Xue Xiaole
Title: Associate Researcher
Tel: (86) (531) 88365157
Email: xlxue@sdu.edu.cn
Research Areas: Stochastic Control, Optimal Reinsurance, Mathematical Finance

Education Background
2007-2011 Bachelor of Science, Jining University
2011-2014 Master of Science, Central South University
2014-2018 Doctor of Science, Shandong University
2016-2017 CSC Joint Doctoral Program at the University of Waterloo


Master/PhD candidates: Research Methods in Management Science

1. The Existence and Uniqueness of Viscosity Solution to a Kind of Hamilton–Jacobi–Bellman Equation. SIAM Journal on Control and Optimization , 2019(57): 3911-3938.
2. Derivatives trading for insurers. INSURANCE MATHEMATICS & ECONOMICS ,2019(84): 40-53.
3. Stochastic maximum principle in singular control with recursive utility. Journal of Mathematical Analysis and Applications,2019(471/1-2): 378-391.
4. A Stochastic Maximum Principle for Linear Quadratic Problem with Nonconvex Control Domain. Mathematical Control and Related Fields,2019, Doi:10.3934/mcrf.2019022.
5. Mean-variance hedging with basis risk. Applied Stochastic Models in Business and Industry ,2018,Doi:10.1002/asmb.2380.
6. Global stochastic maximum principle for fully coupled forward-backward stochastic systems. SIAM Journal on Control and Optimization,2018 (56): 4309-4335.

1. A Study on the Optimal Control of Fully Coupled Forward-backward Stochastic Systems with Nonconvex Control Domain, 12001316, Youth Project supported by the National Natural Science Foundation of China, 2021.01-2023.12