1998-
目前,清华大学数学科学系,讲师,副教授,教授
1996-1998,
北京大学数学科学学院概率统计系,博士后
2008.09-2009.08,
韩国国立首尔大学
(SNU)
, 客座研究员
2002.09-2003.11,
美国麻省理工学院
(MIT)
数学系,客座研究员
一. 学术研究成果
(1)
在金融数学领域
的国际顶级或一流学术期刊如
:
Mathematical Finance (MF),
Finance and Stochastics (FS),
SIAM Jo
urnal
on
Financial Mathematics(SIFIN)
,
Quantitative Finance (QF),
Mathematics and Financial Economics (MFE);
精算科学领域的国际四大核心学术期刊如
:
Insurance:Mathematics
and Economics（IME),
Scandinavian Actuarial Journal (SAJ),
North American Actuarial Journal (NAAJ);
概率论与分析领域的国际顶级或一流学术期刊如
:
The Annals of Applied Probability,
Stochastic Processes and their Applications(SPA),
Ann.Inst.Henri Poincare Probab.Statist.,
Journal of
Functional Analysis(JFA),
Advances in Applied Probability;
运筹学,控制论与优化领域的
国际顶级或一流学术期刊如
：
Mathematics of
Operations Research
(MOR),
SIAM Journal on Control and Optimization (SICON),
Annals of Operations Research(AOR),
European Journal of Operational Research
(EJOR)
等
杂志上
发表论文九十余篇.
(2)
在金融数学,精算科学,概率论,随机控制与优化及其交叉领域提出了原创性概念及其挑战性数学问题,做出了系列原创性和创新性基础研究成果.
(
a)
解决了不完备模糊金融市场中关于最优投资组合与消费的众知数学猜想问题,建立了非可控型随机稳健控制与优化理论;
(b)
提出了最优停时与随机控制混合型弱均衡概念,建立相应理论体系同时提出了相应扩展型
Hamilton-Jacobi-Bellman
系统的挑战性数学问题;
(c)
系统建立了隐式框架下投资组合均衡理论;
(d)
率先严格建立不完备金融市场中光滑模糊数学概念与框架,解决了著名的
KMM
问题,发展了光滑模糊均衡投资组合理论;
(e)
率先解决了不完备金融市场中
MMV
下的最优投资组合及最优再保险的随机控制问题,拓展改进了
MV
理论;
(f)
提出构造解决
高度非凸(凹)非线性随机最优控制与优化问题的新方法;
(g)
在精算科学领域率先
引入局部时过程及其相应动态随机控制等概念,系统严格建立动态分红,再保险,投资,
DC(DB
)
养老金管理与投资方面的(稳健)随机控制与优化理论,给出了研究这些控制问题系列新方法与工具,解决了系列前沿问题,推进了
精算科学与风险管理发展的进程;
(h)
首次解决了双曲鞅型
SPDE
适定性问题,系统详细研究了两参数鞅过程和
局部时过程轨道的拟必然性质和正则性
。
(3)
在
精算科学研究领域,梁宗霞教授和他的学生研究团队的研究位于世界前列,取得了清华大学精算科学最新四个5年周期
(2012-2016, 2013-2017, 2014-2018,2015-2019)
世界非商学院类排名中分别世界排名第三,第五,第六,第八,大陆高校及研究机构排名第一的研究成果.
见
https://business.unl.edu/academic-programs/departments/finance/actuarial-science/research-rankings
二.
Selected Publications
[76] Guohui Guan, Zongxia Liang and Yilun Song.
The continuous-time pre-commitment KMM problem in incomplete markets
.
The
Annals of Applied Probability.
Forthcoming
.
[75] Zongxia Liang，Jianming Xia and Fengyi Yuan.
Dynamic portfolio selection for nonlinear law-dependent preferences.
Mathematics of Operations Research.
Published Online: Jun 30, 2025.
https://doi.org/10.1287/moor.2023.0345
[74] Guohui Guan, Zongxia Liang and Yi Xia.
Robust meanvariance stochastic differential reinsurance and investment games under volatility risk and model uncertainty.
Scandinavian Actuarial Journal
.
Forthcoming.
[73] Guohui Guan, Qitao Huang, Zongxia Liang, Fengyi Yuan.
Retirement decision with addictive habit persistence in a jump diffusion market.
SIAM Journal on Financial Mathematics.
Forthcoming.
[72]
Guohui Guan, Zongxia Liang and Yi Xia
.
Many insurer robust games of reinsurance and investment under model uncertainty in incomplete markets.
Mathematics and Financial Economics.
Published Online: July 1, 2025. https://doi.org/10.1007/s11579-025-00391-5
[71] Zongxia Liang,Yang Liu, Litian Zhang
. A framework of state-dependent utility optimization with general benchmarks.
Finance and Stochastics
29(2)(2025)469-518.
[70] Guohui Guan, Jiaqi Hu, Zongxia Liang.
N-player and mean field games among fund managers considering excess logarithmic returns.
Annals of Operations Research
349(2025)1663-1691.
[69] Guohui Guan, Zongxia Liang, Jianming Xia.
Equilibrium portfolio selection for smooth ambiguity preferences.
Mathematics of Operations Research
50(2)(2025) 1042–1071.
[68] Yuchen Li, Zongxia Liang, Shunzhi Pang.
Comparison between mean-variance and monotone mean-variance preferences under jump diffusion and stochastic factor model.
Mathematics of Operations Research.
Published Online: September 23, 2024.
[67] Yuchen Li, Zongxia Liang, Shunzhi Pang.
Comparison between mean-variance and monotone mean-variance preferences in general markets: A new perspective.
Operations Research Letters
61 (2025) 107298.
[66] Zongxia Liang, Xiaodong Luo.
Stackelberg reinsurance and premium decisions with MV criterion and irreversibility.
SIAM Journal on Financial Mathematics
16(1)(2025)167-199.
[65] Zongxia Liang, Sheng Wang, Jianming Xia.
An integral equation in portfolio selection with time-inconsistent preferences
.
SIAM Journal on Financial Mathematics
16(1)(2025) SC12-SC23.
[64] Lin He, Zongxia Liang, Zhaojie Ren.
Optimal consumption and investment in pooled annuity funds with and without fund managers.
Scandinavian Actuarial Journal
2025(1)(2025)79-116.
[63] Zongxia Liang, Xiaodong Luo, Fengyi Yuan.
Equilibria for time-inconsistent singular control problems
.
SIAM Journal on Control and Optimization
62(6)(2024) 3213-3238.
[62] Zongxia Liang, Keyu Zhang.
Time-inconsistent mean field and n-agent games under relative performance criteria.
SIAM Journal on Financial Mathematics
15(4)(2024)1047-1082.
[61] Zongxia Liang, Keyu Zhang.
A Mean field game approach to relative investment-consumption games with habit formation.
Mathematics and Financial Economics
18(4)(2024)577-622.
[60] Zongxia Liang,Yang Liu, Ming Ma and Rahul Pothi Vinoth.
A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities.
Quantitative Finance
24(2)(2024)281-303.
[59] Zongxia Liang, Xia Yi, Bin Zou.
A two-layer stochastic game approach to reinsurance contracting and competition
.
Insurance: Mathematics and Economics
119(2024)226-237.
[58] Guohui Guan, Zongxia Liang and Xingjian Ma.
Optimal annuitization and asset allocation under linear habit formation.
Insurance: Mathematics and Economics
114(1)(2024)176-191.
[57] Guohui Guan, Zongxia Liang and Yi Xia.
Optimal management of DB pension fund under both underfunded and overfunded cases.
Scandinavian Actuarial Journal
2024(6)(2024) 583-624.
[56] Lin He, Zongxia Liang, Zhaojie Ren, Yilun Song.
Optimal mix among PAYGO, EET and individual savings
.
Scandinavian Actuarial Journal
2024(5)(2024)463-505.
[55] Guohui Guan, Lin He, Zongxia Liang, Yang Liu and Litian Zhang.
Robust dividend, financing, and reinsurance strategies under model uncertainty with proportional transaction costs.
North American Actuarial Journal
28(2)(2024)261-284.
[54] Guohui Guan, Zongxia Liang, Yilun Song.
A Stackelberg reinsurance-investment game under α-maxmin mean-variance criterion and stochastic volatility
.
Scandinavian Actuarial Journal
2024(1)(2024)28-63.
[53] Zongxia Liang and Yang Liu.
An asymptotic approach to centrally-planned portfolio selection
.
Advances in Applied Probability
56(3)(2024)757-784.
[52] Zongxia Liang and Fengyi Yuan.
Weak equilibria for time-inconsistent control. With applications to investment-withdrawal decisions
.
Mathematical Finance
33(3) (2023) 891-945.
[51] Guohui Guan, Zongxia Liang and Yi Xia.
Optimal management of DC pension fund under the relative performance ratio and VaR constraint.
European Journal of Operational Research
305(2)(2023)868-886.
[50] Zongxia Liang, Xiaodong Luo and Fengyi Yuan.
Consumption-investment decisions with endogenous reference point and drawdown constraint.
Mathematics and Financial Economics
17(2)(2023)285-334.
[49] Guohui Guan, Jiaqi Hu and Zongxia Liang.
Robust equilibrium strategies in a defined benefit pension plan game.
Insurance: Mathematics and Economics
106(2022)193-217.
[48] Lin He, Zongxia Liang and Sheng Wang.
Dynamic optimal adjustment policies of hybrid pension plans
.
Insurance: Mathematics and Economics
106 (2022) 46–68.
[47] Lin He, Zongxia Liang, Yilun Song and Qi Ye.
Optimal asset allocation, consumption and retirement time with the variation in habitual persistence.
Insurance: Mathematics and Economics
102 (2022)188–202.
[46] Lin He, Zongxia Liang, Yilun Song and Qi Ye.
Optimal contribution rate of PAYGO pension
.
Scandinavian Actuarial Journal
2021, 2021(6), 505–531.
[45] Zongxia Liang and Yang Liu.
A classification approach to general S-shaped utility optimization with principals' constraints
.
SIAM Journal on Control and Optimization
58(6)(2020)3734-3762.
[44] Zongxia Liang and Ming Ma.
Robust consumption-investment problem under CRRA and CARA utilities with time-varying confidence sets.
Mathematical Finance
30(2020)1035-1072.
[43] Lin He, Zongxia Liang and Fengyi Yuan.
Optimal DB-PAYGO pension management towards a habitual contribution rate
.
Insurance:Mathematics and Economics
94(2020)125-141.
[42] Lin He, Zongxia Liang, Yang Liu and Ming Ma.
Weighted utility optimization of the participating endowment contract
.
Scandinavian Actuarial Journal
2020, 2020(7), 577-613.
[41] Guohui Guan, Zongxia Liang.
Robust optimal reinsurance and investment strategies for an AAI with multiple risks.
Insurance:Mathematics and Economics
89(2019)63-78
[40] Zongxia Liang, Ming Ma.
Consumption-investment problem with pathwise ambiguity under logarithmic utility
.
Mathematics and Financial Economics
13(4)(2019)519-541.
[39] Lin He, Zongxia Liang, Yang Liu and Ming Ma.
Optimal control of DC pension plan management under two incentive schemes.
North American Actuarial Journal
23(1)(2019)120-141.
[38] Guohui Guan, Zongxia Liang and Jian Feng.
Time-consistent proportional reinsurance and investment strategies under ambiguous environment.
Insurance:Mathematics and Economics
83(2018)122-133.
[37] Zongxia Liang, Xiaoyang Zhao.
Optimal mean-variance efficiency of a family with life insurance under inflation risk
.
Insurance:Mathematics and Economics
71(2016)164-178.
[36] Zongxia Liang, Xiaoyang Zhao.
Optimal investment, consumption and life insurance under stochastic framework.
SCIENTIA SINICA Mathematica
46(12)(2016)1863-1882.
[35] Guohui Guan, Zongxia Liang.
A stochastic Nash equilibrium portfolio game between two DC pension funds.
Insurance:Mathematics and Economics
70(2016) 237-244
[34] Guohui Guan, Zongxia Liang.
Optimal management of DC pension plan under loss aversion and value-at-risk constraints.
Insurance:Mathematics and Economics
69(2016)224-237.
[33] Zongxia Liang, Wenlong Sheng.
Valuing inflation-linked death benefits under a stochastic volatility framework.
Insurance:Mathematics and Economics
69(2016)45-58.
[32] Zongxia Liang, Mingsi Long.
Minimization of absolute ruin probability under negative correlation assumption
.
Insurance:Mathematics and Economics
65(2015) 247-258.
[31] Zongxia Liang, Min Song.
Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information
.
Insurance:Mathematics and Economics
65(2015)66-76.
[30] Zongxia Liang, Ming Ma.
Optimal dynamic asset allocation of pension fund in mortality and salary risks framework.
Insurance:Mathematics and Economics
64(2015)151-161.
[29] Lin He, Zongxia Liang.
Optimal assets allocation and benefit outgo policies of DC pension plan with compulsory conversion claims
.
Insurance:Mathematics and Economics
61(2015)227-234.
[28] Guohui Guan, Zongxia Liang.
Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns.
Insurance:Mathematics and Economics
61(2015)99-109.
[27] Guohui Guan, Zongxia Liang.
Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework.
Insurance:Mathematics and Economics
57(2014)58-66.
[26] Guohui Guan, Zongxia Liang.
Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks.
Insurance:Mathematics and Economics
55(2014)105-115.
[25] Huiqi Guan, Zongxia Liang.
Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
.
Insurance:Mathematics and Economics
54(2014)109-122.
[24] Lin He, Zongxia Liang.
Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework.
Insurance:Mathematics and Economics
53(2013)643-649.
[23] Lin He, Zongxia Liang.
Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase.
Insurance:Mathematics and Economics
52(2013)404-410.
[22] Zongxia Liang, Weiming Wu.
Variational inequalities in stock loan models.
Optimization and Engineering
13(3)(2012)459-470.
[21] Zongxia Liang, Jianping Huang.
Optimal dividend and investing control of an insurance company with higher solvency constraints.
Insurance:Mathematics and Economics
49(2011)501-511.
[20] Zongxia Liang, Bin Sun.
Optimal control of a big financial company with debt liability under bankrupt probability constraints.
Front. Math. China.
6(6)(2011)1095-1130.
[19] Zongxia Liang, Weiming Wu and Shuqing Jiang.
Stock loan with automatic termination clause, cap and margin
.
Computers and Mathematics with Applications
60(12)(2010)3160-3176.
[18] Lin He, Zongxia Liang.
Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs.
Insurance: Mathematics and Economic
44(2009)88-94.
[17] Lin He, Ping Hou and Zongxia Liang.
Optimal control of the insurance company with proportional reinsurance policy under solvency constraintss
.
Insurance: Mathematics and Economic
43(2008)474-479.
[16] Lin He, Zongxia Liang.
Optimal financing and dividend control of the insurance company with proportional reinsurance policy.
Insurance:Mathematics and Economics
42(2008)976-983.
[15] Zongxia Liang.
Anticipating multidimensional stochastic differential equations with reflections.
Stochastics and Dynamics
8(2)(2008)295-318.
[14] Zongxia Liang.
Spatial asymptotic behavior of homeomorphic global flow for non-Lipschitz SDEs.
Bulletin des Sciences Mathématiques
132(2)(2008)146-163.
[13] Guilan Cao, Kai He and Zongxia Liang.
Quasi sure analysis of local times of anticipating smooth semimartingales.
Bulletin des Sciences Mathématiques
131(8)(2007)697-715.
[12] Zongxia Liang.
Stochastic differential equations driven by spatial parameters semimartingale with non-Lipschitz local characteristic
.
Potential Analysis
26(4)(2007)307-322.
[11] Zongxia Liang.
Besov regularity for the generalized local time of the indefinite Skorohod integral.
Annales de l'Institut Henri Poincaré Probabilités et Statistiques
43(1)(2007)77-86.
[10] Zongxia Liang.
Fractional smoothness for the generalized local time of the Indefinite Skorohod integral
.
Journal of Functional Analysis
239(1)(2006)247-267.
[9] Zongxia Liang.
Anticipative stochastic differential equations with non-smooth diffusion coefficient
.
Acta Math. Sin.
22(5)(2006)1473–1480.
[8] Zongxia Liang.
Stochastic differential equation driven by countably many Brownian motions with non-Lipschitzian coefficients.
Stochastic Analysis and Applications
24(3)(2006)501-529.
[7] Zongxia Liang.
Homeomorphic property of solutions of SDE driven by countably many Brownian motions with non-Lipschitzian coefficients
.
Bulletin des Sciences Mathématiques
129(6)(2005)523-538.
[6] Zongxia Liang.
Exit problems for nonlinear stochastic evolution equations on Hilbert spaces
.
Science in China
. Series A. Mathematics 45(10)(2002)1238-1254.
[5] Zongxia Liang.
Existence and pathwise uniqueness of solutions for stochastic differential equations with respect to martingales in the plane.
Stochastic Processes and their Applications
83(2)(1999)303-317.
[4] Zongxia Liang.
Uniqueness theorem of solutions for stochastic differential equation in the plane
.
Acta Math. Sin.
14(4)(1998) 495–506.
[3] Zongxia Liang.
Two parameter smooth martingales on the Wiener space.
Acta Math. Sin.
13(2)(1997) 239–246.
[2] Zongxia Liang.
Quasi-sure quadratic variations of two parameter smooth martingales on the Wiener space.
Journal of Mathematics of Kyoto University
36(3)(1996)619-640.
[1] Zongxia Liang, Mingli Zheng.
Estimates on moments of the solutions to stochastic differential equations with respect to martingales in the plane
.
Stochastic Processes and their Applications
62(2)(1996)263-276.
(1)培养和指导博士后, 博士研究生和硕士研究生
59
名(包括在读),其中博士研究生
30
名, 博士后1名，他们分别在中国科学院、北京大学
、
中国人民大学、复旦大学、香港大学
、
香港中文大学
、
香港中文大学（深圳)
、
新加坡国立大学、
斯坦福大学
(
Stanford University
)
、
密歇根大学
(University of Michigan, Ann Arbor)
、
滑铁卢大学
(
the University of Waterloo
)
、
中国人民银行(总部)
、
中国保险监督管理委员会
、
中国人寿保险公司(总部)
、
中国平安保险公司(总部)
、
中国银行(总部)等科研机构
、
著名高校
、
国家金融机构和跨国金融机构任教授
、
副教授
、
助理教授
、
博士后及高管等职务工作.
(2)博士研究生
招生学科:数学和统计学.招生研究方向:
Actuarial Science; Mathematical Finance and
Quantitative Finance
; Optimal Stochastic Controls and Optimization; Applied Probability and Stochastic Analysis; Risk Management and Insurance Mathematics.
