于志勇 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:
2014年，获得山东省****基金
2013年，山东高等学校优秀科研成果二等奖（首位）


研究方向:
随机控制、随机微分博弈、倒向随机微分方程、金融数学

联系方式:
通讯地址：中国济南 山大南路27号 山东大学数学学院（250100）
办公电话：+86-
E-mail：yuzhiyong@sdu.edu.cn

其他信息:
个人网页：http://www.maths.sdu.edu.cn/institute-of-control-and-system-science/yuzhiyong

---

于志勇 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:
2014年，获得山东省****基金
2013年，山东高等学校优秀科研成果二等奖（首位）


研究方向:
随机控制、随机微分博弈、倒向随机微分方程、金融数学

联系方式:
通讯地址：中国济南 山大南路27号 山东大学数学学院（250100）
办公电话：+86-
E-mail：yuzhiyong@sdu.edu.cn

其他信息:
个人网页：http://www.maths.sdu.edu.cn/institute-of-control-and-system-science/yuzhiyong

---

于志勇 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、随机微分博弈、倒向随机微分方程、金融数学

主持承担的科研项目:
2015-2018，国家自然科学基金面上项目，负责人
2014-2017，山东省自然科学****基金，负责人
2012-2014，教育部留学回国科研启动基金，负责人
2012-2014，国家自然科学基金青年项目，负责人
2011-2013，山东省自然科学基金青年项目，负责人
2011，国家自然科学基金数学天元专项，负责人
2009-2011，山东大学自主创新基金自由探索项目，负责人
??


国际学术会议报告:

---

于志勇 教授
山东大学数学学院教授，博士生导师



论文:
[1]　 Fully coupled forward-backward stochastic differential equations and related partial differential equations system (with Zhen Wu),　 J. Contemp. Math. 25 (2004), no. 3, 269–282. 　 　 ()
[2]　 Linear quadratic nonzero-sum differential games with random jumps (with Zhen Wu),　 Appl. Math. Mech. (English Ed.) 26 (2005), no. 8, 1034–1039. 　 　 ()
[3]　 One kind of stochastic nonzero-sum game problem and BSDEs (with Zhen Wu),　 Proceeding of the 26th Chinese Control Conference, Vol. 3, pp. 399-402, 2007.　 　 ()
[4]　 Linear-Quadratic Nonzero-Sum Differential Game of Backward Stochastic Differential Equations (with Shaolin Ji),　 Proceeding of the 27th Chinese Control Conference, Vol. 3, pp. 562-566, 2008.　 　 ()
[5]　 Dynamic programming principle for one kind of stochastic recursive optimal control problem and Hamilton-Jacobi-Bellman equation (with Zhen Wu) , 　 SIAM J. Control Optim. 47 (2008), no. 5, 2616–2641.　 　 ()
[6]　 Nash equilibrium point for one kind of stochastic nonzero-sum game problem and BSDEs (with Jean-Pierre Lepeltier and Zhen Wu),　 C. R. Math. Acad. Sci. Paris 347 (2009), no. 15-16, 959–964.　 　 ()
[7]　 A Pontryagin's maximum principle for non-zero sum differential games of BSDEs with applications (with Guangchen Wang), 　 IEEE Trans. Automat. Control 55 (2010), no. 7, 1742–1747.　 　 ()
[8]　 Linear-quadratic optimal control and nonzero-sum differential game of forward-backward stochastic system.　 Asian J. Control 14 (2012), no. 1, 173–185.　 　 ()
[9]　 A partial information non-zero sum differential game of backward stochastic differential equations with applications (with Guangchen Wang),　 Automatica J. IFAC 48 (2012), no. 2, 342–352.　 　 ()
[10]　 Backward stochastic viability and related properties on Z for BSDEs with applications (with Zhen Wu),　 J. Syst. Sci. Complex. 25 (2012), no. 4, 675–690.　 　 ()
[11]　 The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls.　 Automatica J. IFAC 48 (2012), no. 10, 2420–2432.　 　 ()
[12]　 Delayed stochastic linear-quadratic control problem and related applications (with Li Chen and Zhen Wu),　 J. Appl. Math. 2012, Art. ID 835319, 22 pp.　 　 ()
[13]　 Equivalent cost functionals and stochastic linear quadratic optimal control problems.　 ESAIM Control Optim. Calc. Var. 19 (2013), no. 1, 78–90.　 　 ()
[14]　 Relationship between maximum principle and dynamic programming for stochastic recursive optimal control problems and applications (with Jingtao Shi),　 Math. Probl. Eng. 2013, Art. ID 285241, 12 pp.　 　 ()
[15]　 Continuous-time mean-variance portfolio selection with random horizon.　 Appl. Math. Optim. 68 (2013), no. 3, 333–359.　 　 ()
[16]　 Solvability of indefinite stochastic Riccati equations and linear quadratic optimal control problems (with Jianhui Huang),　 Systems Control Lett. 68 (2014), 68–75.　 　 ()
[17]　 Probabilistic interpretation for a system of quasilinear parabolic partial differential equation combined with algebra equations(with Zhen Wu),　 Stochastic Process. Appl. 124 (2014), no. 12, 3921–3947.　 　 ()
[18]　 An indefinite stochastic linear quadratic optimal control problem for the FBSDE system with jumps (with Na Li and Zhen Wu), 　 Proceeding of the 34th Chinese Control Conference, pp. 1682-1686, 2015.　 　 ()
[19]　 Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps (with Na Li), 　 Adv. Difference Equ. 2015, 2015:144, 19 pp.　 　 ()
[20]　 Maximum principle for nonzero-sum stochastic differential game with delays (with Li Chen),　 IEEE Trans. Automat. Control 60 (2015), no. 5, 1422–1426.　 　 ()
[21]　 An optimal feedback control-strategy pair for zero-sum linear-quadratic stochastic differential game: the Riccati equation approach.　 SIAM J. Control Optim. 53 (2015), no. 4, 2141–2167.　 　 ()
[22]　 Continuous-time mean-variance portfolio selection with random horizon in an incomplete market (with Siyu Lv and Zhen Wu),　 Automatica J. IFAC 69 (2016), 176–180. 　 　 ()
[23]　 Exact controllability of linear stochastic differential equations and related problems (with Yanqing Wang, Donghui Yang, and Jiongmin Yong),　 Math. Control Relat. Fields 7 (2017), no. 2, 305-345.　 　 ()

[24]　
Infinite horizon jump-diffusion forward-backward stochastic differential equations and their application to backward linear-quadratic problems, 　
ESAIM Control Optim. Calc. Var., Doi: 1051/cocv/**, to appear. 　
　
()
[25]　 Indefinite stochastic linear-quadratic optimal control problems with random jumps and related stochastic Riccati equations (with Na Li and Zhen Wu), 　 Sci. China Math., to appear.　 　 ()



专著:

---

于志勇 教授
山东大学数学学院教授，博士生导师



预印本: