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Changjiang Scholar of Ministry of Education
Distinguished Professor of Shandong University Vice-dean of School of Mathematics and Statistics, Shandong University
Department: School of Mathematics and Statistics Research Interests: Stochastic Analysis, Stochastic Control, Stochastic Differential Games, Backward Stochastic Differential Equations, Mathematical Finance TEL： E-mail：juanli@sdu.edu.cn
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Education:
Ph.D.(2000-2003), School of Mathematics, Shandong University
Member of Editorial Boards：
Associate Editor of Mathematical Control and Related Fields (2017-)
Managing Editor of Probability, Uncertainty and Quantitative Finance (2016-)
Publications:
[1] Juan Li, Nana Zhao. Representation of asymptotic values for nonexpansive stochastic control systems,Stochastic Processes and Their Applications. 129(2), 634-673, 2019.
[2] Juan Li, Wenqiang Li. Nash equilibrium payoffs for non-zero-sum stochastic differential games without Isaacs condition. Stochastic. 91(1), 1-36, 2019. (SCI)
[3] Juan Li, Hao Liang, Xiao Zhang. General mean-field BSDEs with continuous coefficients. Journal of Mathematical Analysis and Applications. 466(1), 264-280，2018.
[4] Juan Li. Mean-field forward and backward SDEs with jumps and associated nonlocal quasi-linear integral-PDEs. Stochastic Processes and Their Applications. 128(9), 3118-3180, 2018.
[5] Rainer Buckdahn, Juan Li, Shige Peng, Catherine Rainer. Mean-field stochastic differential equations and associated PDEs. Annals of Probability. 45(2), 824–878, 2017.
[6] Juan Li, Wenqiang Li. Zero-sum and nonzero-sum differential games without Isaacs condition. ESAIM: Control, Optimisation and Calculus of Variations. 23, 1217-1252. 2017.
[7] Juan Li, Hui Min. Weak solutions of mean-field stochastic differential equations. Stochastic Analysis and Applications. 35(3), 542-568, 2017.
[8] Tao Hao, Juan Li. BSDEs in games, coupled with the value functions. Associated nonlocal Bellman-Isaacs equations. Acta Mathematica Scientia. 37(5): 1497–1518, 2017.
[9] Rainer Buckdahn, Juan Li, Jin Ma. A mean-field stochastic control problem with partial observations.Annals of Applied Probability. 27(5), 3201–3245, 2017.
[10] Juan Li, Rainer Buckdahn, Jin Ma. A stochastic maximum principle for general mean-field systems.Applied Mathematics and Optimization. 74(3), 507-534, 2016.
[11] Juan Li, Hui Min. Controlled mean-field backward stochastic differential equations with jumps involving the value function. Journal of Systems Science and Complexity. 29(5), 1238-1286, 2016.
[12] Tao Hao, Juan Li. Mean-field SDEs with jumps and nonlocal integral-PDEs. Nonlinear Differential Equations and Applications. 23(2), 1-51, 2016.
[13] Tao Hao, Juan Li. Fully coupled forward-backward sdes involving the value function and associated nonlocal Hamilton - Jacobi - Bellman equations. ESAIM - Control, Optimisation and Calculus of Variations. 22, 519-538, 2016.
[14] Juan Li, Hui Min. Weak solutions of mean-field stochastic differential equations and application to zero-sum stochastic differential games. SIAM Journal on Control and Optimization, 54(3), 1826-1858, 2016.
[15] Juan Li, Shanjian Tang. Optimal stochastic control with recursive cost functionals of stochastic differential systems reflected in a domain. ESAIM - Control, Optimisation and Calculus of Variations. 21(4), 1150-1177, 2015.
[16] Juan Li, Wenqiang Li. Controlled reflected mean-field backward stochastic differrential equations coupled with value function and related PDEs. Mathematical control and related fields. 5(3), 501-516, 2015.
[17] Juan Li, Qingmeng Wei. Stochastic differential games for fully coupled FBSDEs with jumps. Applied Mathematics & Optimization. 71(3), 411-448, 2015.
[18] Rainer Buckdahn, Juan Li, Marc Quincampoix. Value in mixed strategies for zero-sum stochastic differential games without Isaacs condition. Annals of Probability. 42 (4), 1724-1768, 2014.
[19] Juan Li. Reflected mean-field backward stochastic differential equations. Approximation and associated nonlinear PDEs. Journal of Mathematical Analysis and Applications. 413(1), 47-68, 2014.
[20] Juan Li, Qingmeng Wei. Lp estimates for fully coupled FBSDEs with jumps. Stochastic Processes and Their Applications. 124(4), 1582-1611, 2014.
[21] Juan Li, Qingmeng Wei. Optimal control problems of fully coupled FBSDEs and viscosity solutions of Hamilton-Jacobi-Bellman equations. SIAM Journal on Control and Optimization. 52 (3), 1622-1662, 2014.
[22] Tao Hao, Juan Li. BSDEs coupled with value function and related optimal control problems. Abstract and Applied Analysis. Article ID 262713, 2014.
[23] Rainer Buckdahn, Juan Li, Shige Peng. Nonlinear stochastic differential games involving a major player and a large number of collectively acting minor agents. SIAM Journal on Control and Optimization. 52 (1), 451-492, 2014.
[24] Rainer Buckdahn, Juan Li, Marc Quincampoix. Value function of differential games without Isaacs conditions. An approach with nonanticipative mixed strategies. International Journal of Game Theory. 42(4), 989-1020, 2013.
[25] Juan Li. Stochastic maximum principle in the mean-field controls. Automatica. 48 (2), 366-373, 2012.
[26] Rainer Buckdahn, Jianhui Huang, Juan Li. Regularity properties for general HJB equations. A BSDE method. SIAM Journal on Control and Optimization. 50 (3), 1466-1501, 2012.
[27] Rainer Buckdahn, Ying Hu, Juan Li. Stochastic representation for solutions of Isaacs' type integral-partial differential equations. Stochastic Processes and Their Applications. 121 (12), 2715-2750, 2011.
[28] Rainer Buckdahn, Juan Li. Stochastic differential games with reflection and related obstacle problems for Isaacs equations. Acta Mathematicae Applicatae Sinica. 27 (4), 647-678, 2011.
[29] Rainer Buckdahn, Boualem Djehiche, Juan Li. A general stochastic maximum principle for SDEs of mean-field type. Applied Mathematics and Optimization. 64(2), 197-216, 2011.
[30] Yanling Gu, Juan Li. Valuation of futures options with initial margin requirements and daily price limit.Acta Mathematica Sinica, English Series, 26(3), 579-586, 2010.
[31] Rainer Buckdahn, Juan Li, Shige Peng. Mean-field backward stochastic differential equations and related partial differential equations. Stochastic Processes and Their Applications. 119(10), 3133-3154, 2009.
[32] Rainer Buckdahn, Boualem Djehiche, Juan Li, Shige Peng. Mean-field backward stochastic differential equations. A limit approach. Annals of Probability. 37 (4), 1524-1565, 2009.
[33] Rainer Buckdahn, Juan Li. Probabilistic interpretation for systems of Isaacs equations with two reflecting barriers. Nonlinear Differential Equations and Applications. 16(3), 381-420, 2009.
[34] Juan Li, Shige Peng. Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations. Nonlinear Analysis: Theory, Methods & Applications. 70 (4), 1776-1796, 2009.
[35] Rainer Buckdahn, Juan Li. Stochastic differential games and viscosity solutions of Hamilton-Jacobi-Bellman-Isaacs equations. SIAM Journal on Control and Optimization. 47 (1), 444-475, 2008.
[36] Juan Li, Shanjian Tang. A local strict comparison theorem and converse comparison theorems for reflected backward stochastic differential equations. Stochastic Processes and Their Applications. 117(9), 1234-1250, 2007.
Awards:
The Second Prize of 2018 Natural Science Award of Shandong Province，
2018 Excellent Tutor of Shandong University,
2018 Baogang Excellent Teacher's Prize,
2014 Excellent Teacher of Shandong University, 2014
