师资队伍

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聂天洋  教授
山东大学数学学院教授  博士生导师


研究方向:
随机控制、金融数学、倒向随机微分方程
主持承担的科研项目:

(1)国家自然科学基金委员会,优秀青年基金项目,12022108,正倒向随机系统控制与金融数学,2021-01 至 2023-12,120万元,在研,主持
(2)国家自然科学基金委员会,面上项目,11971267,控制受约束的正倒向平均场随机系统及其应用,2020-01 至 2023-12,52万元,在研,主持
(3)国家自然科学基金委员会,青年项目,11601285,状态受约束的正倒向随机最优控制问题研究及其应用,2017-01至2019-12,19万元,已结题,主持
(4)国家自然科学基金委员会,国际(地区)合作与交流项目,61961160732,模型不确定下的随机控制理论及其在金融风险管理中的应用,2020-01至2023-12,100万元,在研,参加
(5)山东省自然科学基金委员会,重大基础研究项目,ZR2019ZD42,非线性随机系统的控制与对策,2019-12至2024-12,173万元,在研,参加
(6)国家自然科学基金委员会,重点项目,11831010,随机最优控制理论及其科学计算,2019-01至2023-12,270万元,在研,参加

国际学术会议报告:

(1)Tianyang Nie;Unilateral Pricing of Game Options in Nonlinear Markets, 中国数学会2020年学术年会,中国石家庄市,2020-10-16 至 2020-10-19.
(2)Tianyang Nie; Game options and doubly reflected BSDEs, Mini-Workshop on Stochastic Control, Machine Learning and Mathematical Finance (Online Workshop),Shanghai Jiao Tong University,China, 2020-12-04.
(3)Tianyang Nie; Game options and doubly reflected BSDEs,  Workshop in the frame of annual meetings “Alexandru Ioan Cuza” University days(Online workshop),Iasi, Romania, 2020-10-30.
(4)Tianyang Nie; Game options in nonlinear market models, “山东大学-香港理工大学合作交流项目”研讨会(Online Workshop),The PolyU-SDU Joint Research Center on Financial Mathematics, Hong Kong and Jinan,China, 2020-08-22.
(5)Tianyang Nie;Arbitrage-free Pricing of American Options and Game Options in Nonlinear Market Models, Research Seminars on Control, Optimization and Related Fileds, The HongKong Polytechnic University, HongKong, China 2019-01-29.
(6)Tianyang Nie;Arbitrage-free Pricing of American Options and Game Options in Nonlinear Market Models, Shandong-Loughborough Mini-workshop on Stochastic Analysis, Loughborough, UK, 2018-07-30 至 2018-07-31.
(7)Tianyang Nie;Arbitrage-free Pricing of American Options and Game Options in Nonlinear Market Models, Workshop in the University of Warwick, Coventry, UK, 2018-07-26.
(8)Tianyang Nie;Linear-Quadratic-Gaussian Mixed Games with Input Constraint Involving Major Agent and Heterogeneous Minor Agents, The Third International Conference on Engineering and Computational Mathematics, HongKong, China, 2017-05-31 至 2017-06-02.
(9)Tianyang Nie;Connection between MP and DPP for stochastic recursive optimal control problems in general case, Financial Mathematics Seminar in School of Mathematics and Statistics. University of Sydney, Sydney, Australia. 2016-11-24.
(10)Tianyang Nie; Generalized HJB Equations with Dirichlet Boundary and Stochastic Exit Time Optimal Control Problem, International Conference on Mathematical Control Theory-In Memory of Prof. Xunjing Li for His 80th Birthday, Chengdu, China, 2015-7-16至2015-7-19
(11)Tianyang Nie; Backward stochastic differential equations driven by a continuous martingale, Financial Mathematics Seminar in School of Mathematics and Statistics. University of Sydney, Sydney, Australia. 2014-09-23.
(12)Tianyang Nie;Comparison theorems for BSDEs driven by a Brownian motion, Financial Mathematics Seminar in School of Mathematics and Statistics. University of Sydney, Sydney, Australia, 2014-09-16.
(13)Tianyang Nie; Backward stochastic differential equations and application in Financial applications, Financial Mathematics Seminar in School of Mathematics and Statistics. University of Sydney, Sydney, Australia. 2014-09-09.
(14)Tianyang Nie;Fractional Multivalued Backward Stochastic Differential Equations, Research School on Controllability of Deterministic and Stochastic Systems and its Applications, Iasi, Romania, 2012-06-18 至2012-06-30.
(15)Tianyang Nie; Fractional backward stochastic differential equations and fractional backward variational inequalities, Fachrichtung Mathematik, Universitat des Saarlandes, Saarbrucken, Germany, 2012-06-20.
(16)Tianyang Nie; Forward-backward Stochastic Differential Equations with Subdifferential Operators and Associated Variational Inequalities, Spring School "Stochastic Analysis in Finance", Roscoff, France, 2012-3-6至2012-3-15.
(17)Tianyang Nie;BSDE with sundifferential operator driven by fractional Brownian motion, Seminaire d'Analyse Appliquee, Universit\'e de Bretagne Occidentale, Brest, France. 2011-06-14.
(18)Tianyang Nie;Backward stochastic variational inequality driven by fractional Brownian motion, Weekly Seminar on stochastic, Universitatea ``Alexandru Ioan Cuza", Iasi, Romania, 2011-01-21.
(19)Tianyang Nie;Stochastic differential equation with constraints on the state, Workshop ``Deterministic and stochastic variational methods and applications'', Martin-Luther-University Halle-Wittenberg, Halle (Saale), Germany, 2010-11-07 至 2010-11-20.
(20)Tianyang Nie;Individual presentation for ITN project, ITN Midterm Review Meeting,  Milan, Italy. 2010-09-19 至2010-09-22.
(21)Tianyang Nie;Direct and inverse images for fractional stochastic tangent sets and applications, ``Alexandru Mylle'' Mathematical Seminar Centennial Conference, Iasi, Romania. 2010-06-21 至2010-06-26.
(22)Tianyang Nie;Viability for stochastic differential equation driven by fractional Browinian motion, Spring School ``Stochastic Control in Finance" and Workshop ``Stochastic Control and Finance'', March 18-23, 2010, Roscoff, France. 2010-03-07 至 2010-03-23.
(23)Tianyang Nie;Stochastic viability and a comparison theorem, Weekly Seminar on stochastic, Universitatea ``Alexandru Ioan Cuza'', Iasi, Romania. 2010-02-10.

国外学术访问经历:

(1)2019年8月,丹麦科技大学和丹麦奥尔堡大学,学术访问
(2)2019年8月,丹麦奥尔堡大学,协助举办奥尔堡大学-山东大学随机优化与控制理论与应用会议
(3)2019年7月,新加坡国立大学,参加Program on Quantitative Finance会议
(4)2019年3月,澳大利亚悉尼大学,访问Marek Rutkowski教授开展学术合作
(5)2019年1月,香港理工大学,访问香港理工大学应用数学系,邀请报告
(6)2018年7月,英国拉芙堡大学,联合举办Shandong-Loughborough Mini-workshop on Stochastic Analysis, 邀请报告
(7)2018年7月,英国华威大学,访问梁歌春博士,邀请报告
(8)2018年7月,香港大学,访问香港大学宋健博士开展学术合作
(9)2018年3月,香港大学,访问香港大学宋健博士开展学术合作
(10)2017年11月,澳大利亚悉尼大学,访问M. Ruktowski教授开展学术合作
(11)2017年5月,香港理工大学,ECM2017国际会议,邀请报告
(12)2016年12月,香港理工大学,访问黄建辉副教授,学术合作
(13)2016年11月,澳大利亚悉尼大学,访问M. Ruktowski教授,邀请报告
(14)2016年7月-9月,香港理工大学,访问黄建辉副教授,与法国著名随机分析专家和随机控制专家和胡瑛教授、黄建辉副教授开展合作研究
(15)2016年8月,香港理工大学,参加2016 Workshop on Stochastic Control and Financial Applications.
(16)2013年3月-2015年3月,澳大利亚悉尼大学,博士后
(17)2012年6月20日,德国Saarbrucken,访问 Fachrichtung Mathematik, Universitat des Saarlandes, 邀请报告
(18)2012年6月18日-7月7日,罗马尼亚雅西大学,参加Research school on ``Controllability of deterministic and stochastic systems and its applications'', 和International conference on ``Controlled deterministic and stochastic systems'',邀请报告
(19)2012年3月6日-15日,法国Roscoff, 参加Spring School ``Stochastic Analysis in Finance'',邀请报告
(20)2011年6月27日-7月13日,意大利米兰,参加Workshop ``Topics in Stochastic Control''.和Summer School ``Stochastic Control and Related PDE''.
(21)2010年12月1日-11日,摩洛哥Marrakech,参加Autumn School on Stochastic Control Problems for FBSDEs and its Applications.
(22)2010年12月11日-18日, 摩洛哥Essaouira, 参加International Conference on Control Problems and Related Topics.
(23)2010年11月7日-20日,德国Halle (Saale),参加Workshop ``Deterministic and stochastic variational methods and applications'', Martin-Luther-University Halle-Wittenberg, 邀请报告
(24)2010年9月19日-22日,意大利米兰,参加ITN Midterm Review Meeting.
(25)2010年6月21日-26日,罗马尼亚Iasi,参加``Alexandru Mylle'' Mathematical Seminar Centennial Conference.,邀请报告
(26) 2010年3月8日-23日,法国Roscoff, 参加Workshop on Stochastic Control in Finance和Spring School on Stochastic Control in Finance,邀请报告

授课信息:

本科生课程:概率论、随机过程、泛函分析、测度论、最优控制、代数与几何基础、高等数学、线性代数、复变函数与积分变换,数值计算
研究生课程:现代控制原理、随机过程基础、随机控制及其应用

招生信息:

下一学年计划招生人数:博士1人,硕士6人



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