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所属机构

山东大学

个人简历

山东大学齐鲁证劵金融研究院院长
山东大学数学学院副院长

研究领域

金融数学、计量经济学、概率统计、导向随机微分方程、保险与精算、数理经济学

教育背景

1983年 毕业于山东师范大学数学系,获理学学士学位。
1988年 毕业于东华大学,获理学硕士。
1998年 毕业于山东大学,获博士学位。

学术兼职

教育部教学指导委员会统计学分委会委员
山东大学金融研究院常务副院长
加拿大 The University of Western Ontario 统计与精算科学系兼职教授
全国概率统计学会理事、全国应用统计学会常务理事

社会荣誉

国家教育部第六批“长江学者”奖励计划特聘教授
国家杰出青年科学基金获得者
国家“百千万人才工程”国家级人选
第十四届孙治方经济科学奖获得者

研究成果

论文:
[1] Z. Chen and R. Kulperger, Minimax pricing and Choquet pricing, to appear Insurance: Mathematics and Economics , 2005.
[2] Z. Chen and R. Kulperger, A stochastic competing species model and ergodicity, to appear Journal of Applied Probability, 2005.
[3] Z. Chen and R. Kulperger, Inequalities for upper and lower probabilities. Statist. Probab. Lett. Vol 73, 3(2005) 233-241.
[4] Z. Chen, T. Chen and M. Davison, Choquet expectation and Peng’s g-expectation. Annals of Probability, Vol.33, No. 3 (2005) 1179-1199.
[5] Z. Chen, R. Kulperger and G. Wei, A comonotonic theorem for BSDEs. Stochastic processes and their applications. 115 (2005) 41–54.
[6] L. Jiang and Z. Chen, A result on the probability measures dominated by g-expectation. Acta Mathematicae Applicatae Sinica, English Series,Vol. 20, No. 3 (2004) 507–512.
[7] L. Jiang and Z. Chen, ON Jensen’s inequality for g-expectation. Chin. Ann. Math. 25B, 3 (2004), 401–412.
[8] Z. Chen, R. Kulperger and J. Long, Jensen’s inequality for g-expectations Part I. C. R. Acad. Sci. Paris Sér. I Math. 337 (2003), No.11, 725-730.
[9] Z. Chen, R. Kulperger and J. Long, Jensen’s inequality for g-expectations Part II. C. R. Acad. Sci. Paris Sér. I Math. 337 (2003), No. 12.
[10] Z. Chen and L. Epstein, Ambiguity, risk, and asset returns in continuous time. Econometrica 70 (2002), No. 4, 1403—1443.
[11] Z. Chen, On existence and local stability of solutions of stochastic differential equations. Stochastic Anal. Appl. 19 (2001), No. 5, 703--714.
[12] Z. Chen and S. Peng, Continuous properties of $G$-martingales. Chinese Ann. Math. Ser. B 22 (2001), No. 1, 115--128.
[13] Z. Chen and B. Wang, Infinite time interval BSDEs and the convergence of g-martingales. J. Austral. Math. Soc. Ser. A 69 (2000), No. 2, 187--211.
[14] Z. Chen and S. Peng, A general downcrossing inequality for g-martingales. Statist. Probab. Lett. 46 (2000), no. 2, 169--175.
[15] Z. Chen, A property of backward stochastic differential equations. C. R. Acad. Sci. Paris Sér. I Math. 326 (1998), no. 4, 483--488.
[16] Z. Chen, A new proof of Doob-Meyer decomposition theorem. C. R. Acad. Sci. Paris Sér. I Math. 328 (1999), no. 10, 919--924.
[17] Z. Chen, Existence and uniqueness for BSDE with stopping time. Chinese Sci. Bull. 43 (1998), no. 2, 96--99.
[18] Z. Chen and S. Peng, A decomposition theorem of g-martingales. SUT J. Math. 34 (1998), no. 2, 197—208
[19] L. Jun, Z. Chen and Y. Qing, Minimum expectation and backward stochastic differential equations. (Adv. Math) 数学进展,32 (2003), 441—448.
[20] Z. Chen and X. Wang, Comonotonicity of backward stochastic differential equations. Recent developments in mathematical finance (Shanghai, 2001), 28--38, World Sci. Publishing, River Edge, NJ, 2002.
[21] Z. Chen, Generalized nonlinear mathematical expectations: the g-expectations. (Adv. Math.) 数学进展 28 (1999), no. 2, 175—180
[22] Z. Chen, Existence of solutions to backward stochastic differential equations with stopping times. 科学通报42 (1997), no. 22, 2379--2382

联系方式

zjchen@sdu.edu.cn