郑伟安(华东师范大学)

    郑伟安，博士，华东师范大学“长江讲座教授”。1980年获华东师范大学数学系概率论与数理统计硕士学位，1981年赴法国斯特拉斯堡大学进修，1984年获法国国家数学科学博士学位。早期工作中的MEYER-ZHENG 弱收敛拓扑以及LYONS-ZHENG 的对称马氏过程分解，都已成为国外出版专著中的经典结果。郑伟安教授长期从事概率论、鞅论、随机微分几何、随机力学、对称马称科夫过程等方面的研究，先后访问了德国比尔费尔德大学、英国爱丁堡大学、法国图卢斯大学、法国巴黎十三大学等，研究成果丰硕。近年来，为了配合华东师大统计系的学科特点，郑伟安教授把研究方向从随机过程的纯理论研究转为过程统计与金融数学，他的研究课题不但有理论价值，应用性也很强。
【主要研究领域】

1. 随机过程

2. 金融数学

3. 过程统计
【主要论著】

[1] “Black-Scholes’ Model and Bollinger Bands” (with Wei Liu, Xudong Huang), Pysica A, 2006, 371, 565-571.

[2] Sharp error estimate for maximum likelihood estimator of nonstationary diffusion processes (with Zhiyan Xu), Acta Math. Sin., 2005, 21, 303-314.

[3] A representation formula for transition probability densities of diffusions and applications (with Zhongmin Qian), Stochastic Process Appl., 2004, 111(1), 57-76.

[4] Comparison theorem andestimates for transition probability densities of diffusion processes (with Zhongmin Qian, Francesco Russo), Probability Theory and Related Fields, 2003, 127(3), 388-406.

[5] Rate of convergence in homogenization of parabolic PDEs (with Luis Roman, Xinsheng Zhang), Math. Phys. Anal. Geom., 2003, 6(2), 113-124.

[6] SPDEs driven by space-time white noise in high dimensions; absolute continuity of the law and convergence of solutions (with T.S. Zhang), Stochastic and Stochastic Reports, 2003, 75(3), 103-128.

[7] Solution to a class of multidimensional SPDEs (with A.L. Piatnitski, H.Z. Zhao), Int. Math. J., 2003, 3(7), 755-774.

[8] Sharp bounds for transition probability densities of a class of diffusions (with Zhongmin Qian), C. R. Math. Acad. Sci Paris, 2002, 355(11), 953-957.

[9] Discretizing a backward stochastic differential equation (with Yinnan Zhang), Int. J. Math. Math. Sci., 2002, 32(2), 103-116.

[10] Brownian time processes: the PDE connection and the half-derivative generator (with Hassan Allouba), Ann. Prob., 2002, 29(4), 1780-1795.

【联系方式】

通信地址: 上海市东川路500号 华东师范大学 金融与统计学院

邮政编码: 200241

电话: 021-54345058(O)

Email: financialmaths @ gmail.com