基本信息
科研与学术信息
论文与专著
预印本
嵇少林 教授
山东大学数学学院教授，博士生导师
现任职务:
荣誉与奖励:
入选2011年度 教育部新世纪优秀人才支持计划

研究方向:
金融数学；金融工程；随机优化理论

联系方式:
通讯地址：山东济南 山大南路27号 山东大学金融研究院（250100）
办公电话：+86-**传真：+86-**
E-mail：jsl@sdu.edu.cn

其他信息:

嵇少林 教授
山东大学数学学院教授，博士生导师
研究方向:
金融数学；金融工程；随机优化理论

主持承担的科研项目:
1. 2009 年1 月至2011 年12 月，主持国家自然科学基金面上项目：不完善市场中的动态风险管理
2. 2012 年1 月至2015 年12 月，主持国家自然科学基金面上项目：G-期望理论及其在递归效用、资产定价和动态风险管理中的应用

国际学术会议报告:

嵇少林 教授
山东大学数学学院教授，博士生导师
论文:
[1]　A maximum principle for stochastic optimal control with terminal state constraints, and its applications (with Xun Yu Zhou), 　A special issue dedicated Tyrone Duncan on the occation of his 65th birthday, Communications in Information and Systems, 6(4): 321-338, 2006.　　()
[2]　Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection (with Shige Peng),　Stochastic processes and their Applications,118(6): 952-967, 2008.　　()
[3]　The Neyman–Pearson lemma under g-probability (with Xun Yu Zhou), 　 C. R. Acad. Sci. Paris, Ser. I, 346(3-4): 209-212, 2008. 　　()
[4]　Dual method for continuous-time Markowitz’s problems with nonlinear wealth equations, 　Journal of Mathematical Analysis and Applications, 366: 90-100, 2010.　　()
[5]　A generalized Neyman–Pearson lemma under g-probabilities(with Xun Yu Zhou),　 Probability theory and related fields, 148: 645-669,2010.　　()
[6]　An optimal insurance design problem under Knightian uncertainty (with Carole Bernard and Weidong Tian),　Decisions in economics and finance, 36(2): 99-124, 2013.　　()
[7]　An overview on the Principal-Agent problems in continuous time (with Qingmeng Wei),　in Real Options, Ambiguity, Risk and Insurance (Studies in Probability, Optimization and Statistics 5), editors: A. Bensoussan, S. Peng and J. Sung, IOS Press, 2013.　　()
[8]　A maximum principle for fully coupled forward–backward stochastic control system with terminal state constraints (with Qingmeng Wei), 　Journal of Mathematical Analysis and Applications, 407(2): 200-210, 2013.　　()
[9]　Ambiguous Volatility and Asset Pricing in Continuous Time (with Larry G. Epstein),　The Review of Financial Studies,26 (7): 1740-1786, 2013.　　()
[10]　A generalized Girsanov transformation of finite state stochastic processes in discrete time (with Samuel N. Cohen, Shuzhen Yang),　Statistics and Probability Letters, 84: 33-39, 2014.　　()
[11]　Backward stochastic differential equations driven by G-Brownian motion (with Mingshang Hu,Shige Peng, Yongsheng Song),　Stochastic Processes and their Applications, 124(1): 759–784, 2014.　　()
[12]　Ambiguous volatility, possibility and utility in continuous time (with Larry G. Epstein), 　Journal of Mathematical Economics, 50: 269-282, 2014.　　()
[13]　Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G-Brownian motion (with Mingshang Hu, Shige Peng, Yongsheng Song),　Stochastic Processes and their Applications, 124(2): 1170–1195, 2014.　　()
[14]　A Stochastic Recursive Optimal Control Problem Under the G-expectation Framework(with Mingshang Hu, Shuzhen Yang)，　Applied Mathematics and Optimization, 70(2): 253-278, 2014.　　()
专著:
嵇少林 教授
山东大学数学学院教授，博士生导师
预印本: