肖华
肖华

理学博士、教授、硕士生导师

研究方向:随机控制、随机滤波、金融数学、正倒向随机微分方程

联系方式

电话:0631-5688523

电邮:xiao_hua@sdu.edu.cn

学术兼职

1)2015/08-至今:美国《Mathematical Reviews 评论员

2)2013/03-至今:新葡萄京娱乐场手机版(威海) 概率论与数理统计研究所 所长

访问经历

1)        2015/03-2016/03 Postdoctoral Fellow 英国拉夫堡大学数学系

2)        2013/09-2014/09 Visiting Scholar 美国田纳西大学数学系

3)        2013/07-2013.08 Research Fellow 澳门大学数学系

4)        2013/01-2013/03 Research Associate 香港理工大学应用数学系

5)        2011/06-20111/09 Research Assistant 香港理工大学建筑及房地产系

6)        2010/07-2010/09 Research Assistant 香港理工大学建筑及房地产系

学习经历

1)        2011/12  新葡萄京娱乐场手机版 博士学位

2)        2005/06 新葡萄京娱乐场手机版 硕士学位

3)        2002/07 新葡萄京娱乐场手机版 学士学位

工作经历

1)        2018/09-至今 新葡萄京官网 教授

2)        2013/09-2018/08 新葡萄京官网 副教授

3)        2007/09-2013/08 新葡萄京官网 讲师

4)        2005/07-2007/08 新葡萄京官网 助教

科研论文

期刊文章

1)Guangchen Wang, Hua Xiao (通讯)  and Jie Xiong. A kind of LQ non-zero sum differential game of backward stochastic differential equation with asymmetric information.  Automatica,  97 (2018) 346-352.   (SCI)  2017 IF: 6.126

2)Guangchen Wang, Hua Xiao (通讯)  and Guojing Xing. An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation.  Automatica,   86 (2017)  104-109.  (SCI) 2016  IF: 5.451

3)Guangchen Wang and Hua Xiao (通讯). Arrow sufficient conditions for optimality of  fully coupled forward-backward stochastic differential equations with applications to  finance. Journal of Optimization Theory and Applications, 165 (2015) 639-656. (SCI)  IF:  1.160

4)Dejian Chang and  Hua Xiao (通讯). Linear quadratic nonzero sum differential games with asymmetric information. Mathematical Problems in Engineering, Volume 2014,   Article ID 262314, DOI: 10.1155/2014/262314 (2014)  (SCI)  IF: 0.762

5)Eddie C.M. Hui and  Hua Xiao (通讯). Differential games of partial information forward-backward doubly stochastic differential equations and applications. ESAIM: Control, Optimisation and Calculus of Variations, 20(1) (2014) 78-94. (SCI) IF: 1.127

6)Hua Xiao. Optimality conditions for optimal control of jump-diffusion SDEs with  correlated observations noises. Mathematical Problems in Engineering, Volume 2013, Article ID 613159, DOI: 10.1155/2013/613159  (2013)  (SCI)  IF: 1.082

7)Eddie C.M. Hui and  Hua Xiao (通讯). Maximum principle for differential games of   forward-backward stochastic systems with applications. Journal of Mathematical Analysis and Applications, 386(1)  (2012)  412-427.  (SCI)  IF: 1.050

8)Hua Xiao (通讯) and Guangchen Wang. A necessary condition for optimal control of initial coupled forward-backward stochastic differential equations with partial information. Journal of Applied Mathematics and Computing, 37  (2011)  347-359.  (EI)

9)Hua Xiao. The maximum principle for partially observed optimal control of forward-backward stochastic systems with random jumps. Journal of Systems Science and Complexity, 24(6)  (2011)  1083-1099.  (SCI, EI)  IF: 0.373  

10)Bing Yang and  Hua Xiao (通讯). Law of large numbers under the nonlinear   expectation. Proceedings of the American Mathematical Society, 139(10) (2011) 3753-3762. (SCI)  IF: 0.611

11)  Zhen  Wu and  Hua Xiao (通讯). Multi-dimensional reflected backward stochastic differential equations and the comparison theorem. Acta Mathematica Scientia , 30B(5) (2010) 1819-1836.  (SCI)  IF: 0.213

12)Hua Xiao (通讯) and Guangchen Wang. The filtering equations of forward-backward  stochastic systems with random jumps and applications to partial information stochastic optimal control. Stochastic Analysis and Applications, 28(6) (2010) 1003-1019. (SCI)  IF: 0.419

13)Hua Xiao. Continuous dependence of the solution of mul-dimensional reflected  backward stochastic differential equations on the parameters. Journal of Shandong University, 42(2)  (2007)  68-71. (In Chinese)

   会议文章

1) Hua Xiao (通讯and Shuaiqi Zhang. Partial information differential games for mean-field SDEs. Proceedings of the 35nd Chinese Control Conference, 1684-1689, Chengdu, July 27-29,  2016.  (EI)

2)Guangchen Wang and Hua Xiao. An optimal control problem of backward stochastic differential equations with partial information. Proceedings of the 32nd Chinese Control Conference, 1592-1595, Xian, July 26-28, 2013. (EI)

3)Hua Xiao . Maximum principle for optimal control of point processes with correlated noisy observations. Proceedings of the 30th Chinese Control Conference, 1921-1924, Yantai, July 22-24, 2011. (EI)

4)Bing Yang and Hua Xiao (通讯). Pricing and optimal conversion strategy of convertible bonds. Proceedings of the 48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference, 3662-3667, Shanghai, December 16-18, 2009. (EI)

科研项目

1)       国家自然科学基金面上项目,61977043,《带马尔科夫跳变参数的大种群倒向随机系统的平均场博弈及其应用》、2020/01-2023/1263万元、在研、主持。

2)       国家博士后科学基金特别资助,2018T110678,《大种群倒向随机系统的动态优化及其应用》、2018/06-2020/0615万元、在研、主持。

3)      山东省自然科学基金面上基金,ZR2017MA049,《大种群随机递归系统的微分对策理论及其应用》、2017/08-2020/0610万元、在研、主持。

4)        国家自然科学基金青年基金, 11201263,《部分可观的带随机跳正倒向随机系统的最优控制理论及其应用》、2013/01-2015/1222万元、已结题、主持。

5)       山东省自然科学基金青年基金,ZR2012AQ004,《带相关观测噪声的正倒向随机系统理论及其应用》、2012/07-2015/075万元、已结题、主持。

6)       新葡萄京娱乐场手机版自主创新基金,2012ZRYQ007,《部分信息下跳扩散随机递归系统的最优控制及其在金融上的应用》,2012/07-2015/066万元,已结题,主持。

获得奖励

1)201309月,《部分信息下正倒向随机系统的微分博弈理论及其应用》,山东省高等学校优秀科研成果奖,自然科学类二等奖,位次2/3.

已毕业研究生 (以入学时间为序)

刘皓春晓 2017届)