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Hu Jianqiang

HongYi Chair Professor
Department of Management Science
Room 508, Siyuan Building
25011177(TEL)
65642412(FAX)
hujq@fudan.edu.cn
Research Field:Monte Carlo Simulation, Stochastic Optimization, Healthcare, Financial Derivative Pricing and Risk Management, Supply Chain Management


Educational Background
Ph.D, Applied Mathematics, Harvard University, USA
Bachelor, Applied Mathematics, Fudan University


Awards on Teaching
2011.09, The Second Selection of Top 100 Excellent Management Cases , China National MBA Education Supervisory Committee


Title of Honour
2011.12, "Excellent Instructor" of Fuhua Award of Fudan Univeristy, Fudan University


Journal Papers
1. Yanfeng Wu, Jianqiang Hu, and Xinsheng Zhang2019Moment estimators for the parameters of Ornstein-Uhlenbeck processes driven by compound Poisson processesDiscrete Event Dynamic Systems 29(1) 57-77 
2. Yijie Peng, Chun-Hung Chen, Michael C. Fu, and Jian-Qiang Hu2018Gradient-based myopic allocation policy: An efficient sampling procedure in a low-confidence scenarioIEEE Transactions on Automatic Control 63(9) 3091-3097 
3. Lei Lei, Yijie Peng, Michael C. Fu, and Jian-Qiang Hu2018Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulationDiscrete Event Dynamic Systems 28(1) 109–125 
4. Yijie Peng, Michael C. Fu, Jian-Qiang Hu, and Bernd Heidergott2018A new unbiased stochastic derivative estimator for discontinuous sample performances with structural parametersOperations Research 66(2) 487-499 
5. Chenghu Ma, Jianqiang Hu, and Yifan Xu2018Margins on short sales and equilibrium price indeterminacyJournal of Mathematical Economics 74 79-92 
6. Jun Tong, Jianqiang Hu, and Jiaqiao Hu2017A computational algorithm for equilibrium asset pricing under heterogeneous information and short-sale constraintsAsia-Pacific Journal of Operational Research 34(5) 1-16 
7. Jun Tong, Jiaqiao Hu, and Jianqiang Hu2017Computing equilibrium prices for a capital asset pricing model with heterogeneous beliefs and margin-requirement constraintsEuropean Journal of Operational Research 256(1) 24-34 
8. Chenbo Zhu, Jie Xu, Chun-Hung Chen, and Jianqiang Hu2016Balancing search and estimation in random search based stochastic simulation optimizationIEEE Transactions on Automatic Control 61(11) 3593-3598 
9. Jianqiang Hu, Cheng Zhang, and Chenbo Zhu2016(s, S) Inventory systems with correlated demandsINFORMS Journal on Computing 28(4) 603-611 
10. Yijie Peng, Michael C. Fu, and Jianqiang Hu2016Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functionsQuantitative Finance 16(9) 1393-1411 
11. Yijie Peng, Chun-Hung Chen, Michael Fu, and J.Q. Hu2016Dynamic sampling allocation and design selectionINFORMS Journal on Computing 28(2) 195-208 
12. Yijie Peng, Michael Fu, and Jianqiang Hu2014Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein–Uhlenbeck stochastic volatility modelsQuantitative Finance 14(8) 1399-1414 
13. Yijie Peng, Chun-Hung Chen, Michael Fu, and Jianqiang Hu2013Efficient simulation resource sharing and allocation for selecting the bestIEEE Transactions on Automatic Control 58(4) 1017-1023 
14. Rachel Chen, Jianqiang Hu, and Yijie Peng2012Simulation of Levy-Driven models and its application in financeNumerical Algebra, Control and Optimization 2(4) 749-765 
15. Zhu, Chenbo, J.Q. Hu, Fengchun Wang, Yifan Xu, and Rongzeng Cao2012On the tour planning problemAnnals of Operations Research 192(1) 67-86 
16. Min Chen, Jianqiang Hu, Michael C. Fu2010Perturbation Analysis of a Dynamic Priority Call CenterIEEE Transactions on Automatic Control 55(5) 1191-1196 
17. Michael C. Fu, L.Jeff Hong, Jianqiang Hu2009Conditional Monte Carlo Estimation of Quantile SensitivitiesManagement Science Vol.55(12) 2019-2027 
18. Jianqiang Hu, Pirooz Vakili, Chenming Zhao2009Revenue Maximisation in Networks with Capacity ConstraintsInternational Journal of Revenue Management Vol.3(4) 371-392 
19. Fu, M.C., Hu, J.Q., Chen, C.H. and Xiong, X.P.2007Simulation Allocation for Determining the Best Design in the Presence of Correlated SamplingINFORMS Journal on Computing Vol.19(1) 101-111 
20. Hu, J.Q., Vakili, P., and Huang, L.2004Capacity and Production Management in a Single Product Manufacturing SystemsAnnals of Operation Research Vol.125 191-204 
21. Hu, J.Q.2003Diverse Routing In Mesh Optical NetworksIEEE Transactions on Communications Vol.51(3) 489-494 
22. Hu, J.Q.2002Traffic Grooming in Wavelength-division-multiplexing Ring Networks: a Linear Programming SolutionJournal of Optical Networking Vol.1(11) 397-408 
23. Hu, J.Q.2002Optimal Traffic Grooming for Wavelength-Division-Multiplexing Rings with All-to-All Uniform TrafficJournal of Optical Networking Vol.1(1) 32-42 
24. Girish, M. k., and Hu, J.Q.2001Approximations for the Departure Process of the G/G/1 Queue with Markov-modulated ArrivalsEuropean Journal of Operational Research Vol.134(3) 540-556 
25. Girish, M., and Hu, J.Q.2000Higher Order Approximations for the Single Server Queue with Splitting, Merging, and FeedbackEuropean Journal of Operational Research Vol.124(2) 447-467 
26. Girish, M., Hu, J.Q.1997An Interpolation Approximation for the GI/G/1 Queue Based on Multi-Point Pade ApproximationQueuing Systems Vol.(26) 269-284 
27. Girish, M., Hu, J.Q.1996High Order Approximations for Tandem Queuing NetworksQueuing Systems Vol.(22) 249-276 
28. L. Huang, J.Q. Hu, P. Vakili1996Optimal Control of a Failure Prone Manufacturing System with the Possibility of Temporary Increase in Production CapacitySpringer-Verlag  31-60 
29. Hu, J.Q.1996The Departure Process of The GI/G/1 Queue and Its MacLaurin SeriesOperations Research Vol.44(5) 810-815 
30. Hu, J.Q., Xiang, D.1995Monotonicity of Optimal Flow Controls for Failure Prone Production SystemsJournal of Optimization Theory and Applications Vol.86(1) 57-71 
31. Hu, J.Q., Xiang, D.1995Optimal Control for Systems with Deterministic Production CyclesIEEE Transactions on Automatic Control Vol.40(4) 782-786 
32. Hu, J.Q.1995Production Rate Control for Failure Prone Production Systems with No Backlog PermittedIEEE Transactions on Automatic Control Vol.40(2) 291-295 
33. Liberopoulos, G., Hu, J.Q.1995On the Ordering of Hedging Points in a Class of Manufacturing Flow Control ModelsIEEE Transactions on Automatic Control Vol.40(2) 282-286 
34. Hu, J.Q.1995Analyticity of Single–Server Queues in Light TrafficQueuing Systems Vol.(19) 63-80 
35. Hu, J.Q., Vakili, P., Yu, G.X.1994Optimality of Hedging Point Policy for Failure Prone Manufacturing SystemsIEEE Transactions on Automatic Control Vol.39(9) 1875-1880 
36. Hu, J.Q., Xiang, D.1994Structural Properties of Optimal Controllers for Failure Prone Manufacturing SystemsIEEE Transactions on Automatic Control Vol.39(3) 640-642 
37. Hu, J.Q., Nananuku, S., Gong, W.B.1994A New Approach to (s,S) Inventory ProblemsJournal of Applied Probability Vol.(30) 898-912 
38. Fu, M.C., Hu, J.Q.1994Smoothed Perturbation Analysis Derivative Estimation for Markov ChainsOperations Research Letters Vol.(15) 241-251 
39. Fu, M.C. ,Hu, J.Q.1994(s, S) Inventory Systems with Random Lead Times: Harris Recurrence and Its Implication in Sensitivity AnalysisEngineering and Information Sciences Vol.8(3) 355-376 
40. Hu, J.Q., Xiang, D.1993The Queuing Equivalence to a Manufacturing System with FailuresIEEE Transactions on AC Vol.38(3) 499-502 
41. Hu, J.Q., M. Zazanis1993A Sample Path Analysis of M/GI/1 Queues with Workload RestrictionsQueuing Systems Vol.(14) 203-213 
42. Gong, W.B., Hu, J.Q.1992The MacLaurin Series for the GI/G/1 QueueJournal of Applied Probability (29) 176-184 
43. Ho, Y.C., Hu, J.Q.1990An Infinitesimal Perturbation Analysis Algorithm for a Multiclass G/G/1 QueueOperations Research Letters Vol.(9) 35-44 
44. Ruidi Chen, Yijie Peng, and Jianqiang Hu2013Simulation of Lévy-driven models and its application in financeOperations Research Transactions 17(1) 1-9(in Chinese) 


Conference Proceedings
1. Yijie Peng, Michael C. Fu, Peter W. Glynn, and Jianqiang Hu2017On the asymptotic anlysis of quantile sensitivity estimation by monte carlo simulationProceedings of the 2017 Winter Simulation Conference Las Vegas, USA 2336-2347 
2. Yijie Peng, Michael C. Fu, and Jianqiang Hu2016On the Regularity Conditions and Applications for Generalized Likelihood Ratio MethodThe 2016 Winter Simulation Conference Washington D.C, USA 919-930 
3. Yijie Peng, Chun-Hung Chen, Michael Fu, and J.Q. Hu2015Non-monotonicity of probability of correct selectionProceedings of the 2015 Winter Simulation Conference  3678-3689 
4. Chenbo Zhu, Jie Xu, Chen, Chun-Hung, Loo Hay Lee, and Jianqiang Hu2013Determining the optimal sampling set size for random searchProceedings of 2013 Winter Simulation Conference  1016-1024 
5. Yijie Peng, Chun-Hung Che, Michael Fu, and J.Q. Hu 2013Policy perspective of statistics selection procedureProceedings of the 2013 Winter Simulation Conference  908-921 
6. Hu, Yingjie, Jianqiang Hu, Yifan Xu, Fengchun Wang, and Rongzeng Cao2010Contamination control in food supply chain Baltimore 2678-2681 
7. Hu, Jianqiang, Jun Tong, Tie Liu, Rongzeng Cao, and Bo Yang2010A two-level loan portfolio optimization problem Baltimore 2614-2619 


Papers in Books
Hu, J.Q..Mathematical Programming Approaches.In Rudra Dutta, Ahmed E. Kamal, George N.Rouskas etc..Springer.USA,2008


Research Projects
2018.01—2022.12, Principal Investigator, Simulation Optimization Theory and Its Applications in Complex Management Systems, National Natural Science Foundation of China
2017.11—2018.07, Co-PI, Big Data Analysis in Airline Flight Management, China Eastern Airlines Co. Ltd.
2016.01—2019.12, Principal Investigator, Simulation Optimization: Theory and Applications, National Natural Science Foundation of China
2015.11—2018.12, Co-PI, Big Data Driven Treatment for Heart Disease, Jointown Pharmaceutical Group
2014.06—2015.05, Principal Investigator, Simulation Based Methods and Their Applications to Manufacturing Systems, Samsung Electronics Co., Ltd
2011.12—2012.06, Principal Investigator, Implementation of Supplier Diversity Program, IBM Engzneering Technology(Shanghai)Co.,LTD.
2011.01—2013.12, Principal Investigator, Simulation Based Risk Management and Portfolio Optimization, National Natural Science Foundation of China
2011.01—2013.12, Principal Investigator, Combining Simulation and Optimization with Applications in Financial Risk Management, National Natural Science Foundation of China
2011.01—2012.12, Principal Investigator, Simulation Based Model Reference Adaptive Search Method: Theory and Applications, National Natural Science Foundation of China
2010.06—2011.06, Principal Investigator, Risk Detection and Control in Food Supply Network, IBM China Research Institute
2009.10—2010.08, Principal Investigator, Risk Detection in Food Chain, IBM China Research Institute
2009.08—2010.08, Principal Investigator, Risk Management in the Financial Services Industry, IBM
2009.07—2011.07, Principal Investigator, Risk Management of New Financial Derivatives, Shanghai Pujiang Talent Program
2008.10—2009.08, Principal Investigator, Pharmaceutical Supply Chain in China: Challenges and Opportunities, CAPS Research Web site
2008.08—2009.08, Principal Investigator, Travel Service Ecosystem, IBM China Research Laboratory


Academic Posts
2008.01—2008.11, associate editor, Automatica


Academic Conferences
2009.08—2009.08 2009 INFORMS International Conference on Service Science, Hong Kong SAR
2005.10—2005.10 2005 MILCOM, Atlantic City, NJ
2004.12—2004.12 2004 43rd IEEE Conference on Decision and Control (CDC), Nassau,Bahamas
2004.03—2004.03 2004 Winter Simulation Conference,, Hong Kong
2004.03—2004.03 INFOCOM 2004 23 Annual Joint Conference of the IEEE Computer and Communications Societies, Hong Kong
2003.10—2003.10 3rd IEEE Workshop on IP Operations and Management,
1999.12—1999.12 Proceedings of the 38th IEEE Conference on Decision and Control, Phoenix, AZ
1999.04—1999.04 Proceedings of the 1999 Enabling Technology for Simulation Science III, Orlando, FL



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