个人简介

宋永生 研究员


教育经历

2003---2008: 博士, 中国科学院 数学与系统科学研究院

1999---2003: 本科, 山东大学 数学学院


工作经历

2020---至今: 研究员, 中国科学院 数学与系统科学研究院

2013---2020: 副研究员, 中国科学院 数学与系统科学研究院

2008---2013: 助理研究员, 中国科学院 数学与系统科学研究院

研究方向

概率论与随机分析


学术论文

  1. Limit theorems with rate of convergence under sublinear expectations

    Fang X, Peng S, Shao Q, and Song Y: Bernoulli, 25, (2019), 2564-2596.

  2. Properties of G-martingales with finite variation and the application to G-Sobolev spaces

    Song Y: Stochastic Processes and their Applications, 129, (2019), 2066-2085.

  3. Supermartingale decomposition theorem under G-expectation

    Li H, Peng S and Song Y：Electron. J. Probab. 23 (2018), no. 50, 1-20.

  4. Stein type characterization for G-normal distributions

    Hu M, Peng S and Song Y: Electron. Commun.Probab. 22 (2017), Paper No. 24, 12 pp.

  5. G-expectation weighted Sobolev spaces, backward SDE and path dependent PDE

    Peng S and Song Y：J. Math. Soc. Japan, Vol. 67 (2015), No. 4, 1725–1757.

  6. A Note On G-normal Distributions

    Song Y: Statistics & Probability Letters, Volume 106, November 2015, Pages 142–146.

  7. Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G-Brownian motion

    Hu M, Ji S, Peng S and Song Y: Stochastic Processes and their Applications 124 (2014), 1170-1195.

  8. Backward Stochastic Differential Equations Driven by G-Brownian Motion

    Hu M, Ji S, Peng S and Song Y: Stochastic Processes and their Applications 124 (2014), 759-784.

  9. A complete representation theorem for -normal G-martingales

    Peng S, Song Y, and Zhang J: , Stochastics: An International Journal of Probability and Stochastic Processes, Vol. 86 (2014), No. 4, 609–631.

  10. Characterizations of processes with stationary and independent increments under G-expectation

    Song Y: Annales de l'Institut Henri Poincare, Vol. 49 (2013), No. 1, 252–269.

  11. Uniqueness of the representation for G-martingales with finite variation

    Song Y: Electron. J. Probab. 17 (2012), 1-15.

  12. Properties of hitting times for G-martingale and their applications

    Song Y: Stochastic Processes and their Applications 121 (2011) 1770– 1784.

  13. Some properties on G-evaluation and its applications to G-martingale decomposition

    Song Y: Science China Mathematics, 54 (2011), 287-300.

  14. Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders

    Song Y and Yan J: Insurance: Mathematics and Economics 45 (2009), 459-465.

  15. The representations of two types of functionals on L∞(Ω,F) and L∞(Ω,F,P)

    Song Y and Yan J: Science in China Series A: Mathematics, 49 (2006) , no. 10, 1376-1342.

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联系方式

北京市海淀区中关村东路55号，中国科学院数学与系统科学研究院，南楼606

010-82541719

yssong@amss.ac.cn

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