山东大学中泰证券金融研究院常务副院长

入选2011年度  教育部新世纪优秀人才支持计划

        嵇少林现为山东大学金融研究院教授、博士生导师。1999年获得博士学位，师从彭实戈院士。1999年至今在山东大学工作，2011年入选度教育部新世纪优秀人才支持计划。研究领域为机器学习、金融数学、金融经济学、随机优化和非线性期望理论。

       近年来，嵇少林及其合作者在《Review of financial studies》, 《Operations research》,《Probability theory and the related fields》和《SIAM Control and Optimization》等杂志上发表了一系列的成果。对金融市场中的学习理论、资本资产定价、随机优化问题和非线性期望理论进行了系统的研究。

通讯地址：山东省济南市山大南路27号 山东大学中泰证券金融研究院（250100）

办公电话：0531-88364760

E-mail：jsl@sdu.edu.cn

1996.09-1999.07，山东大学数学与系统科学学院，应用数学专业，博士学位

1993.09-1996.07，山东大学数学系，运筹学与控制论专业，硕士学位

1989.09-1993.07，山东大学数学系，控制科学专业，学士学位

机器学习与量化金融；金融经济学与金融数学；倒向随机微分方程和非线性期望理论及其应用；随机优化问题及其在经济和金融中的应用

中国工业与应用数学学会常务理事并担任金融数学与工程和精算保险专业委员会秘书长

1. Larry G. Epstein and Shaolin Ji, Optimal Learning Under Robustness and Time-Consistency, Operations Research, 70(3): 1317-1329, 2022.

2. Shaolin Ji, Shige Peng, Ying Peng and Xichuan Zhang，Solving stochastic optimal control problem via stochastic maximum principle with deep learning method，Journal of scientific computing, 2023.

3. Qiang Han and Shaolin Ji, Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo, Journal of Computational and Applied Mathematics (2023).

1. Larry G. Epstein and Shaolin Ji, Ambiguous Volatility and Asset Pricing in Continuous Time, The Review of Financial Studies, 26 (7): 1740-1786, 2013.

2. Larry G. Epstein and Shaolin Ji, Ambiguous volatility, possibility and utility in continuous time, Journal of Mathematical Economics, 50: 269-282, 2014.

1. Shaolin Ji and Shige Peng, Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection, Stochastic processes and their Applications, 118(6): 952-967, 2008.

2. Shaolin Ji and Xun Yu Zhou, A generalized Neyman–Pearson lemma under g-probabilities, Probability theory and related fields, 148: 645-669, 2010.

3. Mingshang Hu, Shaolin Ji, Shige Peng, Yongsheng Song, Backward stochastic differential equations driven by G-Brownian motion, Stochastic Processes and their Applications, 124(1): 759–784, 2014.

4. Mingshang Hu, Shaolin Ji, Shige Peng, Yongsheng Song, Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G-Brownian motion, Stochastic Processes and their Applications, 124(2): 1170–1195, 2014.

1. Mingshang Hu and Shaolin Ji Stochastic maximum principle for stochastic recursive optimal control problem under volatility uncertainty, SIAM Journal on Control and Optimization 54(2):918-945, 2016.

2. Mingshang Hu, Shaolin Ji and Xiaole Xue, A Global stochastic maximum principle for fully coupled forward-backward stochastic systems, SIAM Journal on Control and Optimization 56(6): 4309-4335, 2018.

3. Mingshang Hu, Shaolin Ji and Xiaole Xue,  The Existence and Uniqueness of Viscosity Solution to a Kind of Hamilton–Jacobi–Bellman Equation. SIAM Journal on Control and Optimization 57 (2019), no. 6, 3911–3938.

4. Shaolin Ji, Chuiliu Kong, Chuanfeng Sun and Jifeng Zhang, Kalman-Bucy filtering and minimum mean square estimator under uncertainty, SIAM Journal on Control and Optimization 59(4): 2669–2692, 2021.

5. Mingshang Hu, Shaolin Ji, and Rundong Xu，A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators，SIAM Journal on Control and Optimization，60(3)，2022.

6. Shaolin Ji, and Rundong Xu，A Modified Method of Successive Approximations for Forward-Backward Stochastic Control Systems，SIAM Journal on Control and Optimization，2022.

本科课程：金融数学、概率论、数理统计、高等数学、计量经济学

研究生课程：倒向随机微分方程、金融经济学、优化方法、随机控制、金融工程、随机分析

山东大学中泰证券金融研究院常务副院长

入选2011年度  教育部新世纪优秀人才支持计划

        嵇少林现为山东大学金融研究院教授、博士生导师。1999年获得博士学位，师从彭实戈院士。1999年至今在山东大学工作，2011年入选度教育部新世纪优秀人才支持计划。研究领域为机器学习、金融数学、金融经济学、随机优化和非线性期望理论。

       近年来，嵇少林及其合作者在《Review of financial studies》, 《Operations research》,《Probability theory and the related fields》和《SIAM Control and Optimization》等杂志上发表了一系列的成果。对金融市场中的学习理论、资本资产定价、随机优化问题和非线性期望理论进行了系统的研究。

通讯地址：山东省济南市山大南路27号 山东大学中泰证券金融研究院（250100）

办公电话：0531-88364760

E-mail：jsl@sdu.edu.cn

1996.09-1999.07，山东大学数学与系统科学学院，应用数学专业，博士学位

1993.09-1996.07，山东大学数学系，运筹学与控制论专业，硕士学位

1989.09-1993.07，山东大学数学系，控制科学专业，学士学位

机器学习与量化金融；金融经济学与金融数学；倒向随机微分方程和非线性期望理论及其应用；随机优化问题及其在经济和金融中的应用

中国工业与应用数学学会常务理事并担任金融数学与工程和精算保险专业委员会秘书长

1. Larry G. Epstein and Shaolin Ji, Optimal Learning Under Robustness and Time-Consistency, Operations Research, 70(3): 1317-1329, 2022.

2. Shaolin Ji, Shige Peng, Ying Peng and Xichuan Zhang，Solving stochastic optimal control problem via stochastic maximum principle with deep learning method，Journal of scientific computing, 2023.

3. Qiang Han and Shaolin Ji, Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo, Journal of Computational and Applied Mathematics (2023).

1. Larry G. Epstein and Shaolin Ji, Ambiguous Volatility and Asset Pricing in Continuous Time, The Review of Financial Studies, 26 (7): 1740-1786, 2013.

2. Larry G. Epstein and Shaolin Ji, Ambiguous volatility, possibility and utility in continuous time, Journal of Mathematical Economics, 50: 269-282, 2014.

1. Shaolin Ji and Shige Peng, Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection, Stochastic processes and their Applications, 118(6): 952-967, 2008.

2. Shaolin Ji and Xun Yu Zhou, A generalized Neyman–Pearson lemma under g-probabilities, Probability theory and related fields, 148: 645-669, 2010.

3. Mingshang Hu, Shaolin Ji, Shige Peng, Yongsheng Song, Backward stochastic differential equations driven by G-Brownian motion, Stochastic Processes and their Applications, 124(1): 759–784, 2014.

4. Mingshang Hu, Shaolin Ji, Shige Peng, Yongsheng Song, Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G-Brownian motion, Stochastic Processes and their Applications, 124(2): 1170–1195, 2014.

1. Mingshang Hu and Shaolin Ji Stochastic maximum principle for stochastic recursive optimal control problem under volatility uncertainty, SIAM Journal on Control and Optimization 54(2):918-945, 2016.

2. Mingshang Hu, Shaolin Ji and Xiaole Xue, A Global stochastic maximum principle for fully coupled forward-backward stochastic systems, SIAM Journal on Control and Optimization 56(6): 4309-4335, 2018.

3. Mingshang Hu, Shaolin Ji and Xiaole Xue,  The Existence and Uniqueness of Viscosity Solution to a Kind of Hamilton–Jacobi–Bellman Equation. SIAM Journal on Control and Optimization 57 (2019), no. 6, 3911–3938.

4. Shaolin Ji, Chuiliu Kong, Chuanfeng Sun and Jifeng Zhang, Kalman-Bucy filtering and minimum mean square estimator under uncertainty, SIAM Journal on Control and Optimization 59(4): 2669–2692, 2021.

5. Mingshang Hu, Shaolin Ji, and Rundong Xu，A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators，SIAM Journal on Control and Optimization，60(3)，2022.

6. Shaolin Ji, and Rundong Xu，A Modified Method of Successive Approximations for Forward-Backward Stochastic Control Systems，SIAM Journal on Control and Optimization，2022.

本科课程：金融数学、概率论、数理统计、高等数学、计量经济学

研究生课程：倒向随机微分方程、金融经济学、优化方法、随机控制、金融工程、随机分析

山东大学中泰证券金融研究院常务副院长

入选2011年度  教育部新世纪优秀人才支持计划

        嵇少林现为山东大学金融研究院教授、博士生导师。1999年获得博士学位，师从彭实戈院士。1999年至今在山东大学工作，2011年入选度教育部新世纪优秀人才支持计划。研究领域为机器学习、金融数学、金融经济学、随机优化和非线性期望理论。

       近年来，嵇少林及其合作者在《Review of financial studies》, 《Operations research》,《Probability theory and the related fields》和《SIAM Control and Optimization》等杂志上发表了一系列的成果。对金融市场中的学习理论、资本资产定价、随机优化问题和非线性期望理论进行了系统的研究。

通讯地址：山东省济南市山大南路27号 山东大学中泰证券金融研究院（250100）

办公电话：0531-88364760

E-mail：jsl@sdu.edu.cn

1996.09-1999.07，山东大学数学与系统科学学院，应用数学专业，博士学位

1993.09-1996.07，山东大学数学系，运筹学与控制论专业，硕士学位

1989.09-1993.07，山东大学数学系，控制科学专业，学士学位

机器学习与量化金融；金融经济学与金融数学；倒向随机微分方程和非线性期望理论及其应用；随机优化问题及其在经济和金融中的应用

中国工业与应用数学学会常务理事并担任金融数学与工程和精算保险专业委员会秘书长

1. Larry G. Epstein and Shaolin Ji, Optimal Learning Under Robustness and Time-Consistency, Operations Research, 70(3): 1317-1329, 2022.

2. Shaolin Ji, Shige Peng, Ying Peng and Xichuan Zhang，Solving stochastic optimal control problem via stochastic maximum principle with deep learning method，Journal of scientific computing, 2023.

3. Qiang Han and Shaolin Ji, Solving BSDEs based on novel multi-step schemes and multilevel Monte Carlo, Journal of Computational and Applied Mathematics (2023).

1. Larry G. Epstein and Shaolin Ji, Ambiguous Volatility and Asset Pricing in Continuous Time, The Review of Financial Studies, 26 (7): 1740-1786, 2013.

2. Larry G. Epstein and Shaolin Ji, Ambiguous volatility, possibility and utility in continuous time, Journal of Mathematical Economics, 50: 269-282, 2014.

1. Shaolin Ji and Shige Peng, Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection, Stochastic processes and their Applications, 118(6): 952-967, 2008.

2. Shaolin Ji and Xun Yu Zhou, A generalized Neyman–Pearson lemma under g-probabilities, Probability theory and related fields, 148: 645-669, 2010.

3. Mingshang Hu, Shaolin Ji, Shige Peng, Yongsheng Song, Backward stochastic differential equations driven by G-Brownian motion, Stochastic Processes and their Applications, 124(1): 759–784, 2014.

4. Mingshang Hu, Shaolin Ji, Shige Peng, Yongsheng Song, Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G-Brownian motion, Stochastic Processes and their Applications, 124(2): 1170–1195, 2014.

1. Mingshang Hu and Shaolin Ji Stochastic maximum principle for stochastic recursive optimal control problem under volatility uncertainty, SIAM Journal on Control and Optimization 54(2):918-945, 2016.

2. Mingshang Hu, Shaolin Ji and Xiaole Xue, A Global stochastic maximum principle for fully coupled forward-backward stochastic systems, SIAM Journal on Control and Optimization 56(6): 4309-4335, 2018.

3. Mingshang Hu, Shaolin Ji and Xiaole Xue,  The Existence and Uniqueness of Viscosity Solution to a Kind of Hamilton–Jacobi–Bellman Equation. SIAM Journal on Control and Optimization 57 (2019), no. 6, 3911–3938.

4. Shaolin Ji, Chuiliu Kong, Chuanfeng Sun and Jifeng Zhang, Kalman-Bucy filtering and minimum mean square estimator under uncertainty, SIAM Journal on Control and Optimization 59(4): 2669–2692, 2021.

5. Mingshang Hu, Shaolin Ji, and Rundong Xu，A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators，SIAM Journal on Control and Optimization，60(3)，2022.

6. Shaolin Ji, and Rundong Xu，A Modified Method of Successive Approximations for Forward-Backward Stochastic Control Systems，SIAM Journal on Control and Optimization，2022.

本科课程：金融数学、概率论、数理统计、高等数学、计量经济学

研究生课程：倒向随机微分方程、金融经济学、优化方法、随机控制、金融工程、随机分析