石玉峰[山東大學金融研究院及數學學院教授]

石玉峰,男,中共黨員,山東大學金融研究院教授、博士生導師,風險管理與量化投資研究所所長,兼山東財經大學統計學院院長,主持全院行政、負責學科建設工作。1970年生於濟南。1992年畢業於山東師範大學數學系,同年考入山東大學數學與系統科學學院攻讀碩士、博士研究生,1998年畢業於山東大學套用數學專業,師從我國著名的金融數學家彭實戈院士,獲理學博士。長期致力於機率統計、隨機分析、隨機控制、金融數學、風險管理、量化投資等領域的研究。

人物生平

石玉峰,男,中共黨員,山東大學金融研究院教授、博士生導師,風險管理與量化投資研究所所長,兼山東財經大學統計學院院長,主持全院行政、負責學科建設工作。1970年生於濟南。1992年畢業於山東師範大學數學系,同年考入山東大學數學與系統科學學院攻讀碩士、博士研究生,1998年畢業於山東大學套用數學專業,師從我國著名的金融數學家彭實戈院士,獲理學博士。 在校期間,創立了山東大學梅花樁協會,並一直擔任名譽會長。

2000年12月至2001年12月應邀赴法國曼恩(Maine)大學金融數學實驗室做博士後。2002年11月至2004年10月應邀赴英國利物浦(Liverpool)大學數學系作博士後高級研究助理、榮譽研究員。2004年12月至2005年5月應邀在英國拉夫堡(Loughborough)大學數學系做合作研究員。2011年12月至2012年12月公派赴美國中佛羅里達大學做高級訪問學者。曾應邀訪問法國Rennes大學、Brest大學、英國牛津大學、倫敦國王學院、華威(Warwick)大學、韓國亞洲大學、香港理工大學、美國南加州大學、伊利諾伊大學、田納西大學等作學術報告。

研究領域包括機率統計、隨機分析、隨機控制、金融數學、風險管理、量化投資等。2008年獲得山東省政府授予的集體一等功和首批山東省優秀創新團隊(核心成員)榮譽稱號。

出版著作

代表性論文目錄(均為第一作者或通訊作者):

1.Linear quadratic stochastic integral games and related topics.《中國科學:數學(英文版)》已接收。 (jointly with Tianxiao Wang) (SCI)

2.Mean-field forward-backward doubly stochastic differential equations and related nonlocal stochastic partial differential equations. Be accepted by Abstract and Applied Analysis, 2014. (jointly with Qingfeng Zhu) (SCI)

3.帶跳的倒向重隨機系統的最大值原理及其套用,《中國科學:數學》, 2013 年第43卷第12期: 1237-1257.(與朱慶峰, 王鑫合作)

4.Mean-Field Backward Stochastic Volterra Integral Equations. Discrete and Continuous Dynamical Systems-Series B (DCDS-B), 18(7): 1929-1967, September, 2013. (jointly with Tianxiao Wang and Jiongmin Yong) (SCI)

5.Partially Observed Optimal Controls of Forward-Backward Doubly Stochastic Systems. ESAIM: COCV, 19(3): 828-843, July, 2013. DOI: 10.1051/cocv/2012035 (jointly with Qingfeng Zhu) (SCI)

6.Solvability of general backward stochastic Volterra integral equations. J. Korean Math. Soc., 49(6):1301-1321, November, 2012. (jointly with Tianxiao Wang) (SCI)

7.Forward-backward doubly stochastic differential equations and related stochastic partial differential equations,《中國科學:數學(英文版)》,Science in China-Series A: Mathematics, 55(12): 2517-2534, December, 2012. DOI: 10.1007/s11425-012-4411-1. (jointly with Qingfeng Zhu) (SCI)

8.Backward Doubly Stochastic Differential Equations with Jumps and Stochastic Partial Differential-Integral Equations, China Annals of Mathematics, 33B(1): 127-142, 2012. DOI: 10.1007/s11401-011-0686-8. (jointly with Qingfeng Zhu) (SCI)

9.A class of time inconsistent risk measures and backward stochastic Volterra integral equations, Risk and Decision Analysis, 4: 17–24, 2013. DOI: 10.3233/RDA-2012-0074. (jointly with Tianxiao Wang)

10.Peng g-期望下的大數定律, 《中國科學:數學》, 2012年第42卷第4期: 295-302. (與林乾合作)

11.Necessary and Sufficient Conditions of Optimality for Stochastic Integral Systems with Partial Information, Proceedings of the 30th Chinese Control Conference, pp.1950-1955, July 2011, ( jointly with Tianxiao Wang, Qingfeng Zhu) (EI)

12.Maximum Principle for Partially Observed Optimal Control of Backward Doubly Stochastic Systems, Proceedings of the 30th Chinese Control Conference, pp.1383-1388, July 2011, ( jointly with Qingfeng Zhu, Tianxiao Wang) (EI)

13.A Class of Backward Doubly Stochastic Differential Equations with Discontinuous Coefficients, ACTA Math. Appl. Sinica (English Series), 23 November 2011. DOI: 10.1007/s10255-011-0136-0. (jointly with Qingfeng Zhu) (SCI)

14.Maximum Principle for Forward-Backward Doubly Stochastic Control Systems and Applications, ESAIM: COCV, 17: 1174–1197, 2011. (jointly with Liangquan Zhang) (SCI)

15.A Kneser-type theorem for backward doubly stochastic differential equations, Discrete and Continuous Dynamical Systems-Series B (DCDS-B), 14(4): 1565-1579, 2010. (jointly with Qingfeng Zhu) (SCI)

16.A general central limit theorem under sublinear expectations,《中國科學:數學(英文版)》,Science in China-Series A: Mathematics, 53(8): 1989-1994, 2010. (jointly with Min Li) (SCI)

17.Symmetrical Solutions of Backward Stochastic Volterra Integral Equations and their applications, Discrete and Continuous Dynamical Systems-Series B (DCDS-B), 14(1): 251-274, 2010. (jointly with Tianxiao Wang) (SCI)

18.Solutions to general forward-backward doubly stochastic differential equations, Appl. Math. Mech. -Engl. Ed. 30(4): 517-526, 2009. (jointly with Qingfeng Zhu and Xianjun Gong) (SCI)

19.正倒向重隨機微分方程, 數學物理學報, 29A(4): 1084-1092, 2009. (與朱慶峰合作)

20.Razumikhin-type theorems of infinite dimensional stochastic functional differential equations, Systems, control, modeling and optimization ,IFIP Int. Fed. Inf. Process, 202:237–247, Springer, New York, 2006.(jointly with K. Liu)(ISTP)

21.Simulations and calculations of stochastic differential equations and backward stochastic differential equations, World Journal of Modelling and Simulation, 3(1): 3-9, 2007.(jointly with Shengqing Wang and Kai Liu)

22.Comparison Theorem of Backward Doubly Stochastic Differential Equations and Applications, Stochastic Analysis and Applications, 23(1): 97-110, 2005. (jointly with Y. Gu and K. Liu) (SCI)

23.A type of Time-symmetric Forward-Backward Stochastic Differential Equations, C. R. Acad. Sci. Paris, Ser. I336(9): 773-778, 2003. (jointly with S. Peng) (SCI)

24.Singular Perturbation in Nonlinear Boundary Value Problems, Asymptotic Analysis, 34(2): 137-158, 2003. (SCI, EI)

25.Infinite Horizon Forward-Backward Stochastic Differential Equations, Stochastic Processes and their Applications, 85(1): 75-92, 2000. (jointly with S. Peng) (SCI)

26.Infinite Horizon Boundary Value Problems and Applications, Journal of Differential Equations, 155(2): 405-422, 1999. (jointly with S. Peng) (SCI)

27.Singularly Perturbed Boundary Value Problems, ACTA Math. Appl. Sinica, 15(4): 409-417, 1999.

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