聂天洋 副教授
山东大学数学学院副教授 硕士生导师
现任职务:
荣誉与奖励:
研究方向:
??
正倒向随机系统的最优控制理论、状态受约束的随机微分方程、金融数学
联系方式:
通讯地址：山东济南山东大学数学学院
办公电话：+86-
E-mail：nietianyang@sdu.edu.cn
其他信息:
聂天洋 副教授
山东大学数学学院副教授 硕士生导师
现任职务:
荣誉与奖励:
研究方向:
??
正倒向随机系统的最优控制理论、状态受约束的随机微分方程、金融数学
联系方式:
通讯地址：山东济南山东大学数学学院
办公电话：+86-
E-mail：nietianyang@sdu.edu.cn
其他信息:
聂天洋 副教授
山东大学数学学院副教授 硕士生导师
研究方向:
??
正倒向随机系统的最优控制理论、状态受约束的随机微分方程、金融数学
主持承担的科研项目:
??
1.状态受约束的正倒向随机最优控制问题研究及其应用， 国家自然科学基金青年基金项目（NO.**），2017年1月-2019年12月，项目负责人。
2.正倒向随机控制问题与随机微分博弈问题研究及其应用，山东省自然科学基金青年项目（ZR2016AQ13），2016年11月-2019年6月，项目负责人。
国际学术会议报告:
??
聂天洋 副教授
山东大学数学学院副教授 硕士生导师
论文:
[1] T. NIE and A. RASCANU. Deterministic characterization of viability for stochastic differential equation driven by fractional Brownian motion.?? ESAIM: Control Optimisation and Calculus of Variation, 18 (4), 915-929, 2012 (SCI,EI)
[2] T. NIE and M. RUTKOWSKI*. Multi-player stopping games with redistribution of payoffs and multi-dimensional BSDEs with oblique reflection.?? Stochastic Processes and their Applications. 124(8), 2672-2698, 2014 (SCI,EI)
[3] T. NIE. A stochastic approach to a new type of parabolic variational inequalities. ?? Stochastics, 87 (3), 477-517, 2015 (SCI)
[4] T. NIE. Forward-backward stochastic differential equation with subdifferential operator and associated variational inequality.?? Science China Mathematics, 58(4), 729-748, 2015 (SCI)
[5] L. MATICIUC and T. NIE*. Fractional backward stochastic differential equations and fractional backward variational inequalities.?? Journal of Theoretical Probability, 28, 337-395, 2015 (SCI)
[6] T. NIE and M. RUTKOWSKI*. Fair bilateral prices in Bergman’s model with exogenous collateralization. International Journal of Theoretical and Applied Finance. 18 (7), 26 pages, 2015 ()
[7] T. NIE and M. RUTKOWSKI*. BSDEs driven by multi-dimensional martingales and their applications to market model with funding cost.
SIAM: Theory of Probability and Its Applications, 60(4), 604-630. 2016 (SCI)
[8] R. BUCKDAHN and T. NIE*. Generalized Hamilton--Jacobi--Bellman Equations with Dirichlet Boundary Condition and Stochastic Exit Time Optimal Control Problem SIAM Journal on Control and Optimization 54 (2), 602-631 2016 (SCI)
[9] T. NIE, J. SHI* and Z. WU. Connection between MP and DPP for stochastic recursive optimal control problems: viscosity solution framework in local case. Proceedings of the 2016 American Control Conference，Boston, USA， 2016 (EI)
[10] T. NIE and M. RUTKOWSKI*. A BSDE approach to fair bilateral pricing under endogenous collateralization. Finance and Stochastics. 20, 855-900 2016 (SCI, SSCI)
[12] T. NIE, J. SHI* and Z. WU. Connection between MP and DPP for stochastic recursive optimal control problems: viscosity solution framework in general case Accepted by SIAM Journal on Control and Optimization 2017 (SCI)
[12] T. NIE and M. RUTKOWSKI*. Fair bilateral pricing under funding costs and exogenous collateralization.
Mathematical Finance, 28(2), 621-655 2018 (SCI, SSCI)
[13] Ying Hu, Jianhui Huang, Tianyang Nie*, Linear-Quadratic-Gaussian Mixed Mean-field Games with Heterogeneous Input Constraints. SIAM Journal on Control and Optimization, 56(4), 2835-2877 2018 ()
专著:
聂天洋 副教授
山东大学数学学院副教授 硕士生导师
预印本:
[1] Ying HU, James Jianhui Huang, Tianyang NIE*. Linear-quadratic-Gaussian mixed games with input constraint invovling major agents and heterogeneous minor agents. 2016
