西安电子科技大学数学与统计学院导师教师师资介绍简介-薄立军

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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
Portfolio Choice with Market-Credit Risk Dependencies, (with A. Capponi) to appear in SIAM Journal on Control and Optimization, pp. 1-38, 2018
Optimal Investment of Variance-Swaps in Jump-Diffusion Market with Regime-Switching, (with D. Tang and Y.J. Wang) Journal of Economic Dynamics and Control, Vol. 83, pp. 175-197, 2017
完全论文

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/

研究方向
随机模型与随机分析
数理金融
信用与系统风险

Optimal investment in credit derivatives portfolio under contagion risk (with A. Capponi), Math. Finan. forthcoming 2014
Bilateral credit valuation adjustment for large credit derivatives portfolios (with A. Capponi), Finan. & Stoch. 18(2): 431-482, 2014
Smooth-pasting property on reflected Lévy processes and its applications in credit risk modeling (with X. Yang), Science China: Math. DOI: 10.1007/s11425-014-4802-6, 1-20, 2014
Credit derivatives pricing based on Lévy field driven term structure (with Y. Jiao and X. Yang), Stoch. Anal. & Appl. 32(2): 229-252, 2014
On the default probability in a regime-switching regulated market (with Y. Wang and X. Yang), Meth. Comput. Appl. Probab. 16(1): 101-113, 2014
Kernel correlated Lévy field driven forward rate and application to derivative pricing (with Y. Wang and X. Yang). Appl. Math. & Optim. 68(1): 21-41, 2013
Stochastic portfolio optimization with default risk (with Y. Wang and X. Yang). J. Math. Anal. Appl. 397(2): 467-480, 2013
Optimal investment and consumption with default risk: HARA utility (with Y. Wang and X. Yang). Asia-Pacific Finan. Market 20(3): 261-281, 2013
On the conditional default probability in a regulated market with jump risk (with D. Li, Y. Wang and X. Yang). Quant. Finan. 13(12): 1967-1975, 2013
First passage times of reflected generalized Ornstein-Uhlenbeck processes (with G. Ren and Y. Wang). Stoch. & Dyn. 13: **, 1-16, 2013
First passage times of reflected O-U processes with two-sided jumps. Queueing Syst. 73(1): 105-118, 2013
Large deviation for the nonlocal Kuramoto-Sivashinsky SPDE (with Y. Jiang). Nonlinear. Anal. 82(C): 100-114, 2013
Lévy risk model with two-sided jumps and a barrier dividend strategy (with R. Song, D. Tang, Y. Wang, X. Yang). Insurance: Math. & Econom. 50(2): 280-291, 2012
Optimal portfolio and consumption selection with default risk (with Y. Wang, X. Yang). Front. Math. China 7(6): 1019-1042, 2012
Sequential maximum likelihood estimation for reflected generalized Ornstein-Uhlenbeck processes (with X. Yang). Stats. Probab. Lett. 82(7): 1374-1382, 2012
First passage times of constant-elasticity-of-variance processes with two-sided reflecting barriers (with C. Hao). J. Appl. Probab. 49(4): 1119-1133, 2012
Derivative pricing based on the exchange rate in a target zone with realignment (with Y. Wang and X. Yang). Int. J. Theor. Appl. Finan. 14(6): 945-956, 2011
Exponential change of measure applied to term structures of interest rates and exchange rates. Insurance: Math. & Econom. 49(2): 216-225, 2011
Variational solutions of dissipative jump-type stochastic evolution equations (with K. Shi and Y. Wang). J. Math. Anal. Appl. 373: 111-126, 2011
On the conditional default probability in a regulated market: a structural approach (with D. Tang, Y. Wang and X. Yang). Quant. Finan. 11(12): 1695-1702, 2011
First passage times of (reflected) Ornstein-Uhlenbeck processes over random jump boundaries (with Y. Wang and X. Yang). J. Appl. Probab. 48(3): 723-732, 2011
Maximum likelihood estimation for reflected Ornstein–Uhlenbeck processes (with Y. Wang, X. Yang and G. Zhang). J. Stats. Planning and Infer. 141(1): 588-596, 2011
On a stochastic interacting model with stepping-stone noises (with Y. Wang). Stats. Probab. Lett. 81(8): 1300-1305, 2011
Mean first passage times of two-dimensional processes with jumps (with M. Lefebvre). Stats. Probab. Lett. 81(8): 1183-1189, 2011
Some integral functionals of reflected SDEs and their applications in finance (with Y. Wang and X. Yang). Quant. Finan. 11(3): 343-348, 2011
Markov-modulated jump–diffusions for currency option pricing (with Y. Wang and X. Yang). Insurance: Math. & Econom. 46(3): 461-469, 2010
An optimal portfolio problem in a defaultable market (with Y. Wang and X. Yang). Adv. Appl. Probab. 42(3): 689-705, 2010
Support theorem for a stochastic Cahn-Hilliard equation (with K. Shi and Y. Wang). Electron. J. Probab. 15: 484-525, 2010
On a stochastic wave equation driven by a non-Gaussian Lévy process (with K. Shi and Y. Wang). J. Theoret. Probab. 23(1): 328-343, 2010
Large deviations for perturbed reflected diffusion processes (with T. Zhang). Stochastics & Stochastic Report 81(6): 531-543, 2009
Approximating solutions of neutral stochastic evolution equations with jumps (with K. Shi and Y. Wang). Science China: Math. 52(5): 895-907, 2009
On a class of stochastic Anderson models with fractional noises (with Y. Jiang and Y. Wang). Stoch. Anal. & Appl. 26(2): 256-273, 2008
Jump type Cahn-Hilliard equations with fractional noises (with K. Shi and Y. Wang). Chin. Ann. Math. 29B(6): 663-678, 2008
Lyapunov exponent estimates of a class of higher-order stochastic Anderson models (with D. Tang). Proceedings of AMS 136(11): 4033-4043, 2008
Stochastic Cahn-Hilliard equation with fractional noise (with Y. Jiang and Y. Wang). Stoch. & Dyn. 8(4): 643-665, 2008
Explosive solutions of stochastic wave equations with damping on R^d (with D. Tang and Y. Wang). J. Diff. Eqn. 244(1): 170-187, 2008
On a nonlocal stochastic Kuramoto-Sivashinsy equation with jumps (with K. Shi and Y. Wang). Stoch. & Dyn. 7(4): 439-457, 2007
Discontinuous Galerkin method for elliptic stochastic partial differential equations on two and three dimensional spaces (with R. Yao). Science China: Math. 50(11): 1661-1672, 2007
Strong comparison result for a class of reflected stochastic differential equations with non-Lipschitzian coefficients (with R. Yao). Front. Math. China 2(1): 73-85, 2007
On the first passage times of reflected OU processes with two-sided barriers (with Y. Wang and L. Zhang). Queueing Syst. 54(4): 313-316, 2006
Stochastic Cahn–Hilliard partial differential equations with Lévy spacetime white noises (with Y. Wang). Stoch. & Dyn. 6(2): 229-244, 2006

Lijun Bo, Ph.D. Professor of Probability
School of Math. & Stats., Xidian University, Xi'an 710071, PR China
E-mail: lijunbo@xidian.edu.cn

About Me
I am a professor of Probability in the School of Mathematics and Statistics at Xidian University, Xi'an China. I received my PhD from Nankai University, Tianjin China in 2009. From Sep. 2013 to Oct. 2014, I am a visiting professor in the Department of Applied Mathematics and Statistics, Whiting school of Engineering at Johns Hopkins University.

Research Areas
Stochastic Models and Stochastic Analysis
Mathematical Finance
Credit and Systemic Risk

Recent Papers
Optimal Investment in Credit Derivatives Portfolio Under Contagion Risk (with A. Capponi) Mathematical Finance, Accepted for pub.. (Preprint)
Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios (with A. Capponi) Finance and Stochastics, 18(2): 431-482, 2014. (Preprint)
List of Published Articles (with references)