国家自然科学基金(11231005)

作品数：18被引量：53H指数：4
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Strong laws of large numbers for sub-linear expectations被引量：26
《Science China Mathematics》2016年第5期945-954,共10页CHEN ZengJing 
supported by National Natural Science Foundation of China(Grant No.11231005)
We investigate three kinds of strong laws of large numbers for capacities with a new notion of independently and identically distributed(IID) random variables for sub-linear expectations initiated by Peng.It turns out...
关键词：capacity strong law of large numbers independently and identically distributed nonlinear expectation 
Linear quadratic stochastic integral games and related topics被引量：1
《Science China Mathematics》2015年第11期2405-2420,共16页WANG TianXiao SHI YuFeng 
supported by National Basic Research Program of China(973 Program)(Grant No.2011CB808002);National Natural Science Foundation of China(Grant Nos.11231007,11301298,11471231,11401404,11371226,11071145 and 11231005);China Postdoctoral Science Foundation(Grant No.2014M562321);Foundation for Innovative Research Groups of National Natural Science Foundation of China(Grant No.11221061);the Program for Introducing Talents of Discipline to Universities(the National 111Project of China's Higher Education)(Grant No.B12023)
This paper studies linear quadratic games problem for stochastic Volterra integral equations(SVIEs in short) where necessary and sufficient conditions for the existence of saddle points are derived in two different wa...
关键词：stochastic integral games backward stochastic Volterra integral equations stochastic Fredholm-Volterra integral equations saddle points linear quadratic optimal control problems 
Invariance principles for the law of the iterated logarithm under G-framework被引量：8
《Science China Mathematics》2015年第6期1251-1264,共14页WU PanYu CHEN ZengJing 
supported by China Postdoctoral Science Foundation(Grant No.2013M541899);the Natural Science Foundation of Shandong Province of China(Grant Nos.ZR2013AQ021 and ZR2014AM002);National Natural Science Foundation of China(Grant Nos.11471190,11401414 and 11231005);the Natural Science Foundation of Jiangsu Province of China(Grant No.BK20140299)
We obtain a general invariance principle of G-Brownian motion for the law of the iterated logarithm(LIL for short). For continuous bounded independent and identically distributed random variables in G-expectation spac...
关键词：iterated logarithm invariance expectation Brownian continuity union satisfy automatically details 
Forward-backward doubly stochastic differential equations and related stochastic partial differential equations被引量：6
《Science China Mathematics》2012年第12期2517-2534,共18页ZHU QingFeng SHI YuFeng 
supported by National Natural Science Foundation of China (Grant Nos. 10771122, 11071145, 10921101 and 11231005);Natural Science Foundation of Shandong Province of China(Grant No. Y2006A08);National Basic Research Program of China (973 Program) (Grant No. 2007CB814900);Independent Innovation Foundation of Shandong University (Grant No. 2010JQ010)
The notion of bridge is introduced for systems of coupled forward-backward doubly stochastic differential equations （FBDSDEs）. It is proved that if two FBDSDEs are linked by a bridge, then they have the same unique ...
关键词：forward-backward doubly stochastic differential equations BRIDGE measurable solution stochasticpartial differential equations 
Valuation of equity-indexed annuities with regime-switching jump diffusion risk and stochastic mortality risk被引量：1
《Science China Mathematics》2012年第11期2335-2346,共12页QIAN LinYi WANG RongMing WANG Shuai 
supported by National Natural Science Foundation of China (Grant Nos.10971068 and 11231005);Shanghai Municipal Natural Science Foundation (Grant No. 12ZR1408300);Humanity and Social Science Youth Foundation of Ministry of Education of China (Grant No. 12YJC910006);Doctoral Program Foundation of the Ministry of Education of China (Grant No. 20110076110004);Program for New Century Excellent Talents in University (Grant No. NCET-09-0356);the Fundamental Research Funds for the Central Universities
This paper extends the model and analysis of Lin, Tan and Yang （2009）. We assume that the financial market follows a regime-switching jump-diffusion model and the mortality satisfies Levy process. We price the point...
关键词：compound poisson process Levy process stochastic mortality REGIME-SWITCHING equity-indexedannuity 
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