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Faculty

SUN Jingrui


Tenure-Track Assistant Professor

Department of Mathematics

sunjr@sustc.edu.cn

Research interests

Stochastic optimal control

Stochastic differential games

Forward and backward stochastic differential equations

Mathematical finance

 

 

Education

2008.09 – 2015.06  PhD in Mathematics, University of Science and Technology of China

2012.10 – 2014.10  Joint-Cultivated PhD in Mathematics, University of Central Florida

2004.09 – 2008.07  BS in Mathematics and Applied Mathematics, Anhui University

 

 

Professional Appointments

2019.02 – Present  Tenure-Track Assistant Professor, Department of Mathematics, SUSTech

2017.09 – 2019.01  Visiting Assistant Professor, Department of Mathematics, University of Central Florida

2016.10 – 2017.09  Research Fellow, Department of Mathematics, National University of Singapore

2015.10 – 2016.09  Postdoctoral Fellow, Department of Applied Mathematics, The Hong Kong Polytechnic University

2015.04 – 2015.09  Research Assistant, Department of Applied Mathematics, The Hong Kong Polytechnic University

 

 

Publications (*Corresponding author)

1. Hanxiao Wang, Jingrui Sun*, and Jiongmin Yong. Weak closed-loop solvability of stochastic linear-quadratic optimal control problems. Discrete and Continuous Dynamical Systems - Series A, 2019. Published online: doi:10.3934/dcds.2019117.
2. Jingrui Sun* and Jiongmin Yong. Linear-quadratic stochastic two-person nonzero-sum differential games: Open-loop and closed-loop Nash equilibria. Stochastic Processes and their Applications, 2019, 129: 381-418.
3. Jingrui Sun*. Linear quadratic optimal control problems with fixed terminal states and integral quadratic constraints. Applied Mathematics & Optimization, 2018. Published online: https://doi.org/10.1007/s00245-018-9532-7.
4. Jingrui Sun* and Jiongmin Yong. Stochastic linear quadratic optimal control problems in infinite horizon. Applied Mathematics & Optimization, 2018, 78: 145-183.
5. Xun Li, Jingrui Sun*, and Jie Xiong. Linear quadratic optimal control problems for mean-field backward stochastic differential equations. Applied Mathematics & Optimization, 2017. Published online: https://doi.org/10.1007/s00245-017-9464-7.
6. Jingrui Sun*. Mean-field stochastic linear quadratic optimal control problems: Open-loop solvabilities. ESAIM: Control, Optimisation and Calculus of Variations, 2017, 23: 1099-1127.
7. Xun Li, Jingrui Sun, and Jiongmin Yong. Mean-field stochastic linear quadratic optimal control problems: Closed-loop solvability. Probability, Uncertainty and Quantitative Risk, 2016, 1:2.
8. Jingrui Sun*, Xun Li, and Jiongmin Yong. Open-loop and closed-loop solvabilities for stochastic linear quadratic optimal control problems. SIAM Journal on Control and Optimization, 2016, 54 (5): 2274-2308.
9. Jingrui Sun*, Jiongmin Yong, and Shuguang Zhang. Linear quadratic stochastic two-person zero-sum differential games in an infinite horizon. ESAIM: Control, Optimisation and Calculus of Variations, 2016, 22: 743-769.
10. Jingrui Sun* and Jiongmin Yong. Linear quadratic stochastic differential games: Open-loop and closed-loop saddle points. SIAM Journal on Control and Optimization, 2014, 52 (6): 4082-4121. 

Research Fields

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