† XIAO Hua
Ph.D., Professor, Master Supervisor
Research Interest：Stochastic Control, Stochastic Filtering, Mathematical Financ, Forward-backward SDEs
† Contact Information
Phone：0631-5688523
Email：xiao_hua@sdu.edu.cn
† Academic Experience
1) 2015/08-Present：Reviewer of《Mathematical Reviews》
2) 2013/03-Present：Director of Institute of Probability and Statistics
3) 2015/03-2016/03: Postdoctoral Fellow, Loughborough University
4) 2013/09-2014/09: Visiting Scholar, Tennessee University
5) 2013/07-2013/08: Research Fellow, University of Macau
6) 2013/01-2013/03: Research Associate, The Hong Kong Polytechnic University
7) 2011/06-20111/09: Research Assistant, The Hong Kong Polytechnic University
8) 2010/07-2010/09: Research Assistant, The Hong Kong Polytechnic University
† Study Experience
1) 2008/09-2011/12: Ph.D., Shandong University
2) 2002/09-2005/06: M.S., Shandong University
3) 1998/09-2002/07: B.S., Shandong University
† Working Experience
1) 2018/09-Present: Professor, Department of Mathematics and Statistics, Shandong University, Weihai
2) 2013/09-2018/08: Associate Professor, Department of Mathematics and Statistics, Shandong University, Weihai
3) 2007/09-2013/08: Lecturer, Department of Mathematics and Statistics, Shandong University, Weihai
4) 2005/07-2007/08: Assistant, Department of Mathematics and Statistics, Shandong University, Weihai
† Selected Publications ( * Corresponding author )
Papers on Journal
1） Guangchen Wang, Hua Xiao* and Jie Xiong. A kind of LQ non-zero sum differential game of backward stochastic differential equation with asymmetric information. Automatica, 97 (2018) 346-352.
2） Guangchen Wang, Hua Xiao* and Guojing Xing. An optimal control problem for mean-field forward-backward stochastic differential equation with noisy observation. Automatica, 86 (2017) 104-109.
3） Guangchen Wang and Hua Xiao*. Arrow sufficient conditions for optimality of fully coupled forward-backward stochastic differential equations with applications to finance. Journal of Optimization Theory and Applications, 165 (2015) 639-656.
4） Dejian Chang and Hua Xiao*. Linear quadratic nonzero sum differential games with asymmetric information. Mathematical Problems in Engineering, Volume 2014, Article ID 262314, DOI: 10.1155/2014/262314 (2014).
5） Eddie C.M. Hui and Hua Xiao*. Differential games of partial information forward-backward doubly stochastic differential equations and applications. ESAIM: Control, Optimisation and Calculus of Variations, 20(1) (2014) 78-94.
6） Hua Xiao. Optimality conditions for optimal control of jump-diffusion SDEs with correlated observations noises. Mathematical Problems in Engineering, Volume 2013, Article ID 613159, DOI: 10.1155/2013/613159 (2013).
7） Eddie C.M. Hui and Hua Xiao*. Maximum principle for differential games of forward-backward stochastic systems with applications. Journal of Mathematical Analysis and Applications, 386(1) (2012) 412-427.
8） Hua Xiao * and Guangchen Wang. A necessary condition for optimal control of initial coupled forward-backward stochastic differential equations with partial information. Journal of Applied Mathematics and Computing, 37 (2011) 347-359.
9） Hua Xiao. The maximum principle for partially observed optimal control of forward-backward stochastic systems with random jumps. Journal of Systems Science and Complexity, 24(6) (2011) 1083-1099.
10） Bing Yang and Hua Xiao*. Law of large numbers under the nonlinear expectation. Proceedings of the American Mathematical Society, 139(10) (2011) 3753-3762.
11） Zhen Wu and Hua Xiao*. Multi-dimensional reflected backward stochastic differential equations and the comparison theorem. Acta Mathematica Scientia, 30B(5) (2010) 1819-1836.
12） Hua Xiao* and Guangchen Wang. The filtering equations of forward-backward stochastic systems with random jumps and applications to partial information stochastic optimal control. Stochastic Analysis and Applications, 28(6) (2010) 1003-1019.
13） Hua Xiao. Continuous dependence of the solution of mul-dimensional reflected backward stochastic differential equations on the parameters. Journal of Shandong University, 42(2) (2007) 68-71. (In Chinese)
Papers on Conference
1） Hua Xiao* and Shuaiqi Zhang. Partial information differential games for mean-field SDEs. Proceedings of the 35nd Chinese Control Conference, 1684-1689, Chengdu, July 27-29, 2016.
2） Guangchen Wang* and Hua Xiao. An optimal control problem of backward stochastic differential equations with partial information. Proceedings of the 32nd Chinese Control Conference, 1592-1595, Xi’an, July 26-28, 2013.
3） Hua Xiao. Maximum principle for optimal control of point processes with correlated noisy observations. Proceedings of the 30th Chinese Control Conference, 1921-1924, Yantai, July 22-24, 2011.
4） Bing Yang and Hua Xiao*. Pricing and optimal conversion strategy of convertible bonds. Proceedings of the 48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference, 3662-3667, Shanghai, December 16-18, 2009.
† Research Project as Principal Investigator
1) “Mean Field Game for Lar-population Backward Stochastic Systems with Markov Jump Parameters and Its Applications”, 2020/01-2023/12
The National Science Foundation of China, No. 61977043
2) “Differential Game for Large-population Stochastic Recursive Systems and Its Applications”, 2017/06-2020/06
The National Science Foundation of Shandong Province, No. ZR2017MA049
3) “Dynamic optimization of large-population backward stochastic systems and its applications”, 2018/06-2020/06
The Postdoctoral Foundation of China, No. 2018T110678
4) “Optimal Control of Partially Observable Forward-Backward Stochastic Systems with Random Jumps and its Applications”, 2013/01-2015/12
The National Science Youth Foundation of China, No. 11201263
5) “Forward-Backward Stochastic Systems Theory with Correlated Noisy Observations and its Applications”, 2012/07-2015/07
The National Science Youth Foundation of Shandong Province, No. ZR2012AQ004
6) “Optimal Control of Partial Information Jump-diffusion Stochastic Recursive Systems and its Applications to Financial Problems”, 2012/07-2014/07
Independent Innovation Foundation of Shandong University, No. 2012ZRYQ007
