一. 学术研究成果
(1) 在金融数学领域的国际顶级学术期刊如: Mathematical Finance (MF), Finance and Stochastics (FS), SIAM Journal on Financial Mathematics(SIFIN) ; 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), ASTIN Bulletin(AB), North American Actuarial Journal (NAAJ); 概率论与随机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)等杂志上发表论文一百余篇.
(2) 在金融数学, 精算科学, 概率论与随机分析, 随机控制与优化及其交叉领域提出了原创性概念与体系及其挑战性数学问题, 做出了系列有重要影响原创体系的创新性基础研究成果. (a) 提出了连续系统奇异随机控制和正则-奇异随机控制问题的严格数学均衡博弈体系与框架，奠定了该领域早期发展阶段的严格数学理论体系；(b) 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; (c) 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; (d) 系统建立了隐式框架下投资组合均衡理论 ; (e) 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; (f) 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; (g) 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; (h) 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; (i) 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
[84]Guohui Guan, Yuting Jia, Zongxia Liang. Robust portfolio game under relative performance and state-dependent confidence sets. European Journal of Operational Research 334(3)(2026)924-941
[83] Guohui Guan, Lin He, Zongxia Liang, Litian Zhang. Optimal VPPI strategy under Omega ratio with stochastic benchmark. Annals of Operations Research 361(2026)609-636.
[82] Zongxia Liang, Xiang Yu, Keyu Zhang. On time-inconsistent extended mean-field control problems with common noise. Mathematics of Operations Research. Published Online:26 May 2026 https://doi.org/10.1287/moor.2024.0681.
[81] Xiaochen Chen, Guohui Guan, Zongxia Liang. Equilibrium portfolio selection under beliefs-dependent utilities. Mathematics of Operations Research. Published Online: 2 Sep 2025. https://doi.org/10.1287/moor.2024.0772 .
[80] Zongxia Liang, Zhaojie Ren, Bin Zou. Optimal reinsurance under endogenous default and background risk. ASTIN Bulletin 56(2)(2026)537-562.
[79] Bingzheng Chen, Zongxia Liang, Shunzhi Pang. Dynamic investment-driven insurance pricing and optimal regulation. Insurance: Mathematics and Economics 125(2025)103160.
[78] Lin He, Yuting Jia, Zongxia Liang, Sheng Wang. Dynamic optimal adjustment policies of hybrid pension plans under habitual persistence. Mathematics and Financial Economics 20(1)(2026)1-45 https://doi.org/10.1007/s11579-025-00399-x
[77] Guohui Guan, Zongxia Liang. N-agentheterogeneous investment-consumption game underα-maxmin mean-variance utility criterion. Journal of Optimization Theory and Applications 208,7(2026).
[76] Guohui Guan, Zongxia Liang and Yilun Song. The continuous-time pre-commitment KMM problem in incomplete markets. The Annals of Applied Probability 35(4)(2025) 2923-2966.
[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 mean-variance stochastic differential reinsurance and investment games under volatility risk and model uncertainty. Scandinavian Actuarial Journal 2026(1)(2026)94-134.
[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 16(3)(2025)912-958.
[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 19(3)(2025)537-581.
[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 50(3)(2025):2405-2432.
[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 (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.
