science Fund for Distinguished Young Scholars, JQ201202, 2012.07-2015.07, Chair.

9) Mean field stochastic system theory and its application, General Program of NSF of China, 11071144, 2011.01-2013.12, Chair.

10) Forward backward stochastic system theory and its application, Shandong Province outstanding young and middle-aged scientists research award Fund, BS2011SF010, 2011.07-2014.07, Chair.

11) Stochastic differential game theory and its application, Youth Fund of NSF of China, 10701050, 2008.01-2010.12, Chair.

12) Reflected backward stochastic differential equation theory and its application, Youth Fund of NSF of Shandong Province, Q2007A04, 2008.01-2010.12, Chair.

13) Backward stochastic differential equation theory and its application, Scientific Research Foundation for the Returned Overseas Chinese Scholars, State Education Ministry, 2008.01-2010.12, Chair.

14) Nonlinear expectation and its application in finance, Tianyuan Fund of NSF of China, 10426022, 2005.01-2005.12, Chair.