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孙中洋 副教授

信息来源: 发布日期: 2019-05-29浏览次数:

孙中洋,男,1988年11月生,副教授。2016年于南开大学获理学博士学位,主要研究方向:随机控制、数理金融、精算数学。目前已发表学术论文15篇,其中 SCI 收录论文13篇,论文主要发表在 Scandinavian Actuarial Journal, SIAM Journal on Control and Optimization, Journal of Optimization Theory and Applications, Journal of Mathematical Analysis and Applications 等国际权威学术刊物上。现主持国家自然科学基金青年基金项目1项,山东省自然科学基金青年基金项目1项,已结题博士后基金面上项目1项,参与国家自然科学基金项目多项。

联系方式:

Email:zysun_nk@126.comzysun@qfnu.edu.cn

通讯地址:山东省曲阜市静轩西路57号曲阜师范大学统计学院212办公室

教育经历:

1. 2011/09-2016/06,南开大学,数学科学学院,硕博连续,概率论与数理统计专业

2. 2006/09-2010/06,河北工业大学,理学院,学士,数学与应用数学专业

工作及访学经历:

1. 2018/08-至今,曲阜师范大学,统计学院,副教授

2. 2016/07-2018/07,中山大学,数学学院,博士后

3. 2017/06-2017/08,香港大学,统计与精算学系,访问学者

4. 2015/09-2016/03,英国利物浦大学,数学系,访问学者

主持科研项目情况:

1. 国家自然科学基金青年基金项目,11901344,随机最大值原理和倒向随机微分方程在保险风险理论中的应用研究,

   2020/01-2022/12,27万元,在研

2. 山东省自然科学基金青年基金项目,ZR2019QA013,马尔科夫体制转换模型下若干随机优化问题的研究,

   2019/07-2022/06,15万元,在研

3. 中国博士后科学基金面上资助,2017M612787,马尔科夫体制转换模型在随机控制及金融保险中的应用,

   2017/06-2018/06,5万元,结题

已发表论文 (*通讯作者, 按时间倒序):

1. Sun Zhongyang, Zhang Xin*, Yuen Kam Chuen, Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option,Scandinavian Actuarial Journal, 2019, DOI: https://doi.org/10.1080/03461238.2019.1658619

2. Sun Zhongyang, Yuen Kam Chuen*, Guo Junyi, A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling, Journal of Computational and Applied Mathematics, 2019, DOI: https://doi.org/10.1016/j.cam.2019.112413

3. Sun Zhongyang*, Upper bounds for ruin probabilities under model uncertainty, Communications in Statistics-Theory and Methods, 2019, 48(18): 4511-4527

4.Sun Zhongyang*, Guo Xianping, Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem, Journal of Optimization Theory and Applications, 2019, 181(2): 383-410

5. Zhang Xin, Sun Zhongyang*, Xiong Jie, A general stochastic maximum principle for a Markov regime switching jump-diffusion model of mean-field type, SIAM Journal on Control and Optimization, 2018, 56(4): 2563-2592

6. Sun Zhongyang*, Isabelle Kemajou-Brown, Olivier Menoukeu-Pamen, A risk sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications, ESAIM: Control, Optimisation and Calculus of Variations, 2018, 24(3): 985-1013

7. Sun Zhongyang, Olivier Menoukeu-Pamen*, The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump diffusion system, Stochastic Analysis and Applications, 2018, 36(5): 782-811

8. Sun Zhongyang, Guo Junyi*, Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility, Mathematical Methods of Operations Research, 2018, 88(1): 59-79

9. Sun Zhongyang, Guo Junyi*, Zhang Xin, Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming, Journal of Optimization Theory and Applications, 2018, 176(2): 319-350

10. Tian Yingxu, Sun Zhongyang*, Mean-variance portfolio selection in a jump-diffusion financial market with common shock dependence, Journal of Risk and Financial Management, 2018, 11(2), 25; https://doi.org/10.3390/jrfm11020025

11. Sun Zhongyang, Zheng Xiaoxiao*, Zhang Xin, Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk, Journal of Mathematical Analysis and Applications, 2017, 446(2): 1666-1686

12. Sun Zhongyang, Zhang Xin, Guo Junyi*, A stochastic maximum principle for processes driven by G-Brownian motion and applications to finance, Optimal Control Applications and Methods, 2017, 38(6): 934-948

13. Sun Zhongyang*, Maximum principle for forward-backward stochastic control system under G-expectation and relation to dynamic programming, Journal of Computational and Applied Mathematics, 2016, 296: 753-775

14. Zheng Xiaoxiao, Sun Zhongyang*, Zhang Xin, Optimal portfolio problems for an insurance company under default risk and model uncertainty, Acta Mathematica Scientia Chinese Series, 2016, 36A(2): 362-379

15. Zheng Xiaoxiao, Zhou Jieming*, Sun Zhongyang, Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model, Insurance: Mathematics and Economics, 2016, 67(4): 77-87     

国际学术会议报告:

1. A stochastic maximum principle for processes driven by G-Brownian motion and applications to finance. The Sixth International Gerber-Shiu Workshop, Renmin University of China, Beijing, P.R. China, June 8-9, 2016

2. Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility. RARE workshop on Stochastic Analysis and Applications, The University of Liverpool, Liverpool, United Kingdom, March 1-2, 2016

3. Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming. 5th Monash-Ritsumeikan Symposium on Probability and Related fields, Monash University, Melbourne, Australia, March 24-29, 2015

所获荣誉:

1. 南开大学优秀博士学位论文,2017

2. 中山大学优秀博士后,2017

讲授课程:

概率论与数理统计,非寿险精算学