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計算數學與控制系

講師

SMBU

鄭家愉

作者:    審核:    發布時間:2022-07-13    閱讀次數:


鄭家愉 (Jiayu Zheng)


Contact Information:

● Postal address: Shenzhen MSU-BIT University, 1 International University Park Road, Longgang District, 518172 Shenzhen, Guangdong Province, P.R. China.

● Office: Room 303, Main Building.

● Email: jyzheng@smbu.edu.cn

 

Educational Background:

2014.09 - 2017.11, Ph.D. in Mathematics, Department of Mathematics, University of Macau. Supervisor: Prof. Jie Xiong.

2011.09-2014.07, M.S. in Mathematics, Department of Mathematics, University of Macau.

2007.09 - 2011.07, B.S. in Mathematics and Applied Mathematics, School of Mathematics, South China Normal University.

 

Working Experience:

2022.05 - Present, Lecturer, Department of Computational Mathematics and Control, Shenzhen MSU-BIT University.

2019.10 - 2021.10,  Postdoctoral Fellow, Mathematical and Statistical Science, University of Alberta, Canada. Supervisor: Prof. Yaozhong Hu and Prof. Michael A. Kouritzin.

2018.11 - 2019.09, Associate Researcher, School of Mathematics, Sun-Yat Sen University.

2018.05 - 2018.10, Postdoctoral Fellow, Department of Mathematics, University of Macau.

2018.01 - 2018. 03, Research Associate, Department of Applied Mathematics, Hong Kong Polytechnic University.

 

Research Interests:

Stochastic (partial) differential equations; Stochastic Filtering; Financial Mathematics.

 

Publications and Preprints:

[8] Y. Hu, X. Wang, P. Xia and J. Zheng (2023), Moment asymptotics for super-Brownian motions, arXiv:2303.12994, submitted.

[7] Y. Hu, M. A. Kouritzin, P. Xia and J. Zheng (2023), On mean-field super-Brownian motions, Annals of Applied Probability, Vol. 33, No. 5, 3872-3915. 

[6] Y. Hu, M. A. Kouritzin and J. Zheng (2023), Nonlinear Mckean-Vlasov diffusions under the weak H?rmander condition with coefficients depending on quantiles, arXiv:2101.04080, Potential Analysis,accepted. 

[5] J. Xiong Z. Xu and J. Zheng (2021), Mean-variance portfolio selection under partial information with drift uncertainty, Quantitative Finance, Vol. 21, No. 9, 1461-1473.

[4] J. Xiong, X. Zhou and J. Zheng (2019), Unique strong solutions of Levy processes drive stochastic differential equations with discontinuous coefficients, Stochastics, Vol. 91, No. 4, 592-612.

[3] H. Guo, J. Xiong and J. Zheng (2018), Stochastic maximum principle for generalized mean-field delay control problem, arXiv:1708.03622, submitted.

[2] J. Zheng and J. Xiong (2017), Pathwise uniqueness for stochastic differential equations driven by pure jump processes, Statistics and Probability Letters, 130, 100-104. 

[1] D. Ding, Q. Meng and J. Zheng (2014), Efficient rainbow options pricing methods based on two-dimensional Fourier series expansions, Applied Mechanics and Materials, Vol. 444–445, 692–697.

  

Fundings:

● National Natural Science Foundation of China - Youth Fund (No.11901598), PI.

 

Talks: 

● 2022.06 The 42th Conference on Stochastic Processes and their Applications, Wuhan, China, contributed talk;

● 2018.07 The 12th AIMS International Conference on Dynamical Systems and Differential Equations, Taipei, China;

● 2017.07 London Mathematical Society EPSRC Durham Symposium Stochastic Analysis, Durham University, England, invited talk;

● 2017.06 PIMS-CRM summer school in probability hold in the University of British Columbia, Vancouver Campus.

● 2016.11 The International Symposium on Probability Theory and Related Fields, Southern University of Science and Technology, Shenzhen, China, invited talk.


 

 

關閉

地址:深圳市龍崗區大運新城國際大學園路1號

電話:0755-28323024

郵箱:info@smbu.edu.cn

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