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Juan LI

Professor

Changjiang Scholar of Ministry of Education
Distinguished Professor of Shandong University
Vice-dean of School of Mathematics and Statistics, Shandong University

SELECTED PLENARY, KEYNOTE AND MAJOR INVITED TALKS

1. Invited talks at 2019 Workshop on Random Analysis (University of Science and Technology of China, Hefei, 2019)
2. Invited talks at Conference on Probability and Statistics (Chinese Academy of Sciences, Beijing, 2019)
3. Invited talks at 2019 Postdoctoral Alumni Forum for School of Mathematical Science, Fudan University (Fudan University, Shanghai, 2019)
4. Invited talks at The 3rd National Conference of Probability and Statistics Young Scholars of Jiangsu Normal University (Jiangsu Normal University, Xuzhou, 2019)
5. Invited talks at Workshop on Stochastic Control in Finance (National University of Singapore, Singapore, 2019)
6. Invited talks at The 7th IMS-China International Conference on Probability and Statistics (Dalian, China, 2019)
7. Invited talks at International Conference on Stochastic Analysis and Related Fields (Jiangsu Normal University, Xuzhou, 2019)
8. Invited talks at SIAM Conference on Control Theory and Application (Chengdu, China, 2019)
9. Invited talks at Eleventh Academic Conference on Mathematical Control Theory and Application (Huzhou University, Huzhou, 2019)
10. Invited talks at Siem Reap Conference in Data Science and Finance (Siem Reap, Cambodia, 2019)

PAPERS IN REFEREED JOURNALS/BOOK CHAPTERS

[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.


POPULAR ARTICLE

[1] 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.

[2] Rainer Buckdahn, Juan Li, Shige Peng, Catherine Rainer. Mean-field stochastic differential equations and associated PDEs. Annals of Probability. 45(2), 824–878, 2017.

[3] 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.

[4] 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.  

[5] 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.  

[6] 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.  

[7] Juan Li. Stochastic maximum principle in the mean-field controls. Automatica. 48 (2), 366-373, 2012.  

[8] 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.


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