Description 
1 online resource (xxiii, 395 pages) : illustrations, color portrait 
Contents 
Conference Photo; List of Participants; List of Contributors; Part One: Xunjing Li's Academic Life; A Tribute in Memory of Professor Xunjing Li on His Seventieth Birthday Jin Ma and Yuncheng You; 1. 19591976.; 2. 19771987.; 3. 19872001.; Acknowledgments; References; Publications of Xunjing Li; I. Books; II. Edited Conference Proceedings; III. Research Papers; IV. Conference Proceedings Papers; Students and Postdoctors Advised by Xunjing Li; I. Postdoctors.; II. Doctors.; III. Masters 

4. The Case of Exponential Utility5. Some Remarks on General Insurance Models; References; g Expectations and the Related Nonlinear Doob{Meyer Decomposition Theorem Shige Peng and Mingyu Xu; 1. Introduction; 2. g Solution: the Smallest Supersolution of BSDE Constrained in r; 3. FConsistent Nonlinear Expectations; 3.1. grexpectations; 3.2. grsupersolutions and grsubsolutions; 4. grReected BSDEs; 5. Nonlinear Decomposition Theorem for gr Supermartigales and gr Submartingales; 5.1. Nonlinear decomposition theorem for grsupermartingale 

5. A Maximum Principle and FBSVIEsReferences; An Additivity of Maximum Expectations and Its Applications . Zengjing Chen, Matt Davison, Mark Reesor, and Ying Zhang; 1. Introduction; 2. Main Result; 3. Applications; 3.1. Compute maximum expectation; 3.2. Compute Choquet integral; 3.3. Application to PDE; 3.4. Application to European Option; References; Stochastic Control and BSDEs with Quadratic Growth Marco Fuhrman, Ying Hu, and Gianmario Tessitore; 1. Introduction; 2. The Controlled Problem; 3. The ForwardBackward System; 4. The Fundamental Relation 

5. Existence of Optimal Controls: The Closed Loop EquationReferences; A Fundamental Theorem of Asset Pricing in Continuous Time with Square Integrable Portfolios Hanqing Jin and Xun Yu Zhou; 1. Introduction; 2. The Financial Market; 3. Some Preliminary Results; 4. FTAP: Deterministic Investment Opportunity Set; 5. Counterexamples: Stochastic Investment Opportunity Set; 6. Completeness; 7. Concluding Remarks; References; Indifference Pricing of Universal Variable Life Insurance . Jin Ma and Yuhua Yu; 1. Introduction; 2. Problem Formulation; 3. The HJB Equations 

Part Two: Stochastic Control, Mathematical Finance, and Backward Stochastic Di erential EquationsAxiomatic Characteristics for Solutions of Reected Backward Stochastic Di erential Equations Xiaobo Bao and Shanjian Tang; 1. Introduction; 2. The Case of the Zero Floor; 3. The Case of the Negative Floor; Acknowledgments; References; A Linear Quadratic Optimal Control Problem for Stochastic Volterra Integral Equations Shuping Chen and Jiongmin Yong; 1. Introduction; 2. State Equation and Optimal Control Problem; 3. Quadratic Functionals in Hilbert Spaces; 4. BSVIEs and Duality Principle 
Summary 
Xunjing Li (19352003) was a pioneer in control theory in China. He was known in the Chinese community of applied mathematics, and in the global community of optimal control theory of distributed parameter systems. He has made important contributions to the optimal control theory of distributed parameter systems, in particular regarding the firstorder necessary conditions (Pontryagintype maximum principle) for optimal control of nonlinear infinitedimensional systems. He directed the Seminar of Control Theory at Fudan towards stochastic control theory in 1980s, and mathematical finance in 19 
Notes 
"During June 35, 2005, Fudan University organized in Shanghai the 'Workshop on Control of Distributed Parameters and Stochastic Systems in Memory of Professor Xunjing Li's Seventieth Birthday."Page vii 
Bibliography 
Includes bibliographical references 
Notes 
Print version record 
Subject 
Distributed parameter systems  Congresses.


Stochastic control theory  Congresses.


Stochastic differential equations  Congresses.

Genre/Form 
Conference papers and proceedings.


Conference papers and proceedings.


Festschriften.

Form 
Electronic book

Author 
Li, Xunjing.


Tang, Shanjian.


Yong, J. (Jiongmin), 1958

ISBN 
9789812790552 (electronic bk.) 

9812790551 (electronic bk.) 
