西安电子科技大学数学与统计学院研究生导师简介-薄立军

删除或更新信息，请邮件至freekaoyan#163.com(#换成@)

西安电子科技大学免费考研网/2014-08-17

薄立军
教授，博士生导师
西安电子科技大学数学与统计学院
E-mail:lijunbo@xidian.edu.cn
Website:https://sites.google.com/site/bolijunpage/

个人简介
目前为西安电子科技大学数学与统计学院教授，概率与数理统计专业博士生导师、概率与统计和统计学硕士生导师。分别于2006年和2009年获南开大学概率论与数理统计专业理学硕士和理学博士学位。2012年入选教育部新世纪优秀人才支持计划。曾访问澳大利亚墨尔本大学数学与统计系和法国巴黎七大数学系以及概率与随机模型实验室(LPMA)开展随机分析与数理金融领域的学术交流和合作。现正在美国约翰-霍普金斯大学工学院应用数学与统计系进行为期一年的学术交流与合作，其主要的合作方向为数理金融和信用与系统风险建模。

研究方向
随机模型与随机分析数理金融信用与系统风险

近期代表论文
OptimalInvestmentinCreditDerivativesPortfolioUnderContagionRisk(withA.Capponi)MathematicalFinance,Acceptedforpub..(预印本)BilateralCreditValuationAdjustmentforLargeCreditDerivativesPortfolios(withA.Capponi)FinanceandStochastics,18(2):431-482,2014.(预印本)完全论文

-----------------------------------------------------------------

Optimalinvestmentincreditderivativesportfolioundercontagionrisk(withA.Capponi),Math.Finan.forthcoming2014Bilateralcreditvaluationadjustmentforlargecreditderivativesportfolios(withA.Capponi),Finan.&Stoch.18(2):431-482,2014Smooth-pastingpropertyonreflectedLévyprocessesanditsapplicationsincreditriskmodeling(withX.Yang),ScienceChina:Math.DOI:10.1007/s11425-014-4802-6,1-20,2014CreditderivativespricingbasedonLévyfielddriventermstructure(withY.JiaoandX.Yang),Stoch.Anal.&Appl.32(2):229-252,2014Onthedefaultprobabilityinaregime-switchingregulatedmarket(withY.WangandX.Yang),Meth.Comput.Appl.Probab.16(1):101-113,2014KernelcorrelatedLévyfielddrivenforwardrateandapplicationtoderivativepricing(withY.WangandX.Yang).Appl.Math.&Optim.68(1):21-41,2013Stochasticportfoliooptimizationwithdefaultrisk(withY.WangandX.Yang).J.Math.Anal.Appl.397(2):467-480,2013Optimalinvestmentandconsumptionwithdefaultrisk:HARAutility(withY.WangandX.Yang).Asia-PacificFinan.Market20(3):261-281,2013Ontheconditionaldefaultprobabilityinaregulatedmarketwithjumprisk(withD.Li,Y.WangandX.Yang).Quant.Finan.13(12):1967-1975,2013FirstpassagetimesofreflectedgeneralizedOrnstein-Uhlenbeckprocesses(withG.RenandY.Wang).Stoch.&Dyn.13:1250014,1-16,2013FirstpassagetimesofreflectedO-Uprocesseswithtwo-sidedjumps.QueueingSyst.73(1):105-118,2013LargedeviationforthenonlocalKuramoto-SivashinskySPDE(withY.Jiang).Nonlinear.Anal.82(C):100-114,2013Lévyriskmodelwithtwo-sidedjumpsandabarrierdividendstrategy(withR.Song,D.Tang,Y.Wang,X.Yang).Insurance:Math.&Econom.50(2):280-291,2012Optimalportfolioandconsumptionselectionwithdefaultrisk(withY.Wang,X.Yang).Front.Math.China7(6):1019-1042,2012SequentialmaximumlikelihoodestimationforreflectedgeneralizedOrnstein-Uhlenbeckprocesses(withX.Yang).Stats.Probab.Lett.82(7):1374-1382,2012Firstpassagetimesofconstant-elasticity-of-varianceprocesseswithtwo-sidedreflectingbarriers(withC.Hao).J.Appl.Probab.49(4):1119-1133,2012Derivativepricingbasedontheexchangerateinatargetzonewithrealignment(withY.WangandX.Yang).Int.J.Theor.Appl.Finan.14(6):945-956,2011Exponentialchangeofmeasureappliedtotermstructuresofinterestratesandexchangerates.Insurance:Math.&Econom.49(2):216-225,2011Variationalsolutionsofdissipativejump-typestochasticevolutionequations(withK.ShiandY.Wang).J.Math.Anal.Appl.373:111-126,2011Ontheconditionaldefaultprobabilityinaregulatedmarket:astructuralapproach(withD.Tang,Y.WangandX.Yang).Quant.Finan.11(12):1695-1702,2011Firstpassagetimesof(reflected)Ornstein-Uhlenbeckprocessesoverrandomjumpboundaries(withY.WangandX.Yang).J.Appl.Probab.48(3):723-732,2011MaximumlikelihoodestimationforreflectedOrnstein–Uhlenbeckprocesses(withY.Wang,X.YangandG.Zhang).J.Stats.PlanningandInfer.141(1):588-596,2011Onastochasticinteractingmodelwithstepping-stonenoises(withY.Wang).Stats.Probab.Lett.81(8):1300-1305,2011Meanfirstpassagetimesoftwo-dimensionalprocesseswithjumps(withM.Lefebvre).Stats.Probab.Lett.81(8):1183-1189,2011SomeintegralfunctionalsofreflectedSDEsandtheirapplicationsinfinance(withY.WangandX.Yang).Quant.Finan.11(3):343-348,2011Markov-modulatedjump–diffusionsforcurrencyoptionpricing(withY.WangandX.Yang).Insurance:Math.&Econom.46(3):461-469,2010Anoptimalportfolioprobleminadefaultablemarket(withY.WangandX.Yang).Adv.Appl.Probab.42(3):689-705,2010SupporttheoremforastochasticCahn-Hilliardequation(withK.ShiandY.Wang).Electron.J.Probab.15:484-525,2010Onastochasticwaveequationdrivenbyanon-GaussianLévyprocess(withK.ShiandY.Wang).J.Theoret.Probab.23(1):328-343,2010Largedeviationsforperturbedreflecteddiffusionprocesses(withT.Zhang).Stochastics&StochasticReport81(6):531-543,2009Approximatingsolutionsofneutralstochasticevolutionequationswithjumps(withK.ShiandY.Wang).ScienceChina:Math.52(5):895-907,2009OnaclassofstochasticAndersonmodelswithfractionalnoises(withY.JiangandY.Wang).Stoch.Anal.&Appl.26(2):256-273,2008JumptypeCahn-Hilliardequationswithfractionalnoises(withK.ShiandY.Wang).Chin.Ann.Math.29B(6):663-678,2008Lyapunovexponentestimatesofaclassofhigher-orderstochasticAndersonmodels(withD.Tang).ProceedingsofAMS136(11):4033-4043,2008StochasticCahn-Hilliardequationwithfractionalnoise(withY.JiangandY.Wang).Stoch.&Dyn.8(4):643-665,2008ExplosivesolutionsofstochasticwaveequationswithdampingonR^d(withD.TangandY.Wang).J.Diff.Eqn.244(1):170-187,2008OnanonlocalstochasticKuramoto-Sivashinsyequationwithjumps(withK.ShiandY.Wang).Stoch.&Dyn.7(4):439-457,2007DiscontinuousGalerkinmethodforellipticstochasticpartialdifferentialequationsontwoandthreedimensionalspaces(withR.Yao).ScienceChina:Math.50(11):1661-1672,2007Strongcomparisonresultforaclassofreflectedstochasticdifferentialequationswithnon-Lipschitziancoefficients(withR.Yao).Front.Math.China2(1):73-85,2007OnthefirstpassagetimesofreflectedOUprocesseswithtwo-sidedbarriers(withY.WangandL.Zhang).QueueingSyst.54(4):313-316,2006StochasticCahn–HilliardpartialdifferentialequationswithLévyspacetimewhitenoises(withY.Wang).Stoch.&Dyn.6(2):229-244,2006

-----------------------------------------------------------------

LijunBo,Ph.D.ProfessorofProbability

SchoolofMath.&Stats.,XidianUniversity,Xi'an710071,PRChina
E-mail:lijunbo@xidian.edu.cn

AboutMe
IamaprofessorofProbabilityintheSchoolofMathematicsandStatisticsatXidianUniversity,Xi'anChina.IreceivedmyPhDfromNankaiUniversity,TianjinChinain2009.FromSep.2013toOct.2014,IamavisitingprofessorintheDepartmentofAppliedMathematicsandStatistics,WhitingschoolofEngineeringatJohnsHopkinsUniversity.

ResearchAreas
StochasticModelsandStochasticAnalysisMathematicalFinanceCreditandSystemicRisk

RecentPapers
OptimalInvestmentinCreditDerivativesPortfolioUnderContagionRisk(withA.Capponi)MathematicalFinance,Acceptedforpub..(Preprint)BilateralCreditValuationAdjustmentforLargeCreditDerivativesPortfolios(withA.Capponi)FinanceandStochastics,18(2):431-482,2014.(Preprint)ListofPublishedArticles(withreferences)