陈增敬教授-中泰证券金融研究院

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陈增敬教授

山东大学数学学院教授，博士生导师

现任职务：

山东大学中泰证券金融研究院院长

山东国家应用数学中心执行委员会常务副主任

教育部“长江学者”特聘教授

学术兼职：

中国工业与应用数学学会金融数学与工程和精算保险专业委员会主任

中国数学会理事

荣誉与奖励：

中国工业与应用数学学会首届会士，2020

全国五一劳动奖章，2019

泰山学者攀登计划专家，2016

国家自然科学二等奖，2015

孙冶方经济科学奖，2011

教育部自然科学奖二等奖，2010

“首届新世纪百千万人才工程”国家级人选，2004

全国优秀博士学位论文，2001

研究方向：

金融数学、计量经济学、非线性概率极限理论、倒向随机微分方程

联系方式：

通讯地址：山东省济南市山大南路27号山东大学数学学院（250100）

E-mail：zjchen@sdu.edu.cn

陈增敬教授

山东大学数学学院教授，博士生导师

部分发表论文:

68. Zengjing Chen, Larry G. Epstein, Guodong Zhang, A central limit theorem, loss aversion and multi-armed bandits, J. Econ.Theory, 209(2023), 105645, 35 pp.

67. Zengjing Chen, Xiaodong Yan, Guodong Zhang, Strategic two-sample test via the two-armed bandit process, J. R. Stat. Soc. B, 00(2023), 1-28.

66. Zengjing Chen, Feng Xinwei, Liu Shuhui, Zhang Weihai, Bang-bang control for a class of optimal stochastic control problems with symmetric cost functional, Automatica，149(2023), 110849, 9 pp.

65. Zengjing Chen, Lu Wang, Xing Chengzhi, Efficient dynamic channel assignment through laser chaos: a multiuser parallel processing learning algorithm, Sci. Rep-UK, 13(1)(2023), 1353, 12 pp.

64. Jichen Zhang, Zengjing Chen, A transitivity property of Ocone martingales, Stat. Probabil. Lett., 193 (2023) 109703, 7 pp.

63. Zengjing Chen, Xinwei Feng, Shuhui Liu, Xiaodong Yan, Optimal distributions of rewards for a two-armed slot machine, Neurocomputing, 518 (2023), 401–407.

62. Zengjing Chen, Yiwei Lin, Zhijie Xiao, Guodong Zhang, Laws of Large Numbers for Dynamic Coherent Risk Measures，Journal of Mathematical Finance, 12(2022), 301-323.

61. Zengjing Chen, Shuhui Liu, Zhongmin Qian , Xingcheng Xu，Explicit solutions for a class of nonlinear BSDEs and their nodal sets，Probab. Uncertain. Qua., 7(4)(2022), 283–300.

60. Zengjing Chen, Larry G. Epstein，A central limit theorem for sets of probability measures, Stoch. Proc. Appl., 152 (2022) 424–451.

59. 陈增敬，严晓东，冯新伟，金融科技中人工智能技术典型事实与核心规律，中国科学基金. 35(03)(2021), 387-393.

58. Dali Liu, Zheng Li, Hanchao Wang, Zengjing Chen, Non-uniform Berry-Esseen bound by unbounded exchangeable pairs approach, Appl. Math. J. Chinese Univ., 36(2)(2021), 256-268.

57. Xiaoyan Chen, Zengjing Chen, Liying Ren, An invariance principle of strong law of large numbers under nonadditive probabilities, Commun. Stat.-Theor. M., 50(10)(2021), 2398–2418.

56. Jing Chen, Zengjing Chen，A new proof for the generalized law of large numbers under Choquet expectation，J. Inequal. Appl. 2020(158) (2020), 17 pp.

55. Zengjing Chen, Ziwu Zhang, An elementary proof of Peng's central limit theorem under sub-linear expectations, Int. J. Financ. Eng., 7(2)(2020), 2050020, 15 pp.

54. Zengjing Chen, Weihuan Huang, Panyu Wu, Extension of the strong law or large numbers for capacities, Math. Control Relat. Fields, 9(1)(2019), 175–190.

53. Zengjing Chen, Qingyang Liu, Gaofeng Zong, Weak laws of large numbers for sublinear expectation, Math. Control Relat. Fields, 8(3-4)(2018), 637–651.

52. Zengjing Chen, Cheng Hu, Gaofeng Zong, Strong laws of large numbers for sub-linear expectation without independence, Comm. Statist. Theory Methods, 46(15)(2017), 7529–7545.

51. Feng Hu, Zengjing Chen, Panyu Wu, A general strong law of large numbers for non-additive probabilities and its applications, Statistics, 50(4)(2016), 733–749.

50. Feng Hu, Zengjing Chen, General laws of large numbers under sublinear expectations, Comm. Statist. Theory Methods, 45(14)(2016), 4215–4229.

49. Zengjing Chen, Strong laws of large numbers for sub-linear expectations, Sci. China Math., 59(5)(2016), 945–954.

48. Feng Hu, Zengjing Chen, Lp solutions of anticipated backward stochastic differential equations under monotonicity and general increasing conditions, Stochastics, 88(2)(2016), 267–284.

47. Zengjing Chen, Xinwei Feng, Large deviation for negatively dependent random variables under sublinear expectation, Comm. Statist. Theory Methods, 45(2)(2016), 400–412.

46. Zengjing Chen, Yuting Lan, Gaofeng Zong, Strong law of large numbers for upper set-valued and fuzzy-set valued probability, Math. Control Relat. Fields, 5(3)(2015), 435–452.

45. Panyu Wu, Zengjing Chen, A new comparison theorem of multidimensional BSDEs, Acta Math. Appl. Sin. Engl. Ser., 31(1)(2015), 131–138.

44. Panyu Wu, ZengJing Chen, Invariance principles for the law of the iterated logarithm under G-framework, Sci. China Math., 58(6)(2015), 1251–1264.

43. Miao Zhang, Zengjing Chen, A law of large numbers under the nonlinear expectation, Acta Math. Appl. Sin. Engl. Ser., 31(4)(2015), 953–962.

42. Zengjing Chen, Feng Hu, A law of the iterated logarithm under sublinear expectations, Int. J. Financ. Eng., 1(2)(2014), 1450015, 23 pp.

41. Feng Hu, Zengjing Chen, Defei Zhang, How big are the increments of G-Brownian motion? Sci. China Math., 57(8)(2014),1687–1700.

40. Defei Zhang, Zengjing Chen, A weighted central limit theorem under sublinear expectations, Comm. Statist. Theory Methods, 43(3)(2014), 566–577.

39. 宫晓琳, 陈增敬, 张晓朴, 杨淑振, 随机极限正态分布与审慎风险监测, 经济研究, 9(2014), 135–148.

38. Zengjing Chen, Panyu Wu, Baoming Li, A strong law of large numbers for non-additive probabilities, Internat. J. Approx. Reason., 54(3)(2013), 365–377.

37. Gaofeng Zong, Zengjing Chen, Harnack inequality for mean-field stochastic differential equations, Statist. Probab. Lett., 83(5)(2013), 1424–1432.

36. Zengjing Chen, Kun He, Reg Kulperger, Risk measures and nonlinear expectations, Journal of Mathematical Finance, 3(2013), 383–391.

35. Zengjing Chen, Weidong Tian, Guoqing Zhao, Optimal Stopping Rule meets Ambiguity, In: Real Options, Ambiguity, Risk and Insurance-World Class University Program in Financial Engineering, Ajou University, Volume Two, 5(2013), 97–125.

34. Zengjing Chen, Jie Xiong, Large deviation principle for diffusion processes under a sublinear expectation, Sci. China Math., 55(11)(2012), 2205–2216.

33. Defei Zhang, Zengjing Chen, Exponential stability for stochastic differential equation driven by G-Brownian motion, Appl. Math. Lett., 25(11)(2012), 1906–1910.

32. Li Song, Feng Hu, Zengjing Chen, Representation theorems for generators of BSDEs in Lp spaces, Acta Math. Appl. Sin. Engl. Ser., 28(2)(2012), 255–264.

31. Wenjuan Li, Zengjing Chen, Laws of large numbers of negatively correlated random variables for capacities, Acta Math. Appl. Sin. Engl. Ser., 27(4)(2011), 749–760.

30. Zengjing Chen, Agnès Sulem, An integral representation theorem of g-expectations, Risk and Decision Analysis, 2 (2010/2011), 245–255.

29. Dongmei Guo, Zengjing Chen, A property of g-probabilities, Acta Math. Appl. Sin. Engl. Ser.,26(4)(2010), 567–574.

28. Feng Hu, Zengjing Chen, A result on the uniqueness of generators of backward stochastic differential equations, (Chinese) Acta Math. Appl. Sin., 33(1)(2010), 51–58.

27. Feng Hu, Zengjing Chen, Generalized Peng's g-expectations and related properties, Statist. Probab. Lett., 80(3-4)(2010), 191–195.

26. Lixia Ma, Zengjing Chen, Quasi-comparison theorems for BSDEs, (Chinese) Adv. Math. (China), 38(6)(2009), 678–684.

25. Dongmei Guo, Zengjing Chen, Law invariance of g-expectations, (Chinese) Chinese Ann. Math. Ser. A, 30(4)(2009), 545–550.

24. Kun He, Mingshang Hu, Zengjing Chen, The relationship between risk measures and Choquet expectations in the framework of g-expectations, Statist. Probab. Lett., 79(4)(2009), 508–512.

23. 赵志君, 陈增敬, 大国模型与人民币对美元汇率的评估, 经济研究, 3(2009), 68–77.

22. Zengjing Chen, Matt Davison, Mark Reesor, Ying Zhang, An additivity of maximum expectations and its applications, Control theory and related topics, 67–79, World Sci. Publ., Hackensack, NJ, 2007.

21. Zengjing Chen, Reg Kulperger, Minimax pricing and Choquet pricing, Insurance Math. Econom., 38(3)(2006), 518–528.

20. Zengjing Chen, Reg Kulperger, Inequalities for upper and lower probabilities, Statist. Probab. Lett., 73(3)(2005), 233–241.

19. Zengjing Chen, Reg Kulperger, A stochastic competing-species model and ergodicity, J. Appl. Probab., 42(3)(2005), 738–753.

18. Zengjing Chen, Tao Chen, Matt Davison, Choquet expectation and Peng's g-expectation, Ann. Probab., 33(3)(2005), 1179–1199.

17. Zengjing Chen, Reg Kulperger, Gang Wei, A comonotonic theorem for BSDEs, Stochastic Process. Appl., 115(1)(2005), 41–54.

16. Long Jiang, Zengjing Chen, A result on the probability measures dominated by g-expectation, Acta Math. Appl. Sin. Engl. Ser., 20(3)(2004), 507–512.

15. Long Jiang, Zengjing Chen, On Jensen's inequality for g-expectation, Chinese Ann. Math. Ser. B, 25(3)(2004), 401–412.

14. Zengjing Chen, Reg Kulperger, Long Jiang, Jensen's inequality for g-expectation. II., C. R. Math. Acad. Sci. Paris, 337(12)(2003), 797–800.

13. Zengjing Chen, Reg Kulperger, Long Jiang, Jensen's inequality for g-expectation. I., C. R. Math. Acad. Sci. Paris, 337(11)(2003), 725–730.

12. Juan Li, Zengjing Chen, Yongqing Wei, Minimum expectation and backward stochastic differential equations, (Chinese) Adv. Math. (China), 32(4)(2003), 441–448.

11. Zengjing Chen, Larry Epstein, Ambiguity, risk, and asset returns in continuous time, Econometrica, 70(4)(2002), 1403–1443.

10. Zengjing Chen, Xiangrong Wang, Comonotonicity of backward stochastic differential equations, Recent developments in mathematical finance (Shanghai, 2001), 28–38, World Sci. Publ., River Edge, NJ, 2002.

9. Zengjing Chen, On existence and local stability of solutions of stochastic differential equations, Stochastic Anal. Appl., 19(5)(2001), 703–714.

8. Zengjing Chen, Shige Peng, Continuous properties of G-martingales, Chinese Ann. Math. Ser. B, 22(1)(2001), 115–128.

7. Zengjing Chen, Bo Wang, Infinite time interval BSDEs and the convergence of g-martingales, J. Austral. Math. Soc. Ser. A, 69(2)(2000), 187–211.

6. Zengjing Chen, Shige Peng, A general downcrossing inequality for g-martingales, Statist. Probab. Lett., 46(2)(2000), 169–175.

5. Zengjing Chen, Generalized nonlinear mathematical expectations: the g-expectations, (Chinese) Adv. Math. (China), 28(2)(1999), 175–180.

4. Zengjing Chen, A new proof of Doob-Meyer decomposition theorem, C. R. Acad. Sci. Paris Sér. I Math., 328(10)(1999), 919–924.

3. Zengjing Chen, Shige Peng, A decomposition theorem of g-martingales, SUT J. Math., 34(2)(1998), 197–208.

2. Zengjing Chen, A property of backward stochastic differential equations, C. R. Acad. Sci. Paris Sér. I Math., 326(4)(1998), 483–488.

1. Zengjing Chen, Existence and uniqueness for BSDE with stopping time, Chinese Sci. Bull., 43(2)(1998), 96–99.