严加安著作目录
1. 严加安 鞅与随机积分引论, 上海科技出版社, 1981.
2. 严加安 测度与积分, 陕西师大出版社, 1988.
3. He, S.W., Wang, J.G., Yan, J.A., Semimartingale theory and stochastic calculus, Science Press, Beijing; CRC Press, Boca Raton, FL, 1992.
4. 何声武、汪嘉冈、严加安: 半鞅与随机分析, 科学出版社, 1995.
5. 黄志远、严加安: 无穷维随机分析引论, 科学出版社, 1997.
6. Huang Z.Y., Yan, J.A., Introduction to Infinite Dimensional Stochastic Analysis, Kluwer Academic Publishers, 2000.
7. 严加安、彭实戈、方诗赞、吴黎明: 随机分析选讲, 科学出版社, 1997.
8. Yan J. A., Introduction to Martingale Methods in Option Pricing, LN in Math 4, Liu Bie Ju Centre for Mathematical Sciences, City Univ. of Hong Kong, 1998.
9. 严加安 测度论讲义, 科学出版社, 1998，2004年第二版，2021年第三版.
10. 严加安 金融数学引论，科学出版社, 2012，2023年第二版.
11. Yan J. A., Introduction to Stochastic Finance, 2018, Springer-verlag.
12. 严加安 概率破玄机，高教出版社，2023.
13. 严加安 统计解迷离，高教出版社，2023.
严加安论文目录
1. Forme mesurable de la th′eorie des ensembles sousliniens, applications `a la th′eorie de la mesure, Scientia Sinica 18 (1975), no. 4, 444-463.
2. (with Meyer, P.A.) G′en′eration dune famille de tribus par un processus croissant,
S′eminaire de Probabilit′es, IX (1975), pp. 466-470. Lecture Notes in Math., Vol. 465, Springer.
3. (with Yoeurp, Ch.) Representation des martingales comme int′egrales stochastiques des processus optionnels, S′eminaire de Probabilit′es, X (1976), pp. 422-431. Lecture Notes in Math., Vol. 511, Springer.
4. Stochastic int′egrals of measurable processes with respect to local martingales, Acta Math. Sinica 21 (1978), no. 1, 18-25.(in Chinese)
5. Remarques sur lint′egrale stochastique de processus non born′es, S′eminaire de Probabilit ′es, XIV (1980), pp. 148-151, Lecture Notes in Math., 784, Springer.
6. Caract′erisation dune classe densembles convexes de L1 ou H1. ibid, 220-222.
7. Remarques sur certaines classes de semimartingales et sur les int′egrales stochastiques optionnelles. ibid, 223-226.
8. Sur une ′equation difffferentielle stochastique generale, ibid, 305-315.
9. Criteria for the uniform integrability of exponential martingales, Acta Math. Sinica, 23 (1980), no. 2, 293-300.
10. Some formulas for the local time of semimartingales, Chinese Ann. Math. 1(1980), no. 3-4, 545-551.
11. Propri′et′e de repr′esentation pr′evisible pour les semimartingales sp′eciales. Sci. Sinica, 23 (1980), no. 7, 803-813.
12. A note on E. Lenglarts results, Acta Math. Sinica, 23 (1980), no. 4, 638-640.
13. Characterization of compensable processes of fifinite variation, Chinese Ann. Math., 2 (1981), no. 4, 445-449.
14. Uniform and L r -integrability of exponential martingales, Chinese Ann. Math., 3 (1982), no. 3, 285-292.
15. A propos de lint′ergrabilite uniforme des martingales exponentielles, S′eminaire de Probabilit′es, XVI (1982), 338-347. Lecture Notes in Math., Vol. 920, Springer.
16. Martingales locales sur un ouvert droit optionnel, Stochastics 8 (1982/83), no. 3, 161-180.
17. Une remarque sur les solutions faibles des equations difffferentielles stochastiques unidimensionnelles. S′eminaire de Probabilit′es, XVII (1983), 78-80. LectureNotes in Math., Vol. 986, Springer.
18. Sur un th′eor`eme de Kazamaki-Sekiguchi. ibid, 121-122.
19. (with He, S.W., Zheng, W.A.) Sur la convergence des semimartingales continues dans Rn et des martingales dans une vari′et′e, ibid, 179-184.
20. (with Emery, M., Stricker, C.) Valeurs prises par les martingales locales continues a un instant donn′e, Ann. Probab., 11 (1983), no. 3, 635-641.
21. On the extensions of measures, Dongbei-Shida-Xuebao [Journal of Northeast Normal University, Natural Sciences] 1984, no. 1, 1-11. (in Chinese)
22. A formula for local times of semimartingales. Dongbei-Shuxue [Northeastern
23. A simple proof of El Karouis upcrossing theorem for semimartingales, Journal of
24. On the commutability of essential infifimum and conditional expectation operations. Kexue-Tongbao (Science Bulletin), 30 (1985), no. 8, 1013-1018.
25. A comparison theorem for semimartingales and its applications, Seminaire de Probabilit es, XX (1986), 349-351, Lecture Notes in Math., 1204, Springer.
26. (with Meyer, P.A.) A propos des distributions sur lespace de Wiener, S′eminaire de Probabilit′es, XXI (1987), 8-26, Lecture Notes in Math., 1247, Springer.
27. Developpement des distributions suivant les chaos de Wiener et applications a lanalyse stochastique, ibid, 27-32.
28. A perturbation theorem for semigroups of linear operators, Seminaire de Probabilites, XXII (1988), 89-91, Lecture Notes in Math., 1321, Springer.
29. A formula for densities of transition functions, ibid, 92-100.
30. On the existence of diffffusions with singular drift coeffiffifficient, Acta Math. Appl. Sinica (English Ser.), 4 (1988), no. 1, 23-29.
31. A change of variables formula for local times of semimartingales, Kexue-Tongbao (Science Bulletin), 33 (1988), 1755-1759.
32. (with Meyer, P.A..) Distributions sur lespace de Wiener (suite), dapr`es I. Kubo et Y. Yokoi, S′eminaire de Probabilit′es, XXIII (1989), 382-392, Lecture Notes in Math., 1372, Springer.
33. Sur la transform′ee de Fourier de H. H. Kuo, ibid, 393-394.
34. Generalizations of Gross and Minlos theorems, ibid, 395-404.
35. On the existence of density of the law of a Wiener functional, Acta Math. Sinica, New-Series, 5 (1989), no. 2, 97-100.
36. On monotone class theorems, Dongbei-Shuxue [Northeastern Mathematical Journal] 5 (1989), no. 1, 59-66. (in Chinese)
37. (with Zhang, T.S.) Dirichlet forms and symmetric diffffusions on a bounded domain in Rd, Chinese Ann. Math. Ser. A 11 (1990), no. 5, 667-674.
38. (with Zhang, T.S.) Dirichlet forms and potential theory of symmetric Hunt processes, Science in China (Scientia Sinica), Series-A. 33 (1990), no. 7, 800-809.
39. A remark on conditional expectations, Chinese Sci. Bull., 35 (1990), no. 9, 719-722.
40. 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.
41. (with Meyer, P.A.) Les fonctions caract′eristiques des distributions sur lespace de Wiener, S′eminaire de Probabilit′es, XXV (1991), 61-78, Lecture Notes in Math., 1485, Springer.
42. Notes on the Wiener semigroup and renormalization, ibid, 79-94.
43. Some remarks on the theory of stochastic integration, ibid, 95-107.
44. Constructing kernels via stochastic measures, Gaussian random fifields (Nagoya, 1990), 396-405, Ser. Probab. Statist., 1, World Sci. Publishing, River Edge, NJ, 1991.
45. An elementary proof of a theorem of Lee, Acta Math. Sci. (English Ed.) 11 (1991), no. 3, 356-360.
46. (with Kuo, H.-H., Potthoffff, J.) Continuity of affiffiffine transformations of white noise test functionals and applications, Stochastic Process. Appl., 43 (1992), no. 1, 85-98.
47. (with Potthoffff, 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.
48. 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.
49. Inequalities for products of white noise functionals, In: Stochastic processes, Springer, New York, 1993.
50. Some recent developments in wite nois analysis, In: Probability and Statistics,eds: Badrikian et al., World Scientifific, 1993, 221-248.
51. Notes on L′evy Laplacian operator, Chinese Sci. Bull., 39 (1994), 6-11.
52. (with Liu, K.) Euler operator and homogeneous Hida distributions, Acta Math. Sinica (N.S.), 10 (1994), no. 4, 439-445.
53. From Feynman-Kac formula to Feynman integrals via analytic continuation, Stochastic Process. Appl., 54 (1994), no. 2, 215-232.
54. (with Carmona, R.A.) A new space of white noise distributions and applications to SPDEs, Seminar on Stochastic Analysis, Random Fields and Applications (Ascona, 1993), 51-66, Progr. Probab., 36, Birkhauser, Basel, 1995.
55. Products and transforms of white-noise functionals (in general setting), Appl. Math. Optim., 31 (1995), no. 2, 137-153.
56. (with Imkeller, P.) Multiple intersection local time of planar Brownian motion as a particular Hida distribution, J. Funct. Anal., 140 (1996), no. 1, 256-273.
57. (with Imkeller, P.) New distributions over Wiener and Euclidean spaces, Science in China, Ser. A. 39 (1996), 925-934.
58. An asymptotic evaluation of heat kernel for short time, Sem. Probab. XXX (1996), LN. in Math. 1626, Springer, 104-107.
59. A new look at the fundamental theorem of asset pricing, J. Korean Math. Soc.Vol. 35, No. 3 (1998), 659-673.
60. (with Kondratiev, Y.G., Streit, L.,Westerkamp, W.) Generalized functions in infifinite dimensional analysis, Hiroshima Mathematical Journal, 28(1998), 213-260.
61. (with C. Stricker) Some remarks on the optional decomposition theorem, Seminaire de Probab. XXXII (1998), LN in Math. 1686, Springer, 56-66.
62. (with S. L. Luo) Characterization of continuous operators on infifinite dimensional distribution spaces, in: Proceedings of Second International Workshop, Stoch. Anal. and Math. Physics, Edited by R. Rebolledo, World Scientifific, 1998, 120-134.
63. (with S. L. Luo) On Wick product of general operators, Chinese Science Bulltin,Vol. 43, No. 15, 1252-1256.
64. (with S. L. Luo) Generalized Fourier- Mehler transforms on white noise functional spaces, Chinese Science Bulletin, Vol. 43, No. 16, 1321-1325.
65. (with S. L. Luo) A complex scaling approach to sequential Feynman integrals,Stoch. Processes and their Appl. 79 (1999), 287-300.
66. (with Cao, Z.) A comparison theorem for solutions of backward stochstic difffferential equations, Advance in Mathematics, Vol. 28, No.1 (1999), 304-308.
67. (with Luo, S.L.) Gaussian kernel operators on white noise functional spaces, Science in China, 43(10), 2000, 1067-1074.
68. (with Zhang Q. and Zhang, S.G.) Growth optimal portfolio in a market driven by a jump-diffffusion-like process or a Levy process, Annals of Economics and Finance, 1(1), 2000, 101-116.
69. (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.
70. (with Li, P.) The growth optimal portfolio in discrete-time fifinancial markets, Advances in Mathematics, 2002, Vol.31, No.6, 537-542.
71. (with Xia, J.M.) Some remarks on arbitrage pricing theory, in: Recent Developments in Mathematical Finance, World Scientifific, 2002, 218-227.
72. (with Luo, S.L. and Zhang, Q.) Arbitrage pricing systems in a market driven by an Ito process, in: Recent Developments in Mathematical Finance, World Scientifific, 2002, 263-271.
73. (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.
74. An overview on the martingale approach to option pricing, AWS/IP Studies in Advanced Mathematics, Volume 26, 2002, 121-134.
75. A numeraire-free and original probability based framework for fifinancial markets, Proceedings of the ICM 2002, Vol. III, 861-871.
76. (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.
77. (with Ng, K., Tang, Q. and Yang, H.) Precise large deviations for the prospective loss process, J. Appl. Prob. 40, 2003, 391-400.
78. (with Xia, J.M.) A new look at basic concepts in arbitrage pricing theory, Science in China (Series A), 46(6), 2003, 764-774.
79. (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.
80. (with Jin, H. and Zhou, X.Y.) Continuous-Time Mean-Risk Portfolio Selection, Ann. I. H. Poincar - PR 41, 2005, 559-580.
81. (with Xia, J.M.) Markowitzs portfolio optimization in an incomplete market, Mathematical Finance, Vol. 16, No. 1, 2006, 203-216.
82. A simple proof of two generalized Borel-Cantelli lemmas, Seminaire de Probabilites, XXV (2006), 77-79, Lecture Notes in Math., 1874, Springer.
83. (with Song, Y.)The representations of two types of functionals on L (？, F) and L (？, F, P), Science in China Series A-Mathematics 2006 Vol.49, No. 10 pp.1376- 1382.
84. (with Wang, Z.W.) A selective overview of applications of Choquet integrals, Advanced Lectures in Mathematics, Higher Educational Press and International Press, 2007, 484-514.
85. (with Xia, J.) Convex Duality for Optimal Investment, AMS/IP Studies in Advanced Mathematics, 2008, Volume 42, 663-678.
86. (with Duan, J.) General matrix-valued inhomogeneous linear stochastic difffferential equations and applications, Statistics and Probability Letters 78 (2008) 2361-2365.
87. (with Zhou, X.)Markovitz Strategies Revised, Acta Mathematica Scientia 2009,29B(4), 817-828.
88. (with Song, Y.) An overview of representation theorems for static risk measures, Science in China Series A: Mathematics, 2009, Vol. 52, Issue 7, 1412 - 1422
89. (with Hu, Y.) Wick calculus for nonlinear Gaussian functionals, Acta Mathematica Applicatae Sinica, English Series, Vol. 25, No.3 (2009), 399-414.
90. (with Song, Y.) Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders, Insurance: Mathematics and Economics, 2009, Vol.
45, 459- 465
91. A short presentation of Choquet integral, in Recent Development in Stochastic Dynamics and Stochastic Analysis, Interdisciplinary Mathematical Science, Vol.8, 2010, Eds: J. Duan et. al., Wold Scientifific, 269-291.
92. (with S. L. Luo and Q. Zhang) A functional transformation approach to interest rate modeling, in Stochastic Processes, Finance and Control, edited by Cohen et al., World Scientifific, pp. 303-316, 2012.
93. (with X. Cheng) A new look at the Lagrange method for continuous-time stochastic optimization, SCIENCE CHINA Mathematics, Vol. 55 No. 11: 2247-2258, 2012.
94. (with X. Cui, D. Li), Classical mean-variance model revisited: pseudo effiffifficiency, Journal of the Operational Research Society (2015) 66, 1646-1655
95. (with Z. Xu), A note on the Monge-Kantorovich problem in the planr, Communication on pure and applied analysis, 2015, 14(2), 517-525
96. (with C. Bernard, X.D. He, and X.Y. Zhou), Optimal insurance design under