Education  Interests  Funding  Papers

 

Weidong Zhao

 

School of Mathematics, Financial Institute

Shandong University

No. 27 Shanda Nanlu, Jinan,

Shandong 250100, P. R. China

Phone: (+86) 0531-88364735

Email: wdzhao@sdu.edu.cn

 


Education

·            Ph. D. in computational mathematics                            1995

     Shandong University

 

·            M. S. in computational mathematics                              1987

Shandong University

 

·            B. S. in computational mathematics                               1984  

Shandong University

 


Professional Experiences

·            Professor                                                                        2002 – present

School of Mathematic

Shandong University, Jinan, P.R. China

 

·            Associate Professor                                                        1996 – 2002

School of Mathematic

Shandong University, Jinan, P.R. China

 

·            Assistant Professor                                                         1991 – 1996

School of Mathematic

Shandong University, Jinan, P.R. China

 

·            Instructor                                                                       1987 – 1991

School of Mathematic

Shandong University, Jinan, P.R. China

 

 

 


Research Interests

·            Numerical methods for SDE and backward SDE (BSDE)

·            Numerical methods for PDEs and stochastic PDEs (SPDEs)

·            Numerical methods for stochastic optimal control

·            Numerical finance

 


Research Projects

·            Jan. 2016 – Dec. 2019, Stochastic solution methods for fully nonlinear parabolic partial differential equations, Natural Science Foundation of China (NSFC), No. 11571206, Principal Investigator.

·            Jan. 2012 – Dec. 2015, High-performance numerical algorithms for stochastic differential equations and their applications, Natural Science Foundation of China (NSFC), No. 91130003, Co-Principal Investigator.

·            Jan. 2012 – Dec. 2015, Numerical methods for stochastic optimal control problems and their applications, Natural Science Foundation of China (NSFC), No. 11171189, Principal Investigator.

·            Aug. 2011 – Jul. 2014, Backward stochastic numerical methods for diffusive stochastic optimal control problems, Key Natural Science Foundation of Shandong, No. ZR2011AZ002, Principal Investigator.

·            Jan. 2010 – Dec. 2012, G-risk measure, backward stochastic computing and their analysis in financial mathematics and financial risk control, Natural Science Foundation of China (NSFC), No. 10921101, Investigator.

·            2007 – 2012, Quantitative analysis and computing in financial risk control, 973 Project of China, No. 2007CB81490, Investigator.

·            Jan. 2007 – Dec. 2009, Scientific computing methods for forward-backward stochastic differential equations and their applications, Natural Science Foundation of China (NSFC), No. 10671111, Principal Investigator.

·            Apr. 2004 – Dec. 2005, Discontinuous numerical methods for seepage fluid flow problems, Research Foundation for Returning from Studying Abroad, Principal Investigator.

·            2000 – 2002, Seepage dynamic numerical simulation and applications for migration-accumulation of oil resources in Dongying hollow, Natural Science Foundation of China (NSFC), Investigator.

·            1998 – 2000, Technique research of quantitative numerical simulation for multi-layer secondary migration-accumulation of oil resources, South Petrochemical Company of China, Investigator.

·            1998 – 2000, Numerical methods for initial boundary value problems of nonlinear hyperbolic partial differential equations, Natural Science Foundation of Shandong Province, Principal Investigator.

·            1997 – 1999, The theoretical analysis of numerical simulation for secondary migration-accumulation of oil and water, Foundation for Young Teachers of Shandong University, Principal Investigator.

·            Jan. 1997 – Dec. 1999, Numerical simulation methods for environmental contamination problems, Doctoral Scientific Fund Project of the Ministry of Education of China, Principal Investigator.

·            Jan. 1997 – Dec. 1999, Numerical simulation and the fractional step methods for oil resources, Doctoral Scientific Fund Project of the Ministry of Education of China, Principal Investigator.

·            1993 – 1997, Quantitative simulation of secondary migration-accumulation of oil and water, Petrochemical Company of China, Investigator.

·            1992 – 1994, Numerical simulation system for polymer displacement enhanced oil recovery in Daqing Oil Field, 85 Project of China, Investigator.

 


● Papers

 

1.    Yu Fu, Jie Yang and Weidong Zhao,

Prediction-Correction Scheme for Decoupled Forward Backward Stochastic Differential Equations with Jumps, East Asian J. Appl. Math., 2016.

2.    Jie Yang and Weidong Zhao,

Numerical simulations of the G-Brownian motion, Front. Math. China, DOI: 10.1007/s11464-016-0504-9, 2016.

3.    Yu Fu, Weidong Zhao and Tao Zhou,

Multistep schemes for forward backward stochastic differential equations with jumps, J. Sci. Comput., DOI: 10.1007/s10915-016-0212-y, 2016.

4.    Weidong Zhao, Wei Zhang and Lili Ju,

A multistep scheme for decoupled forward-backward stochastic differential equations, Numer. Math. Theory Methods Appl., 9(2), 2016, pp. 262-288.

5.    Guannan Zhang, Weidong Zhao, Clayton Webster and Max Gunzburger,

Numerical methods for a class of nonlocal diffusion problems with the use of backward SDEs, Comput. Math. Appl., 71(11), 2016, pp. 2479-2496.

6.    Feng Bao, Yanzhao Cao, Amnon Meir, Weidong Zhao,

A first Order Scheme for Backward Doubly Stochastic Differential Equations, SIAM/ASA J. Uncertain. Quan., 4, 2016, pp. 413–445.

7.    Xu Yang and Weidong Zhao,

Strong convergence analysis of split-step $\theta$-method for nonlinear stochastic differential equations with jumps, Adv. Appl. Math. Mech., accepted, 2015.

8.    Liyong Zhu, Lili Ju and Weidong Zhao,

Fast high-order compact exponential time differencing Runge-Kutta methods for second-order semilinear parabolic equations, J. Sci. Comput., 67(3), 2016, pp. 1043-1065.

9.    Jie Yang and Weidong Zhao,

Convergence analysis of a class of multistep schemes for forward-backward stochastic differential equations, East Asian J. Appl. Math., 5(4), 2015, pp. 387-404.

10.Kong, Weidong Zhao and Tao Zhou,

Probabilistic high order numerical schemes for fully nonlinear parabolic PDEs, Commun. Comput.Phys. 18(5), 2015, pp. 1482-1503

11.Feng Bao, Yanzhao Cao and Weidong Zhao,

A first order semi-discrete algorithm for backward doubly stochastic differential equations, Discrete Contin. Dyn. Syst. Ser. B, 20(5), 2015, pp.1297-1313.

12.Wei Zhang and Weidong Zhao,

Euler-type schemes for weakly coupled FBSDEs and the optimal convergence analysis, Front. Math. China, 10(2), 2015, pp. 415-434.

13.Yu Fu and Weidong Zhao,

An explicit second-order numerical scheme to solve decoupled forward backward stochastic equations, East Asian J. Appl. Math., 4(4), 2014, pp. 368-385.

14.Weidong Zhao, Yu Fu and Tao Zhou,

New kinds of high-order multistep schemes for coupled forward backward stochastic differential equations, SIAM J. Sci. Comput., 36(4), 2014, pp. A1731–A1751.

15.Weidong Zhao, Wei Zhang and Lili Ju,

A numerical method and its error estimates for the decoupled forward-backward stochastic differential equations, Commun. Comput. Phys., 15(3), 2014, pp. 618-646.

16.Weidong Zhao, Yang Li and Yu Fu,

Second-order schemes for solving decoupled forward backward stochastic differential equations, Sci. China Math., 57(4), 2014, 665-686.

17.Weidong Zhao, Yang Li and Lili Ju,

Error estimates of the Crank-Nicolson scheme for solving backward stochastic differential equations, Int. J. Numer. Anal. Model., 10(4), 2013, pp. 876-898.

18.Hong Wang, Weidong Zhao , Magne S. Espedal and Aleksey S.Telyakovskiy, 

A component-based Eulerian--Lagrangian formulation for multicomponent multiphase compositional flow and transport in porous media, SIAM J. Sci. Comput., 35(2), 2013, pp. B462-B486.

19.Guannan Zhang, Max Gunzburger and Weidong Zhao,

A sparse-grid method for multi-dimensional backward stochastic differential equations, J. Comput. Math., 31(3), 2013, pp. 221-248.

20.Lili Ju, Li Tian, Xiao Xiao and Weidong Zhao,

Covolume-upwind finite volume approximations for linear elliptic partial differential equations,  J. Comput. Phys., 231(18), 2012, pp. 6097-6120.

21.Weidong Zhao, Yang Li and Guannan Zhang,

A generalized θ-scheme for solving backward stochastic differential equations, Discrete Contin. Dyn. Syst. Ser. B, 17(5),   2012,  pp.1585-1603.

22.Feng Bao, Yanzhao Cao and Weidong Zhao,

Numerical solutions for forward backward doubly stochastic differential equations and Zakai equations, International Journal for Uncertainty Quantification, 1(4), 2011, pp. 351–367.

23.Yang Li and Weidong Zhao,

Error estimates of a second order numerical scheme for a kind of backward stochastic differential equations, 2011 World Congress on Engineering and Technology, Oct. 28-Nov. 2, 2011, Shanghai, China.

24.Guangbao Guo and Weidong Zhao,

Schwarz methods for quasi stationary distributions of Markov chains, Calcolo March, 49(1), 2012, pp. 21-39.

25.Weidong Zhao, Guannan Zhang, and Lili Ju,

A stable multistep scheme for solving backward stochastic differential equations, SIAM J. Numer. Anal., 48(4), 2010, pp. 1369-1394.

26.Yang Li and Weidong Zhao,

L^p-error estimates for numerical schemes for solving certain kinds of backward stochastic differential equations, Statistics and Probability Letters, 80(21-22), 2010, pp. 1612-1617.

27.Yanzhao Cao, Max Gunzburger, X. B. Hu, Fei Hua, Xiaoming Wang, and Weidong Zhao,

Finite element approximations for Stokes-Darcy flow with Beaver-Joseph interface conditions, SIAM J. Numer. Anal., 47(6), 2010, pp. 4239-4256.

28.Weidong Zhao, Jinlei Wang and Shige Peng,

Error estimates of the  $\theta$-scheme for backward stochastic differential equations, Discrete Contin. Dyn. Syst. Ser. B, 12(4), 2009,  pp. 905-924.

29.Jinlei Wang, Shenxi Luo and Weidong Zhao,

Crank-Nicolson scheme and its error estimates for backward stochastic differential equations, Acta Mathematicae Applicatae Sinica, English Series, 2009

30.Lili Ju, Wensong Wu and Weidong Zhao,

Adaptive finite volume methods for steady convection-diffusion equations with mesh optimization, Discrete Contin. Dyn. Syst. Ser. B, 11(3), 2009, pp. 669-690.

31.Weidong Zhao, Li Tian and Lili Ju,

Convergence analysis of a splitting method for stochastic differential equations, Int. J. Numer. Anal. Model., 5(4), 2008, pp. 673-692.

32.Yanzhao Cao, Hongmei Chi, C. Milton and Weidong Zhao,

Exploitation of sensitivity derivatives via randomized quasi-Monte Carlo methods, Monte Carlo Methods Appl., 14(3), 2008, pp. 269-279.

33.Peng Sun, Lei Zhang and Weidong Zhao,

One kind of finite control volume numerical method for American option problems, J. Shandong Univ., 42(6), 2007, pp. 1-6.

34.Peng Sun and Weidong Zhao,

Alternating direction upwind control volume method for Asian option pricing problems, J. Shandong Univ., 42(6), 2007, pp. 16-21.

35.Weidong Zhao, Lifeng Chen and Shige Peng,

A new kind of accurate numerical methods for backward stochastic differential equations, SIAM J. Sci. Comput.,  28(4), 2006, pp. 1563-1582.

36.Lili Ju, Max Gunzburger and Weidong Zhao,

Adaptive finite element methods for elliptic PDEs based on conforming centroidal voronoi–delaunay triangulations, SIAM J. Sci. Comput.,  28(6), 2006, pp. 2023-2053.

37.D. Liang and W. Zhao,

An optimal weighted upwinding covolume method on non-standard grids for convection-diffusion problems in 2D, Int. J. Numer. Meth. Eng., 67(4), 2006, pp. 553-577.

38.H. Wang, W. Zhao, R.E. Ewing, M. Al-Lawada, M.S. Espedal and A.S. telyakovskiy,

An Eulerian-Lagrangian solution technique for single-phase compositional flow in three-dimensional porous media, Int. J. Comput. Math. Appl., 52(5), 2006, pp. 607-624.

39.H. Wang, W. Zhao and R.E. Ewing,

A numerical modeling of multicomponent compressible flows in porous media with multiple wells by a Eulerian-Lagrangian method, Comput. Visual. Sci., 8(2), 2005, pp. 69-81.

40.Hong Wang, Weidong Zhao, Magne S. Espedal and Aleksey S. Telyakovskiyd,

An Eulerian-Lagrangian localized adjoint method for compositional multiphase flow in the subsurface, Developments in Water Science, 55(1), 2004, pp. 495-504.

41.Dong Liang and Weidong Zhao,

The weighted upwinding finite volume method for the convection diffusion problem on a nonstandard covolume grid, Appl. Num. Anal. Comp. Math., 1(1), 2004, pp. 180-194.

42.Hong Wang and Weidong Zhao,

An upwind finite volume scheme and its maximum -principle-preserving ADI splitting for unsteady-state advection-diffusion equations, Numer. Meth. Part. D. E., 19(2), 2003, pp. 211-226.

43.Hong Wang and Weidong Zhao,

A modified alternating-direction finite volume method for the modeling of secondary hydrocarbon migration and accumulation processes, Numer. Meth. Part. D. E., 19(2), 2003, pp. 245-270.

44.Weidong Zhao and Dong Liang,

Modified high-order method for convection diffusion equation, Acta Mathematicae Applicatae Sinica, 18(1), 2002, pp. 131-146.

45.Hong Wang, Weidong Zhao, Rechard E. Ewing, Stephen L. Lyon and Guan Qin,

An ELLAM simulator for highly compressible flow through three-dimensional porous media with multiple wells, XIV International Conference on Computational Methods in Water Resources, Delft, Netherlands, 2, 2002, pp. 1051-1058.

46.Hong Wang and Weidong Zhao,

A modified alternating-direction finite volume method for the modeling of secondary hydrocarbon migration and accumulation processes, media with multiple wells, XIV International Conference on Computational Methods in Water Resources, Delft, Netherlands, 2, 2002, pp. 987-994.

47.Hong Wang, Weidong Zhao, Rechard E. Ewing, Stephen L. Lyon and Guan Qin,

An ELLAM simulator for highly compressible flow through porous media with multiple wells, Comtemp. Math., 295, 2002, pp. 481-488.

48.Yirang Yuan, Weidong Zhao, Aijie Cheng, Wenqia Wang and Yuji Han, 

Numerical simulation of oil migration-accumulation of multilayer and its application, Appl. Math. Mech.-Engl., 23(8), 2002, pp. 931-941.

49.Weidong Zhao,

The mixed least-square and characteristic finite element method for two-phase displacement in porous media, Mathematica Numerica Sinica, 22(1), 2000, pp. 83-96.

50.Weidong Zhao,

A Class of improved characteristic finite element method for convection diffusion equation, International Conference on applied Computational Fluid Dynamics, Beijing, China, 2000, pp. 500-505.

51.Weidong Zhao,

Characteristic method for two-phase displacement in porous media and its convergent analysis basing on the past-progressing of finite element method for pressure, J. Shandong Univ., 35(1), 2000, pp.1-7.

52.Aijie Cheng and Weidong Zhao,

An economical difference scheme for convection-diffusion equation, Math. Numer. Sinica, 22(3), 2000, pp. 309-318.

53.Yirang Yuan, Weidong Zhao, Aijie Cheng and Yuji Han,

Numerical simulation of migration-accumulation for multi-layer oil resources and its application, the Sixth Meeting of ASIAM 2000, Qinghua University Press, 2000.

54.Weidong Zhao,

A high-order upwind method for convection-diffusion equation with Newmann boundary condition, Numerical Treatment of Multiphase Flows in Porous Media, 552, 2000, pp. 430--440.

55.Yirang Yuan, Weidong Zhao, Aijie Cheng and Yuji Han,

Numerical simulation analysis of migration-accumulation of oil and water, Appl. Math. Mech.-Engl. 20(4), 1999, pp. 406-412.

56.Yirang Yuan, Weidong Zhao, Aijie Cheng and Yuji Han,

Simulation and application of three dimensional migration-accumulation of oil resources, Appl. Math. Mech.-Engl. 20(9), 1999, pp. 999-1009.

57.Weidong Zhao,

The finite difference method and its convergence analysis for thermistor problem, Appli. Math., 14(3), 1999, pp. 349-358.

58.Weidong Zhao and Aijie Cheng,

A kind of improved characteristic finite element method for convection-diffusion equation, Numer. Math., 21(3), 1999, pp. 248-263.

59.Dong Liang and Weidong Zhao,

The weighted factor method for seepage problems, Developments of Water and Electric Engineering in China, Ocean Press, Beijing, 1999.

60.Yirang Yuan and Weidong Zhao,

Characteristic finite difference method for 2-D seepage problems of compressible oil and water with moving boundary, J. Sys. Sci. Math. Sci., 19(1), 1999, pp. 6-15.

61.Weidong Zhao,

Splitting upwind finite difference method for convection-diffusion equation, the Sixth Annual Meeting of Mathematical Computation, Shanghai, China, 1999.

62.Aijie Cheng and Weidong Zhao,

Alternating direction finite difference method for convection-diffusion equation, J. Shandong Univ., 34(1), 1999, pp. 10-16.

63.Yirang Yuan, Weidong Zhao,

The characteristic finite difference method for 3-dimensional moving boundary value problem, Numer. Math.-Engl., 7(2), 1998, pp.133-144.

64.Yirang Yuan, Weidong Zhao, Aijie Cheng and Yuji Han,

Oil resources evaluating numerical simulation of migration-accumulation, the Fifth Meeting of ASIAM’98, Qinghua University Press, 1998.

65.Weidong Zhao,

An iterative method and its convergent analysis of a new modified characteristic finite element method for miscible displacement in porous media, Numer. Math., 20(3), 1998, pp. 279-288.

66.Dong Liang and Weidong Zhao,

A high-order upwind method for convection-diffusion problem, Comput. Method. Appl. Mech. Eng., 147(1-2), 1997, pp. 107-115.

67.Weidong Zhao,

A new class of difference schemes and its convergence analysis for immiscible incompressible two phase displacement in porous media,  J. Shandong Univ., 32(2), 1997, pp.144-150.

68.Weidong Zhao,

A new kind of characteristic finite element method and its convergent analysis for 2-D convection-diffusion problems, the 2nd Research Meeting on the Techniques of Ocean Problems, Ocean press, 1996.

69.Weidong Zhao,

A new kind of modified characteristic finite element method and its convergent analysis for 2-D Burgers equations, Numerical Computation on Studies of High Scientific Techniques, 1996.

70.Yirang Yuan, Weidong Zhao, Aijie Cheng and Yuji Han,

Numerical method and software of numerical simulation of oil-gas resources, the Fourth Meeting of ASIAM’96, Fudan University Press, 1996.

71.Weidong Zhao,

Numerical analysis of the mixed finite element method combined with approximating characteristics for two dimensional Navier-Stokes equations, J. Shandong Univ., 30(1), 1995, pp. 30-42.

72.Weidong Zhao,

Convergence analysis of finite element method for the non-stationary thermistor problem. J. Shandong Univ., 29(4), 1994, pp. 361-367.

73.Weidong Zhao,

Numerical Analysis of mixed characteristic method for miscible two phase displacement in porous media, Discussing Meeting on Hydro Dynamics, Ocean press, 1994.

 


Visiting

·            Sep. 28 – Dec. 27, 2015, South University of Science and Technology, Shenzhen, China.

·            Jan. 2014, Institute of Computational Mathematics and Science Engineering Computing, Chinese Academy of Sciences, Beijing, China.

·            Dec. 2013, Institute of Computational Mathematics and Science Engineering Computing, Chinese Academy of Sciences, Beijing, China.

·            Sep. 17 – Sep. 22, 2013, Computer Science and Mathematics Division, Oak Ridge National Laboratory, USA.

·            Sep. 7 – Sep. 12, 2013, Department of Mathematics and Statistics, Auburn University, USA.

·            Sep.  – Nov. 2013, Department of Mathematics and Interdisciplinary Mathematical Institute, University of South Carolina, USA.

·            Jun. and Dec. 2012, Beijing Computational Science Research Center, Beijing, China.

·            Jul. 2011, Department of Mathematics, Loughborough University, UK.

·            Jan. – Jun. 2010, Department of Mathematics and Statistics, Auburn University, USA.

·            Jan. – Jun. 2008, School of Computing Science, Florida State University, USA.

·            Jan. 2005 – Jun. 2006, Department of Mathematics and Interdisciplinary Mathematical Institute, University of South Carolina, USA.

·            Jan. – Apr. 2004, Department of Mathematics and Statistics, York University, Canada.

·            Feb. – Dec. 2002, Department of Mathematics and Industrial Mathematical Laboratory, University of Bergen, Norway.

·            Apr. 2001 – Feb. 2002, Department of Mathematics and Industrial Mathematical Institute, University of South Carolina, USA. 


Curriculum Vitae (CV)


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