Research Output
Publications
Faculty Papers
Yiqing Lin
Propagation of chaos for mean-field reflected BSDEs with jumps
Xiaojun Mao
Majority vote for distributed differentially private sign selection
Samuel Drapeau
Evolution of Chinese futures markets from a high frequency perspective
Xiaojun Mao
Robust Personalized Federated Learning with Sparse Penalization
Shikui Tu
KGDiff: towards explainable target-aware molecule generation with knowledge guidance
Di Wang
High-dimensional low-rank tensor autoregressive time series modeling
Xiaojun Mao
Distributed estimation on semi-supervised generalized linear model
Dewen Xiong
Optimal Strategy of the Dynamic Mean-Variance Problem for Pairs Trading under a Fast Mean-Reverting Stochastic Volatility Model
Shikui Tu
A deep learning method for the end-to-end prediction of intracranial aneurysm rupture risk
Di Wang
Rate-optimal robust estimation of high-dimensional vector autoregressive models
Shikui Tu
MGAE-DC: Predicting the synergistic effects of drug combinations through multi-channel graph autoencoders
Peng Luo
Existence of global solutions for multi-dimensional coupled FBSDEs with diagonally quadratic generators
Qian Xiao
Modeling and Active Learning for Experiments with Quantitative-Sequence Factors
Qian Xiao
Maximum One-Factor-At-A-Time Designs for Screening in Computer Experiments
Di Wang
Nonparametric Quantile Regression for Homogeneity Pursuit in Panel Data Models
Yiqing Lin
Random Horizon Principal-Agent Problems
Dewen Xiong
An FBSDE approach to market impact games with stochastic parameters
Qian Xiao
EzGP: Easy-to-Interpret Gaussian Process Models for Computer Experiments with Both Quantitative and Qualitative Factors
Peng Luo
A type of globally solvable BSDEs with triangularly quadratic generators
Samuel Drapeau
Characterization of fully coupled FBSDE in terms of portfolio optimization
Peng Luo
Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization
Samuel Drapeau
Computational aspects of robust optimized certainty equivalents and option pricing
Samuel Drapeau
Stability and Markov property of forward backward minimal supersolutions
Samuel Drapeau
Multivariate Shortfall Risk Allocation and Systemic Risk
Yiqing Lin
Causal Transport in Discrete Time and Applications
Dewen Xiong
Robust utility maximization with extremely ambiguity-loving and ambiguity-aversion preferences
Peng Luo
Utility maximization under g*-expectation
Samuel Drapeau
Dual representation of minimal supersolutions of convex BSDEs
Samuel Drapeau
Minimal supersolutions of convex BSDEs
Student Papers
Coming soon.
Research Projects
Funded Research
Industry Collaboration Projects
| Project Name | Source | Principal Investigator |
|---|---|---|
| Fastbox Portfolio Backtesting Module | Industry | Samuel Drapeau |
| Quantitative Trading Tools and Applications | Industry | Yiqing Lin |
| Consumer Trend Analysis for Specific Demographics | Industry | Yiqing Lin |
| Market Modeling in Quantitative Trading | Industry | Yiqing Lin |
NSFC General Projects
| Project Name | Source | Principal Investigator |
|---|---|---|
| Personalized Behavioral Risk Measures and Utility Optimization Based on Market Conditions | NSFC General | Dewen Xiong |
| Theoretical Problems of BSDEs and Particle System Applications | NSFC General | Yiqing Lin |
| Online Estimation of High-Dimensional Low-Rank Matrices | NSFC General | Xiaojun Mao |
| Quantitative Study of Risk Assessment, Systemic Risk and Market Constraints | NSFC General | Samuel Drapeau |
NSFC Young Scientist Projects
| Project Name | Source | Principal Investigator |
|---|---|---|
| BSDEs under Nonlinear Mathematical Expectations and Applications | NSFC Youth C | Yiqing Lin |
| Robust Estimation of High-Dimensional Autoregressive Models | NSFC Youth C | Di Wang |
| High-Dimensional Low-Rank Matrix Completion | NSFC Youth C | Xiaojun Mao |
| Statistical Learning | NSFC Youth B | Xiaojun Mao |
| Design and Analysis of Experiments with Complex Structures | NSFC Outstanding Young Scientist (Overseas) | Qian Xiao |
National Key R&D Program
| Project Name | Source | Principal Investigator |
|---|---|---|
| Classification Algorithms in Digital Twin Systems: Optimization and Control Strategies | MOST National Key R&D Program (Young Scientist) | Qian Xiao |
NSFC Major Projects
| Project Name | Source | Participants |
|---|---|---|
| Statistical Computation and Optimization for Large-Scale Business Scenarios | NSFC Major Project | Di Wang, Xiaojun Mao |
Shanghai S&T Innovation Projects
| Project Name | Source | Principal Investigator |
|---|---|---|
| High-Dimensional Data Imputation under Decentralized Settings | Shanghai S&T Innovation Action Plan | Xiaojun Mao |
| High-Dimensional Autoregressive Models with Common Factors | Shanghai S&T Innovation Action Plan | Di Wang |
Tianyuan Mathematics Projects
| Project Name | Source | Participants |
|---|---|---|
| Nonlinear Expectation Theory | Tianyuan Frontier Key Project | Peng Luo, Yiqing Lin |