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

  0531-88365550

  wuzhen@sdu.edu.cn

 

 

1987.91991.7山东大学运筹学与控制论理学学士学位

1991.91994.7山东大学运筹学与控制论硕士

1994.91997.7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,