研究领域：金融数学，微分对策，正倒向随机微分方程，随机控制，控制科学

  电话：0531-88365550

  邮箱：wuzhen@sdu.edu.cn

 

 

1987.9——1991.7：山东大学运筹学与控制论理学学士学位

1991.9——1994.7：山东大学运筹学与控制论硕士

1994.9——1997.7：山东大学应用数学博士

 

1997.7至今：山东大学数学学院

 

陈省身数学奖

2019-01-22：山东省科学技术奖

 

1. A maximum principle for discrete-time stochastic optimal control problem with delay.  systems & control letters,  181,  2023.

2. The maximum principle for stochastic control problem with Markov chain in progressive structure.  systems & control letters,  166,  2022.

3. A GENERAL MAXIMUM PRINCIPLE FOR PARTIALLY OBSERVED MEAN-FIELD STOCHASTIC SYSTEM WITH RANDOM JUMPS IN PROGRESSIVE STRUCTURE.  Mathematical Control and Related Fields,  2022.

4. The general maximum principle for discrete-time stochastic control problems.  Automatica,  159,  2024.

5. Maximum principle for conditional mean-field FBSDEs systems with regime-switching involving impulse controls.  JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS Journal,  530,  2024.

6. Backward Linear-Quadratic Mean Field Social Optima with Partial Information.  Communications in Mathematics and Statistics,  2023.

7. THE GENERAL MAXIMUM PRINCIPLE FOR STOCHASTIC CONTROL PROBLEMS WITH SINGULAR CONTROLS.  Discrete and Continuous Dynamical Systems,  42,  5437-5451, 2022.

8. THE SECOND-ORDER MAXIMUM PRINCIPLE FOR PARTIALLY OBSERVED OPTIMAL CONTROLS.  Mathematical Control and Related Fields,  2022.

9. Indefinite Backward Stochastic Linear-Quadratic Optimal Control Problems.  ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS,  29,  2023.

10. Linear quadratic mean-field game-team analysis: A mixed coalition approach.  Automatica,  159,  2024.

11. Linear-Quadratic Delayed Mean-Field Social Optimization.  APPLIED MATHEMATICS AND OPTIMIZATION,  89,  2024.

12. The Maximum Principle for Stochastic Control Problem with Jumps in Progressive Structure.  Journal of Optimization Theory and Applications,  199,  415-438, 2023.

13. LINEAR-QUADRATIC MEAN FIELD GAMES OF CONTROLS WITH NON-MONOTONE DATA.  Transactions of the American Mathematical Society,  2023.

14. THE MEAN FIELD OPTIMAL SWITCHING PROBLEM: VARIATIONAL INEQUALITY APPROACH.  Mathematical Control and Related Fields,  2023.

15. DYNAMIC PROGRAMMING PRINCIPLE FOR ONE KIND OF STOCHASTIC RECURSIVE OPTIMAL CONTROL PROBLEM WITH MARKOVIAN SWITCHING.  Mathematical Control and Related Fields,  2023.

16. 陈田. Continuous-Time Mean-Variance Portfolio Selection Under Non-Markovian Regime-Switching Model with Random Horizon.  Complexity ,  36,  457-479, 2023.

17. 陈田. The maximum principle for stochastic control problem with Markov chain in progressive structure.  Systems and Control Letters,  166,  2022.

18. 陈田. A GENERAL MAXIMUM PRINCIPLE FOR PARTIALLY OBSERVED MEAN-FIELD STOCHASTIC SYSTEM WITH RANDOM JUMPS IN PROGRESSIVE STRUCTURE.  Mathematical Control and Related Fields, Vol. 8, No. 3&4, 653-678,  2023.

19. Continuous-Time Mean-Variance Portfolio Selection Under Non-Markovian Regime-Switching Model with Random Horizon.  Complexity ,  36,  457-479, 2023.

20. 李敏. LINEAR-QUADRATIC MEAN FIELD GAMES OF CONTROLS WITH NON-MONOTONE DATA.  Transactions of the American Mathematical Society,  2023.

21. The Maximum Principle for Stochastic Control Problem with Jumps in Progressive Structure.  Journal of Optimization Theory and Applications,  2023.

22. 黄宗媛. 大学数学一流课程建设与实践.  中国大学教学,  27-31+2, 2021.

23. A Kind of Optimal Investment Problem under Inflation and Uncertain Exit Time.  2022-July,  1739-1744, 2022.

24. One Kind of Corporate International Optimal Investment and Consumption Choice Problem.  603-606, 2008.

25. One Kind of Corporate Optimal Investment Problem: Inflation Case.  0,  3668-3672, 2009.

26. 正倒向随机微分方程理论基础及相关应用.  应用概率统计,  39,  413-435, 2023.

27. LINEAR-QUADRATIC LARGE-POPULATION PROBLEM WITH PARTIAL INFORMATION: HAMILTONIAN APPROACH AND RICCATI APPROACH.  SIAM JOURNAL ON CONTROL AND OPTIMIZATION？？,  61,  2114,

28. 陈颖谷. The stochastic maximum principle for relaxed control problem with regime-switching.  Systems and Control Letters,  169,  2022.

29. On well-posedness of forward-backward SDES - A unified approach.  ANNALS OF APPLIED PROBABILITY,  25,  2168, 2015.

30. TWO EQUIVALENT FAMILIES OF LINEAR FULLY COUPLED FORWARD BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS.  ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS,  28,  1, 2022.

31. Maximum principle for discrete-time stochastic control problem of mean-field type.  Automatica,  144,  2022.

32. Social optima in mean field linear–quadratic–Gaussian models with control input constraint.  162,  2022.

33. Huang Jianhui . Robust Stackelberg Differential Game With Model Uncertainty.  IEEE Transactions on automatic control,  2022.

34. Mean-field linear-quadratic stochastic differential games.  JOURNAL OF DIFFERENTIAL EQUATIONS Journal,  296,  299, 2021.

35. DYNKIN GAME FOR CALLABLE-PUTTABLE CONVERTIBLE BONDS: THE VALUATION AND SENSITIVITY ANALYSIS.  COMMUNICATIONS IN MATHEMATICAL SCIENCES,  19,  647, 2021.

36. Linear-quadratic optimal control for time-delay stochastic system with recursive utility under full and partial information.  Automatica,  121,  2020.

37. Necessary and sufficient conditions of near-optimality in a regime-switching diffusion model.  OPTIMAL CONTROL APPLICATIONS & METHODS ,  41,  793, 2020.

38. The Dynkin game with regime switching and applications to pricing game options.  Annals of Operations Research,  2021.

39. Pairs-trading under geometric Brownian motions: An optimal strategy with cutting losses.  Automatica,  115,  2020.

40. Stochastic Optimal Control Problem in Advertising Model with Delay.  journal of Systems Science and Complexity,  33,  968, 2020.

41. Linear-quadratic mean-field game for stochastic large-population systems with jump diffusion.  IET Contorl Theory and Applications,  14,  481, 2020.

42. Maximum Principle for Optimal Control Problems of Forward-Backward Regime-Switching Systems Involving Impulse Controls.  Mathematical Problems in Engineering,  2015.

43. Continuous-time mean-variance portfolio selection with random horizon in an incomplete market.  Automatica,  69,  176, 2016.

44. Backward-forward linear-quadratic mean-field Stackelberg games.  Advances in Difference Equations,  2021,  2021.

45. Near-optimal control problems for forward-backward regime-switching systems.  ESAIM-CONTROL OPTIMISATION AND CALCULUS OF VARIATIONS,  26,  2020.

46. Backward Doubly Stochastic Differential Equations with Markov Chains and a Comparison Theorem.  SYMMETRY-BASEL,  12,  2020.

47. A kind of stochastic recursive Zero-Sum differential game problem with double obstacles constraint.  COMMUNICATIONS IN STATISTICS-THEORY AND METHODS,  49,  5356, 2020.

48. Delayed stochastic linear-quadratic control problem and related applications.  《Journal of Applied Mathematics》,  2012,  2012.

49. Fully Coupled Forward-Backward Stochastic Differential Equations and Related Partial Differential Equations System.  Chinese Journal of Contemporary Mathematics,  25,  269, 2004.

50. A sufficient stochastic maximum principle for a kind of recursive optimal control problem with obstacle constraint.  systems & control letters,  114,  27, 2018.

51. An Indefinite Stochastic Linear Quadratic Optimal Control Problem for the FBSDE System with Jumps.  Proceedings of the 34th Chinese Control Conference,  2015.

52. 完全耦合的正倒向随机微分方程及相应的偏微分方程系统.  数学年刊,  25A,  457, 2004.

53. 带随机跳跃的线性二次非零和微分对策问题.  《应用数学和力学》,  26,  945, 2005.

54. Nash Equilibrium Point for One Kind of Stochastic Nonzero-Sum Game Problem and BSDEs.  C. R. Acad. Sci. Paris, Ser. I,  347,  959, 2009.

55. 刘如一. Well-Posedness of Fully Coupled Linear Forward-Backward Stochastic Differential Equations.  Journal of Systems Science & Complexity,  32,  789, 2019.

56. 杜凯. Linear-Quadratic Stackelberg Game for Mean-Field Backward Stochastic Differential System and Application.  Mathematical Problems in Engineering,  2019.

57. 吴臻. Sobolev space weak solutions to one kind of quasilinear parabolic partial differential equations related to forward-backward stochastic differential equations.  Discrete and Continuous Dynamical System,  2494, 2023.

58. 陈田. A Kind of Optimal Investment Problem under Non-Markovian Regime-Switching Model with Random Horizon.  2022.

59. 李长喜. Bridging the Gap Between Probabilistic Logical Networks and Stochastic Logical Networks.  2022.

60. On well-posedness of forward-backward SDES - A unified approach.  ANNALS OF APPLIED PROBABILITY,  25,  2168, 2015.

61. 陈颖谷. The stochastic maximum principle for relaxed control problem with regime-switching.  Systems and Control Letters,  169,  2022.

62. 董伯彰. Maximum principle for discrete-time stochastic control problem of mean-field type.  Automatica,  144,  2022.

63. 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.

64. 陈田. Linear-quadratic optimal control for partially observed forward-backward stochastic systems with random jumps.  SCIENCE CHINA-Information Sciences,  65,  2022.

65. 杜凯. Social optima in mean field linear–quadratic–Gaussian models with control input constraint.  162,  2022.

66. Huang Jianhui . Robust Stackelberg Differential Game With Model Uncertainty.  IEEE Transactions on automatic control,  2022.

67. Jin Ma. On well-posedness of forward-backward SDEs-A unified approach.  THE ANNALS OF APPLIED PROBABILITY,  25,  2168, 2015.

68. 王光臣. A maximum principle for mean-field stochastic control system with noisy observation.  Automatica,  2022.

69. Ma Ning , Wu Zhen  and Zhao Huaizhong. Backward stochastic differential equations with Markov chains and associated PDEs.  Journal of Differential Equations,  302,  854, 2021.

70. 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.

71. 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.

72. Li Min  and Wu Zhen. Near-optimal control problems for forward-backward regime-switching systems.  ESAIM-Control Optimisation and Calculus of Variations,  26,  2020.

73. Liu Ruyi , Wu Zhen  and Zhang Qing. Pairs-trading under geometric Brownian motions: An optimal strategy with cutting losses.  Automatica,  115,  2020.

74. Huang Jianhui , Si Kehan  and Wu Zhen. Linear-Quadratic Mixed Stackelberg-Nash Stochastic Differential Game with Major-Minor Agents.  Applied Mathematics & Optimization,  2021.

75. 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.

76. Lv Siyu , Wu Zhen  and Zhang Qing. The Dynkin game with regime switching and applications to pricing game options.  Annals of Operations Research,  2021.

77. Lv Siyu , Wu Zhen  and Yu Zhiyong. Continuous-time mean-variance portfolio selection with random horizon in an incomplete market.  Automatica,  69,  176, 2016.

78. Lv Siyu , Zhang Qing  and Wu Zhen. Optimal switching under a hybrid diffusion model and applications to stock trading.  Automatica,  94,  361, 2018.

79. Ma Jin , Zhang Jianfeng , Zhang Detao  and Wu Zhen. On Wellposedness of Forward-Backward SDEs: A unified Approach.  The Annals of Applied Probability,  25,  2168, 2015.

80. Wang Guangchen , Xiong Jie  and Wu Zhen. A linear-quadratic optimal control problem of forward-backward stochastic differential equations with partial information.  IEEE Transactions on Automatic Control,  60,  2904, 2015.

 

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2.复杂随机系统的控制博弈与企业优化策略,2023/12/01,2028/11/30,

3.非线性随机系统的控制与对策,2019/11/18,2024/12/31,

4.随机最优控制理论及其科学计算,2018/08/16,2023/12/31,

5.随机最优控制和正倒向随机微分方程理论及其应用,2011/08/31,2015/12/31,