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项目负责人介绍
汤善健
 
复旦大学


教授,博士生导师

    1966年4月生。复旦大学金融与控制科学系系主任,国家杰出青年基金获得者,长江特聘教授,运筹学与控制论专业博士生指导老师,德国洪堡学者。

 

研究方向:

   随机控制与金融数学。

 

近期主要论著:


    1.Tang, Shanjian, General linear quadratic optimal stochastic control problems with random coefficients: linear stochastic Hamilton systems and backward stochastic Riccati equations. SIAM J. Control Optim. 42 (2003), no. 1, 53-75.
    2.Kohlmann, Michael; Tang, Shanjian, Minimization of risk and linear quadratic optimal control theory. SIAM J. Control Optim. 42(2003), no. 3, 1118-1142.
    3.Kohlmann, Michael; Tang, Shanjian, Multidimensional backward stochastic Riccati equations and applications. SIAM J. Control Optim. 41 (2003), no. 6, 1696-1721.
    4.Tang, Shanjian, Brockett's problem of classification of finite-dimensional estimation algebras for nonlinear filtering systems. SIAM J. Control Optim. 39 (2000), no. 3, 900-916.
    5.Tang,Shanjian, Semi-linear systems of backward stochastic partial differential equations in $R^n$, Chin. Ann. Math. (Series B). 26 (2005), 437-456.
    6.Tang,Shanjian and Shui-Hung Hou, Switching games of stochastic differential systems, SIAM J. Control Optim. 46 (2007), no. 3, 900-929.

 

链接:http://www.hr.fudan.edu.cn/info/info_2_detail.jsp?id=235