严加安 发表评论(0) 编辑词条

严加安

严加安，1941年12生于江苏邗江县（现为扬州邗江区）,研究员,博士生导师,中科院院士。

概率学家。在鞅论、随机分析、白噪声分析和金融数学领域有多项贡献：建立了局部鞅分解引理，为研究随机积分提供了简单途径； 给出了一类可积随机变量凸集的刻画，该结果在金融数学中有重要应用，被文献称为 "Kreps-Yan 定理"；用统一且简单的方法获得了指数鞅一致可积性准则，推广和改进了已有结果；与Meyer合作提出了白噪声分析的新框架，与Kondratiev等合作完善了无穷维非高斯分析的数学框架；给出了金融数学中"资产定价基本定理"的修正形式；与他人合作的有关半鞅随机分析和无穷维随机分析的两部专著（英文）受到国际同行好评。他迄今发表论文 80 多篇，出版专著和教材9部（其中英文专著3部）。2002年8月应邀在北京召开的第24届国际数学家大会上做45分钟报告。1987年获中科院科技进步二等奖，1992年获中科院自然科学一等奖（排名2）， 1993年获国家自然科学二等奖（排名2），1999年获国家图书奖提名奖，2006年获何梁何利基金科技进步奖，2007年获华罗庚数学奖。

1964年毕业于中国科技大学应用数学系
1964.8-1979.12 中科院数学研究所任研究实习员、助理研究员
1980.1-1986.4中科院应用数学研究所任副研究员
1986.4至今 中科院应用数学研究所任研究员、博士生导师
1999年10月当选为中国科学院院士

1991-1994任《应用概率统计》副主编

1994-1998任中国数学会概率统计学会理事长

1992-1999任国际随机过程及其应用会议委员会成员

1997-2001任国际数理统计和概率论贝努利学会理事

1997 至今任中国科学院出版基金会数理化组成员.

1998 至今任中科院研究生教材专家组成员.

2000 至2004任《数学进展》副主编.

2000 至今任《Annals of Economics and Finance》编委.

2000-2002 任《Annals of Probability》编委.
2002 至今任 《Stochastic Annalysis and Applications》编委
2002 至今任《Acta Mathematicae Appliatae Sinica》 主编.
2003 至今任《Journal of Computational and Applied Mathematics》编委

1973.4-1975.7法国斯特拉斯堡大学高等数学研究所 访问学者
1981.1-1982.11德国海得堡大学应用数学所 洪堡学者

1986.1-1986.5 法国斯特拉斯堡大学任客座教授.

1992.1-1992.3 美国加州大学Irvine分校任客座教授.

1996.1-1996.3, 在法国贝藏松大学任客座教授.

2000.1,2000.9 在国立新加坡大学访问.

1996-2007期间多次访问香港城市大学, 香港中文大学和香港大学.

2005.7-9 访问加拿大Concordia大学，英国Manchester大学等

2006.9-10，2007.10访问加拿大Waterloo大学
2007.8.1－9.30 访问美国Illinois Inst. of Technolegy, Univ. of Iowa, Columbia University

随机分析

金融数学

1987年获中科院科技进步二等奖

1992年获中科院自然科学一等奖

1993年获国家自然科学二等奖

1995年获第7届国家优秀图书特别奖

1999年获国家优秀图书奖暨科技进步奖二等奖
1999年获第四届国家优秀图书奖提名奖

2006年获何梁何利基金科技进步奖

2007年获获华罗庚数学奖

Some results about test and generalized functionals of white noise, International Conference on Probability Theory (Singapore, 1989).
Constructing kernels via stochastic measures, International Conference on Gaussian random fields (Nagoya, 1990).
From Feynman-Kac formula to Feynman integrals via analytic continuation,21st Conference on Stochastic Processes and their Applications(Amsterdan, 1993).
Characterizations for generalized operators on distribution spaces, International Conference on Stochastic Calculus and Stochstic Differential Geometry (Hangzhou,China, 1995).
A complex scaling approach to sequential Feynman integrals, 24th International Conference on Stochastic Processes and their Applications (Vina Del Mar, Chile,June 16-20, 1997).
A short presentatio of martingale methods in option pricing, First Pacific Rim Conference on Mathematics (Hong Kong, Jan. 19-23, 1998).
A new look at the fundamental theorem of asset pricing, International Conference on Probability Theory and its Applications (Taejon, Korea, Feb. 24-26,1998).
Clarifying some basic concepts and results on arbitrage pricing theory, International Conference on Mathematical Finance (Shanghai, China, May 10-13, 2001).
Clarifying some basic concepts and results on arbitrage pricing theory, Quantative Finance 2001(Sydney, Australia,
December 12-15, 2001).
Clarifying some basic concepts and results in arbitrage
pricing theory, Quantitative methods in finance 2001 conference,(Sydney Australia, December 12-15, 2001).
A Numeraire-free and Original Probability Based Framework
for Financial Markets, International Conference on Applied
Probability, Singapore, August 16-18, 2002.
A Numeraire-free and Original Probability Based Framework
for Financial Markets, ICM 2002, Beijing, August 20-28, 2002.
Continuous-Time Mean--Risk Portfolio Selection,
International Conference on Stochastic Processes (in Memory of
P.A. Meyer), Feb. 2-8, 2004.
Markowitz's portfolio optimization in an incomplete market,
1st Workshop on Mathematical Finance and Insurance, May, 2004.
Huangshan, China.
Continuous-Time Mean--Risk Portfolio Selection, The Third
International Congress of Chinese Mathematicians (ICCM 2004),
December 17-22, 2004, Hong Kong.
An Intrinsic Characterization of No-arbitrage for Finite
Discrete-Time Markets, Workshop on Mathematical Finance and
Stochastic Analysis, August 22-24,2005, Imperial College, London,UK.
A Functional Approach to Interest Rate Modeling, Symposium
on Stochastic Analysis and Application to Mathematical Finance,March 6-10, 2006, Ritsumeikan University, Japan.
The representations of two types of functionals on
$L^\infty(\Omega,{\cal F})$ and $L^\infty(\Omega,{\cal F}, \P)$,Workshop on Mathematical Finance and Insurance, May 30-June 6, 2006,Lijiang, China.
The representations of two types of functionals on
$L^\infty(\Omega,{\cal F})$ and $L^\infty(\Omega,{\cal F}, \P)$,International Conference on Probability and Statistics, June 19 to 21, 2006, Hangzhou, China.
A Functional Approach to Interest Rate Modeling, The 2006 international symposium on Financial Engineering and Risk Management, July 5 to 7,Xiamen, China.

 鞅与随机积分引论, 上海科技出版社, 1981.

测度与积分, 陕西师大出版社, 1988.

He, S.W., Wang, J.G., Yan, J.A., Semimartingale theory and stochastic calculus, Science Press, Beijing; CRC Press, Boca Raton, FL, 1992.

何声武、汪嘉冈、严加安: 半鞅与随机分析, 科学出版社, 1995.

黄志远、严加安: 无穷维随机分析引论, 科学出版社, 1997.

严加安、彭实戈、方诗赞、吴黎明: 随机分析选讲, 科学出版社, 1997.

Introduction to Martingale Methods in Option Pricing, LN in Math 4,
Liu Bie Ju Centre for Mathematical Sciences, City Univ. of Hong Kong, 1998.

测度论讲义, 科学出版社, 1998， 2004年第二版

Huang Z.Y., Yan, J.A., Introduction to Infinite Dimensional Stochastic Analysis, Kluwer Academic Publishers, 2000.

 Forme mesurable de la théorie des ensembles sousliniens, applications à la théorie de la mesure, Scientia Sinica 18 (1975), no. 4, 444--463.

(with Meyer) Génération d'une famille de tribus par un processus croissant, Séminaire de Probabilités, IX (1975), pp. 466--470. Lecture Notes in Math., Vol. 465, Springer.

(with Yoeurp, Ch.) Representation des martingales comme intégrales stochastiques des processus optionnels, Séminaire de Probabilités, X (1976), pp. 422--431.Lecture Notes in Math., Vol. 511, Springer.

可测过程关于局部鞅的随机积分, 数学学报, 21(1978), 18--25.

Remarques sur l'intégrale stochastique de processus non bornés, Séminaire de Probabilités, XIV (1980), pp. 148--151, Lecture Notes in Math., 784, Springer.

Caractérisation d'une classe d'ensembles convexes de L^1 ou$H^{1}$. ibid, 220--222.

Remarques sur certaines classes de semimartingales et sur les intégrales stochastiques optionnelles. ibid, 223--226.

Sur une équation differentielle stochastique generale, ibid, 305--315.

指数鞅一致可积性准则, 数学学报, 23(1980), 293--300.

半鞅局部时的几个公式, 数学年刊, 1 (1980), no. 3-4, 545--551.

Propriété de représentation prévisible pour les semimartingales spéciales.
Sci. Sinica, 23 (1980), no. 7, 803--813.

关于E. Langlart若干结果的注记, 数学学报, 23 (1980), 638--640.

可补偿有限变差过程的刻划, 数学年刊, 2 (1981), no. 4, 445--449.

指数鞅的一致及$L^r$-可积性, 数学年刊, 3 (1982), no. 3, 285--292.

A propos de l'intérgrabilité uniforme des martingales exponentielles, Sém. de Probab., XIV (1982), 338--347. Lecture Notes in Math., Vol.784, Springer.

Martingales locales sur un ouvert droit optionnel, Stochastics 8 (1982/83), no. 3, 161--180.

Une remarque sur les solutions faibles des équations differentielles stochastiques unidimensionnelles. Séminaire de Probabilités, XVII (1983),78--80. Lecture Notes in Math., Vol. 986, Springer.

Sur un théoréme de Kazamaki-Sekiguchi. ibid, 121--122.

(with He, S.W. and Zheng, W.A.), Sur la convergence des semimartingales
continues dans $R^n$ et des martingales dans une variété, ibid, 179--184.

(with Emery, M., Stricker, C.), Valeurs prises par les martingales
locales continues à un instant donné, Ann. Probab., 11 (1983), no. 3,
635--641.

论测度的扩张, 东北师大学报自然科学版, 1984, no. 1, 1--11.
A formula for local times of semimartingales, Dongbei-Shuxue 1 (1985), no. 2, 138--140.

A simple proof of El Karoui's upcrossing theorem for semimartingales, 数学研究与评论, 5 (1985), no. 2, 127--129.

On the commutability of essential infimum and conditional expectation operations. Kexue-Tongbao (Science Bulletin), 30 (1985), no. 8, 1013--1018.

A comparison theorem for semimartingales and its applications, Séminaire de Probabilités, XX (1986), 349--351, Lecture Notes in Math., 1204,Springer.

.(with Meyer, P.A.) A propos des distributions sur l'espace de Wiener, Séminaire de Probabilités, XXI (1987), 8--26, Lecture Notes in Math., 1247, Springer.

. Developpement des distributions suivant les chaos de Wiener et applications à l'analyse stochastique, ibid, 27--32.

. A perturbation theorem for semigroups of linear operators, Séminaire de Probabilités, XXII (1988), 89--91, Lecture Notes in Math., 1321, Springer.

A formula for densities of transition functions, ibid, 92--100.

On the existence of diffusions with singular drift coefficient,Acta Math. Appl. Sinica (English Ser.), 4 (1988), no. 1, 23--29.

半鞅局部时的变量替换公式, 科学通报, 33 (1988), 1755--1759.

Meyer, P.A., Yan, J.A., Distributions sur l'espace de Wiener (suite), d'après I. Kubo et Y. Yokoi, Séminaire de Probabilités, XXIII (1989),382--392, Lecture Notes in Math., 1372, Springer.

Sur la transformée de Fourier de H. H. Kuo, ibid, 393--394.

Generalizations of Gross' and Minlos' theorems, ibid, 395--404.

On the existence of density of the law of a Wiener functional, Acta Math. Sinica, New Series, 5 (1989), no. 2, 97--100.

论单调类定理, 东北数学, 5 (1989), no. 1, 59--66.

(with Zhang, T.S.), Dirichlet forms and symmetric diffusions on a bounded domain in $R^d$, Chinese Ann. Math. Ser. A 11 (1990), no. 5,667--674.

(with Zhang, T.S.), Dirichlet forms and potential theory of symmetric Hunt processes, Science in China, Series-A. 33 (1990), no. 7, 800--809.

A remark on conditional expectations, Chinese Sci. Bull., 35 (1990), no. 9, 719--722.

A review of studies in probability theory and stochastic analysis, Probability theory and its applications in China, 313--327, Contemp. Math., 118, Amer. Math. Soc., Providence, RI, 1991.

(with Meyer, P.A.), Les "fonctions caractéristiques" des distributions sur l'espace de Wiener, Séminaire de Probabilités, XXV (1991), 61--78,Lecture Notes in Math., 1485, Springer.

Notes on the Wiener semigroup and renormalization, ibid, 79--94.

Some remarks on the theory of stochastic integration, ibid, 95--107.

Constructing kernels via stochastic measures, Gaussian random fields (Nagoya, 1990), 396--405, Ser. Probab. Statist., 1, World Sci. Publishing, River Edge, NJ, 1991.

An elementary proof of a theorem of Lee, Acta Math. Sci. (English Ed.)11 (1991), no. 3, 356--360.

(with Kuo, H.-H. and Potthoff, J.), Continuity of affine transformations of white noise test functionals and applications, Stochastic Process. Appl.,43 (1992), no. 1, 85--98.

(with Potthoff, J.), Some results about test and generalized functionals of white noise, In: Probability theory, eds: L.Y. Chen et al., Walter de Gruyter, Berlin, 1992, 121--145.

A formula for continuous additive functionals of nonsymmetric Hunt processes and application to Feynman-Kac transition functions, Probability and statistics (Tianjin, 1988/1989), 228--241, Nankai Ser. Pure Appl. Math. Theoret. Phys., World Sci. Publishing, River Edge, NJ, 1992.

Inequalities for products of white noise functionals, In: Stochastic processes, Springer, New York, 1993.

Some recent developments in white noise analysis, In: {\it Probability and
Statistics}, eds: Badrikian et al., World Scientific, 1993, 221--248.

Notes on Lévy Laplacian operator, Chinese Sci. Bull., 39 (1994), 6--11.

. (with Liu, K.), Euler operator and homogeneous Hida distributions, Acta Math. Sinica (N.S.), 10 (1994), no. 4, 439--445.

From Feynman-Kac formula to Feynman integrals via analytic continuation, Stochastic Process. Appl., 54 (1994), no. 2, 215--232.

(with Carmona, R.A.), A new space of white noise distributions and applications to SPDE's, Seminar on Stochastic Analysis, Random Fields and
Applications (Ascona, 1993), 51--66, Progr. Probab., 36, Birkhauser, Basel, 1995.

Products and transforms of white-noise functionals (in general setting), Appl. Math. Optim., 31 (1995), no. 2, 137--153.

Imkeller, P., Yan, J.A., Multiple intersection local time of planar Brownian motion as a particular Hida distribution, J. Funct. Anal., 140
(1996), no. 1, 256--273.

(with Imkeller, P.), New distributions over Wiener and Euclidean spaces，Science in China, Ser. A. 39 (1996), 925-934.

An asymptotic evaluation of heat kernel for short time, Sém. Probab. XXX (1996), LN. in Math. 1626, Springer, 104--107.

A new look at the fundamental theorem of asset pricing, J. Korean Math. Soc.
Vol. 35, No. 3 (1998), 659--673.

(with Kondratiev, Y.G., Streit, L. and Westerkamp, W.), Generalized functions
in infinite dimensional analysis, Hiroshima Mathematical Journal, 28(1998),213--260.

(with Stricker, C.), Some remarks on the optional decomposition theorem,
Séminaire de Probab. XXXII (1998), LN in Math. 1686, Springer, 56-66.

(with Luo, S.L.), Characterization of continuous operators on infinite dimensional distribution spaces, in: Proceedings of Second International Workshop,Stoch. Anal. and Math. Physics, Edited by R. Rebolledo, World Scientific, 1998,120--134.

(with Luo, S.L.), On Wick product of general operators, Chinese Science Bulltin,
Vol. 43, No. 15, 1252--1256.

(with Luo, S.L.), Generalized Fourier- Mehler transforms on white noise
functional spaces, Chinese Science Bulltin, Vol. 43, No. 16, 1321--1325.

(with Luo, S.L.), A complex scaling approach to sequential Feynman integrals,
Stoch. Proc. and their Appl. 79 (1999), 287--300.

(with Luo, S.L.), A complex scaling approach to sequential Feynman integral

(with Cao, Z.), A comparison theorem for solutions of backward stochstic differential equations, Advance in Mathematics, Vol. 28, No.1,(1999), 304-308.

(with Luo, S.L.), Gaussian kernel operators on white noise functional spaces, Sience in China, 43(10), 2000, 1067-1074.

An overview on the martingale approach to option pricing, Proceedings of IMS
Workshop on Applied Probability, 2000.

(with Zhang Q., Zhang, S.G.), Growth optimal portfolio in a market griven by a jump-diffusion-like process or a L\'evy process, Annals of Economics and Finance, 1(1), 2000, 101-116.

金融数学:历史、现状和展望, 投资与证券, 2000年第11期, 62-65.

(with Li P. and Xia, J.M.) Martingale measure method for expected utility
maximization in discrete time incomplete markets, Annals of Economics and Finance, 2(2), 2001, 445-465.

(with Xia, J.M.) Some remarks on arbitrage pricing theory, in: Recent evelopments
in Mathematical Finance, World Scientific, 2002, 218-227.

(with Luo, S.L. and Zhang, Q.) Arbitrage pricing systems in a market driven by an It? process, in: Recent Developments in Mathematical Finance, World Scientific, 2002, 263-271.

(with Tang, Q.H.), A sharp inequality for the tail probabilities of sums of i.i.d. r.v.'s with dominatedly varying tails, Science in China (Series A), 45(8), 2002, 1006-1011.

An overview on the martingale approach to option pricing, AWS/IP Studies
in Advanced Mathematics, Volume 26, 2002, 121-134.

Semimartingale theory and stochastic calculus, in: Handbook of Stochastic Analysis and Applications, D. Kannan and V. Lakshmikantham (Eds.), Marcel Dekker, Inc. 2002, 47-106.

A numeraire-free and oringinal probability based framework for financial markets, Proceedings of the ICM 2002, Vol. III, 861-871.

(with Liu, W. and Yang, W.G.), A limit theorem for partial sums of random variables and its applications, Statistics and Probability Letters, 62(1), 2003, 79-86.

(with Ng, K., Tang, Q. and Yang, H.) Precise large deviations for the prospective-loss process, J. Appl. Prob. 40, 2003, 1-10.

(with Ng, K., Tang, Q. and Yang, H.) Precise large deviations for sums of random variables with consistently varying tails, J. Appl. Prob. 41, 2004, 93-107.

(with Jin, H. and Zhou, X.Y.) Continuous-Time Mean-Risk Portfolio Selection, Ann. I. H. Poincar\'e - PR 41, 2005, 559-580.

(with Xia, J.M.) Markowitz's portfolio optimization in an incomplete market, Mathematical Finance, Vol. 16, No. 1, 2006, 203-216.

A simple proof of two generalized Borel-Cantelli lemmas, S\'eminaire de Probabilit\'es, XXV (2006), 77--79, Lecture Notes in Math., 1874, Springer.

(with Song, Y.)The representations of two types of functionals on L^\infty(\Omega,{\cal F})$ and $L^\infty(\Omega,{\cal F}, \P)$, Science in China Series A-Mathematics 2006 Vol.49, No. 10 pp.1376-1382

       电       话：62541694
　　传　　真：62541689
　　地　　址：北京中关村东路55号数学院
　　电子信箱：
　　邮　　编：100190