國立中央大學教師履歷平台

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孫立憲

Sun, Li-Hsien

tpsun7246@gmail.com

其他補助

舉辦The 8th Asian Quantitative Finance Conference (AQFC)研討會
1130808~1130815
[無 , 無]

國科會計畫統計

非線性時間序列模型下的即時線上改變點偵測
1140801~1150731
非線性時間序列模型下的即時線上改變點偵測
1130801~1140731
非線性時間序列模型下的即時線上改變點偵測
1120801~1130731
金融系統性風險與過度自信：強化學習框架下的隨機環境及部分資訊銀行借貸系統
1110801~1121031
[金融系統風險，過度自信，銀行借貸系統，強化學習，隨機環境，部份資訊，納許均衡 , Systemic risk,overconfidence,interbank lending and borrowing,reinforcement learning,stochastic environment,partial information,Nash equilibrium]
金融系統性風險與過度自信：強化學習框架下的隨機環境及部分資訊銀行借貸系統
1100801~1110731
[金融系統風險，過度自信，銀行借貸系統，強化學習，隨機環境，部份資訊，納許均衡 , Systemic risk,overconfidence,interbank lending and borrowing,reinforcement learning,stochastic environment,partial information,Nash equilibrium]
金融系統性風險與泡沫資產下之隨機賽局
1090801~1100731
[系統風險,變異群組隨機賽局,銀行借貸系統,納許均衡,泡沫資產 , Systemic risk,inter-bank borrowing and lending system,heterogeneous group,relative performance,bubble asset,Nash equilibrium,Mean Field Game]
金融系統性風險與泡沫資產下之隨機賽局
1080801~1090731
[系統風險,變異群組隨機賽局,銀行借貸系統,納許均衡,泡沫資產 , Systemic risk,inter-bank borrowing and lending system,heterogeneous group,relative performance,bubble asset,Nash equilibrium,Mean Field Game]
投資組合最佳化
1070801~1080731
[延遲因子模型,最佳化,隨機微分方程,高頻交易,隨機賽局,相對表現,納許均衡 , Delay factor model, optimization, coupled forward and backward stochastic differential equations, high frequency trading, stochastic differential games, relative performance, Nash equilibrium]
財務系統風險與銀行借貸系統
1060801~1070731
財務系統風險與隨機延遲賽局
1050801~1060731

產學合作計畫統計

資源數據分析與統計報告產學合作計畫
1140901~1141031
[雙樣本檢定,改變點偵測 , two sample t test,change point detection]
勝圖國際企業股份有限公司系統架構與統計諮訊服務案
1140101~1141231
[黏著度分析,線性迴歸模型,羅吉斯迴歸模型 *計畫英文關鍵詞 , stickiness,generalized linear regressio,logistic regression model]
勝圖國際企業股份有限公司系統資訊安全架構諮訊服務案
1130101~1131231
[黏著度分析,線性迴歸模型,羅吉斯迴歸模型 , stickiness,generalized linear regression model,logistic regression model]
金融衍生品市場之金融科技先期研究
1100701~1110630
[財務工程,金融科技,程式交易 , Financial engineering,Financial technology,Algorithm trading]

期刊著作

Change point estimation for finite mixture normal time series based on copula-based Markov chain models
中國統計學報 Journal of the Chinese Statistical Association, 63, 4, 337-363, 2025-11-26
[ Change point,copula,Markov chain,mixture Gaussian time series ]
Detecting Structural Shifts and Estimating Single Change-Points in Interval-Based Time Series
Statistics and Computing, 35, 5, 2025-10-01
[ Change-point estimation,Interval-valued time series,Parametric bootstrap,Stochastic differential equation ]
Partial Information in a Mean-Variance Portfolio Selection Game
Mathematical Finance, 2025-09-22
[ filtering,mean-variance portfolio selection,partial information,relative performance criteria,regime switching,soft inter-personal equilibria ]
Pricing formulas for American perpetual knock-out and callable volatility options
Communications in Statistics Part B: Simulation and Computation, 2025-03-21
[ American option,Callable option,Mean-reverting process,Ordinary differential equation,Volatility option ]
Change point estimation for Gaussian time series data with copula-based Markov chain models
Computational Statistics, 40, 3, 1541-1581, 2025-03-01
[ Change point,Copula,Gaussian time series,Markov chain,Sequential analysis,Serial dependence ]
Cabinet Stability under Taiwan's Semi-presidentialism: A Power-law Analysis
Taiwan Journal of Democracy, 21, 1, 123-157, 2025-01-01
[ Cabinet stability,Governance,Power law,President-parliament congruence,President-parliament incongruence,Taiwan,Semi-presidentialism ]
Changepoint detection in Gaussian sequential data with copula-based Markov chain models in an online environment
Journal of Statistical Computation and Simulation, 95, 9, 2117-2144, 2025-01-01
[ Bayesian inference,copula,Markov model,Online changepoint detection,serial dependence ]
Testing unconditional and conditional independence via mutual information
Journal of Econometrics, 240, 2, 2024-03-01
[ Convex optimization,Density ratio,Independence test,Mutual information ]
Formulas for pricing American VIX options under the generalized mixture volatility models
Communications in Statistics Part B: Simulation and Computation, 53, 12, 5952-5972, 2024-01-01
[ American options,Free boundary problem,General mixture models,Generalized 3/2 and 1/2 models,Quadratic approximation ]
The Pareto type I joint frailty-copula model for clustered bivariate survival data
Communications in Statistics Part B: Simulation and Computation, 53, 4, 2006-2030, 2024-01-01
[ Censoring: multivariate survival analysis,Copula,Pareto distribution,Shared frailty model,Truncation ]
OPTIMAL INVESTMENT AND REINSURANCE OF INSURERS WITH LOGNORMAL STOCHASTIC FACTOR MODEL
Mathematical Control and Related Fields, 12, 2, 531-566, 2022-06-01
[ Asset management,HJB equation,Lognormal interest rate,Risk-sensitive control ]
Change point estimation under a copula-based Markov chain model for binomial time series
Econometrics and Statistics, 2022-01-01
Mean Field Games with Heterogeneous Groups: Application to Banking Systems
Journal of Optimization Theory and Applications, 192, 1, 130-167, 2022-01-01
[ Heterogeneous group,Inter-bank borrowing and lending system,Mean field game,Nash equilibrium,Relative ensemble average,Systemic risk ]
Estimation under copula-based Markov normal mixture models for serially correlated data
Communications in Statistics Part B: Simulation and Computation, 50, 12, 4483-4515, 2021-01-01
A Bayesian inference for time series via copula-based Markov chain models
Communications in Statistics Part B: Simulation and Computation, 49, 11, 2897-2913, 2020-01-01
[ Bayesian inference,Clayton copula,Markov chain Monte Carlo,Metropolis-Hastings algorithm,Nonstandardized Student’s t-distribution ]
Fitting competing risks data to bivariate Pareto models
Communications in Statistics - Theory and Methods, 48, 5, 1193-1220, 2019-03-04
[ Bivariate Pareto distribution , Frank copula , Kendall's tau , Newton-Raphson algorithm , Survival analysis ]
Modeling financial interval time series
PLoS ONE, 14, 2, 2019-02-01
Systemic Risk and Interbank Lending
Journal of Optimization Theory and Applications, 179, 2, 400-424, 2018-11-01
[ Feller diffusion , Inter lending system , Linear quadratic regulator , Mean Field Game , Nash equilibrium , Stochastic game , Systemic risk ]
Systemic Risk and Stochastic Games with Delay
Journal of Optimization Theory and Applications, 179, 2, 366-399, 2018-11-01
[ Inter-bank borrowing and lending , Nash equilibrium , Stochastic game with delay , Systemic risk ]
SYSTEMIC RISK AND STOCHASTIC GAME WITH A CENTRAL BANK
中國統計學報 Journal of the Chinese Statistical Association, 55, 1-19, 2017-12-01
[ Systemic risk,interbank borrowing and lending,stochastic game,Nash equilibrium,central bank ]
R routines for performing estimation and statistical process control under copula-based time series models
Communications in Statistics Part B: Simulation and Computation, 46, 4, 3067-3087, 2017-04-21
[ Clayton copula , Joe copula , Newton–Raphson algorithm , Shewhart control chart ]
Mean field games and systemic risk
Communications in Mathematical Sciences, 13, 4, 911-933, 2015-01-01
[ Inter-bank borrowing and lending , Mean field game , Nash equilibrium , Stochastic games , Systemic risk ]

研討會著作

Mean field social optimization: Feedback person-by-person optimality and the master equation
4921-4926, 2020-12-14

專書

Copula-Based Markov Models for Time Series: Parametric Inference and Process Control
131, 2020-07-01
[ Copula, Maximum Likelihood Estimator, Serial Correlation, Markov Chain, Serial Dependence, Statistical Process Control, Statistical Process Control ]

校外榮譽

114 [國際統計學會 ( ISI )] 國際統計學會 Elected Member
112 [國家科學及技術委員會] 優秀年輕學者研究計畫

校內獲獎

115 研究傑出獎
114 研究傑出獎
104 新進教師補助

期刊編輯

114 ~ 115 Journal of Statistical Computation and Simulation ISSN 0094-9655 EISSN 1563-5163
副編輯
114 ~ 115 Measurement ISSN 1536-6367 EISSN 1536-6359
副編輯
114 ~ 115 中國統計學報 Journal of the Chinese Statistical Association ISSN 0529-6528
副編輯
113 ~ 114 Journal of Statistical Computation and Simulation ISSN 0094-9655 EISSN 1563-5163
副編輯
113 ~ 114 Measurement ISSN 1536-6367 EISSN 1536-6359
副編輯
112 ~ 113 Journal of Statistical Computation and Simulation ISSN 0094-9655 EISSN 1563-5163
副編輯
112 ~ 113 Measurement ISSN 1536-6367 EISSN 1536-6359
副編輯
112 ~ 112 Measurement ISSN 1536-6367 EISSN 1536-6359
副編輯
111 ~ 112 Journal of Statistical Computation and Simulation ISSN 0094-9655 EISSN 1563-5163
副編輯

著作審查：

113 ~ 113 Statistics and Computing ISSN 0960-3174 EISSN 1573-1375
著作審查
111 ~ 111 Stochastic Processes and their Applications ISSN 0304-4149 EISSN 1879-209X
著作審查
110 ~ 110 Journal of Machine Learning Research ISSN 1532-4435 EISSN 1533-7928
著作審查
108 ~ 108 IEEE Transactions on Reliability ISSN 0018-9529 EISSN 1558-1721
著作審查
108 ~ 108 SIAM Journal on Control and Optimization ISSN 0363-0129 EISSN 1095-7138
著作審查
107 ~ 107 SIAM Journal on Financial Mathematics ISSN 1945-497X EISSN 1945-497X
著作審查

孫立憲

Sun, Li-Hsien

現職

專長

專長簡述

最高學歷

相關連結

科技部學門領域

政府GRB研究專長領域

教育部學門領域

其他補助

舉辦The 8th Asian Quantitative Finance Conference (AQFC)研討會 1130808~1130815 [無 , 無]

國科會計畫統計

非線性時間序列模型下的即時線上改變點偵測 1140801~1150731

非線性時間序列模型下的即時線上改變點偵測 1130801~1140731

非線性時間序列模型下的即時線上改變點偵測 1120801~1130731

金融系統性風險與泡沫資產下之隨機賽局 1090801~1100731 [系統風險,變異群組隨機賽局,銀行借貸系統,納許均衡,泡沫資產 , Systemic risk,inter-bank borrowing and lending system,heterogeneous group,relative performance,bubble asset,Nash equilibrium,Mean Field Game]

金融系統性風險與泡沫資產下之隨機賽局 1080801~1090731 [系統風險,變異群組隨機賽局,銀行借貸系統,納許均衡,泡沫資產 , Systemic risk,inter-bank borrowing and lending system,heterogeneous group,relative performance,bubble asset,Nash equilibrium,Mean Field Game]

財務系統風險與銀行借貸系統 1060801~1070731

財務系統風險與隨機延遲賽局 1050801~1060731

產學合作計畫統計

資源數據分析與統計報告產學合作計畫 1140901~1141031 [雙樣本檢定,改變點偵測 , two sample t test,change point detection]

勝圖國際企業股份有限公司系統架構與統計諮訊服務案 1140101~1141231 [黏著度分析,線性迴歸模型,羅吉斯迴歸模型 *計畫英文關鍵詞 , stickiness,generalized linear regressio,logistic regression model]

勝圖國際企業股份有限公司系統資訊安全架構諮訊服務案 1130101~1131231 [黏著度分析,線性迴歸模型,羅吉斯迴歸模型 , stickiness,generalized linear regression model,logistic regression model]

金融衍生品市場之金融科技先期研究 1100701~1110630 [財務工程,金融科技,程式交易 , Financial engineering,Financial technology,Algorithm trading]

期刊著作

Change point estimation for finite mixture normal time series based on copula-based Markov chain models 中國統計學報 Journal of the Chinese Statistical Association, 63, 4, 337-363, 2025-11-26 [ Change point,copula,Markov chain,mixture Gaussian time series ]

Detecting Structural Shifts and Estimating Single Change-Points in Interval-Based Time Series Statistics and Computing, 35, 5, 2025-10-01 [ Change-point estimation,Interval-valued time series,Parametric bootstrap,Stochastic differential equation ]

Partial Information in a Mean-Variance Portfolio Selection Game Mathematical Finance, 2025-09-22 [ filtering,mean-variance portfolio selection,partial information,relative performance criteria,regime switching,soft inter-personal equilibria ]

Pricing formulas for American perpetual knock-out and callable volatility options Communications in Statistics Part B: Simulation and Computation, 2025-03-21 [ American option,Callable option,Mean-reverting process,Ordinary differential equation,Volatility option ]

Change point estimation for Gaussian time series data with copula-based Markov chain models Computational Statistics, 40, 3, 1541-1581, 2025-03-01 [ Change point,Copula,Gaussian time series,Markov chain,Sequential analysis,Serial dependence ]

Cabinet Stability under Taiwan's Semi-presidentialism: A Power-law Analysis Taiwan Journal of Democracy, 21, 1, 123-157, 2025-01-01 [ Cabinet stability,Governance,Power law,President-parliament congruence,President-parliament incongruence,Taiwan,Semi-presidentialism ]

Changepoint detection in Gaussian sequential data with copula-based Markov chain models in an online environment Journal of Statistical Computation and Simulation, 95, 9, 2117-2144, 2025-01-01 [ Bayesian inference,copula,Markov model,Online changepoint detection,serial dependence ]

Testing unconditional and conditional independence via mutual information Journal of Econometrics, 240, 2, 2024-03-01 [ Convex optimization,Density ratio,Independence test,Mutual information ]

The Pareto type I joint frailty-copula model for clustered bivariate survival data Communications in Statistics Part B: Simulation and Computation, 53, 4, 2006-2030, 2024-01-01 [ Censoring: multivariate survival analysis,Copula,Pareto distribution,Shared frailty model,Truncation ]

OPTIMAL INVESTMENT AND REINSURANCE OF INSURERS WITH LOGNORMAL STOCHASTIC FACTOR MODEL Mathematical Control and Related Fields, 12, 2, 531-566, 2022-06-01 [ Asset management,HJB equation,Lognormal interest rate,Risk-sensitive control ]

Change point estimation under a copula-based Markov chain model for binomial time series Econometrics and Statistics, 2022-01-01

Mean Field Games with Heterogeneous Groups: Application to Banking Systems Journal of Optimization Theory and Applications, 192, 1, 130-167, 2022-01-01 [ Heterogeneous group,Inter-bank borrowing and lending system,Mean field game,Nash equilibrium,Relative ensemble average,Systemic risk ]

Estimation under copula-based Markov normal mixture models for serially correlated data Communications in Statistics Part B: Simulation and Computation, 50, 12, 4483-4515, 2021-01-01

Fitting competing risks data to bivariate Pareto models Communications in Statistics - Theory and Methods, 48, 5, 1193-1220, 2019-03-04 [ Bivariate Pareto distribution , Frank copula , Kendall's tau , Newton-Raphson algorithm , Survival analysis ]

Modeling financial interval time series PLoS ONE, 14, 2, 2019-02-01

Systemic Risk and Interbank Lending Journal of Optimization Theory and Applications, 179, 2, 400-424, 2018-11-01 [ Feller diffusion , Inter lending system , Linear quadratic regulator , Mean Field Game , Nash equilibrium , Stochastic game , Systemic risk ]

Systemic Risk and Stochastic Games with Delay Journal of Optimization Theory and Applications, 179, 2, 366-399, 2018-11-01 [ Inter-bank borrowing and lending , Nash equilibrium , Stochastic game with delay , Systemic risk ]

SYSTEMIC RISK AND STOCHASTIC GAME WITH A CENTRAL BANK 中國統計學報 Journal of the Chinese Statistical Association, 55, 1-19, 2017-12-01 [ Systemic risk,interbank borrowing and lending,stochastic game,Nash equilibrium,central bank ]

R routines for performing estimation and statistical process control under copula-based time series models Communications in Statistics Part B: Simulation and Computation, 46, 4, 3067-3087, 2017-04-21 [ Clayton copula , Joe copula , Newton–Raphson algorithm , Shewhart control chart ]

Mean field games and systemic risk Communications in Mathematical Sciences, 13, 4, 911-933, 2015-01-01 [ Inter-bank borrowing and lending , Mean field game , Nash equilibrium , Stochastic games , Systemic risk ]

研討會著作

Mean field social optimization: Feedback person-by-person optimality and the master equation 4921-4926, 2020-12-14

專書

Copula-Based Markov Models for Time Series: Parametric Inference and Process Control 131, 2020-07-01 [ Copula, Maximum Likelihood Estimator, Serial Correlation, Markov Chain, Serial Dependence, Statistical Process Control, Statistical Process Control ]

校外榮譽

校內獲獎

期刊編輯

著作審查：

舉辦The 8th Asian Quantitative Finance Conference (AQFC)研討會
1130808~1130815
[無 , 無]

非線性時間序列模型下的即時線上改變點偵測
1140801~1150731

非線性時間序列模型下的即時線上改變點偵測
1130801~1140731

非線性時間序列模型下的即時線上改變點偵測
1120801~1130731

金融系統性風險與泡沫資產下之隨機賽局
1090801~1100731
[系統風險,變異群組隨機賽局,銀行借貸系統,納許均衡,泡沫資產 , Systemic risk,inter-bank borrowing and lending system,heterogeneous group,relative performance,bubble asset,Nash equilibrium,Mean Field Game]

金融系統性風險與泡沫資產下之隨機賽局
1080801~1090731
[系統風險,變異群組隨機賽局,銀行借貸系統,納許均衡,泡沫資產 , Systemic risk,inter-bank borrowing and lending system,heterogeneous group,relative performance,bubble asset,Nash equilibrium,Mean Field Game]

財務系統風險與銀行借貸系統
1060801~1070731

財務系統風險與隨機延遲賽局
1050801~1060731

資源數據分析與統計報告產學合作計畫
1140901~1141031
[雙樣本檢定,改變點偵測 , two sample t test,change point detection]

勝圖國際企業股份有限公司系統架構與統計諮訊服務案
1140101~1141231
[黏著度分析,線性迴歸模型,羅吉斯迴歸模型 *計畫英文關鍵詞 , stickiness,generalized linear regressio,logistic regression model]

勝圖國際企業股份有限公司系統資訊安全架構諮訊服務案
1130101~1131231
[黏著度分析,線性迴歸模型,羅吉斯迴歸模型 , stickiness,generalized linear regression model,logistic regression model]

金融衍生品市場之金融科技先期研究
1100701~1110630
[財務工程,金融科技,程式交易 , Financial engineering,Financial technology,Algorithm trading]

Change point estimation for finite mixture normal time series based on copula-based Markov chain models
中國統計學報 Journal of the Chinese Statistical Association, 63, 4, 337-363, 2025-11-26
[ Change point,copula,Markov chain,mixture Gaussian time series ]

Detecting Structural Shifts and Estimating Single Change-Points in Interval-Based Time Series
Statistics and Computing, 35, 5, 2025-10-01
[ Change-point estimation,Interval-valued time series,Parametric bootstrap,Stochastic differential equation ]

Partial Information in a Mean-Variance Portfolio Selection Game
Mathematical Finance, 2025-09-22
[ filtering,mean-variance portfolio selection,partial information,relative performance criteria,regime switching,soft inter-personal equilibria ]

Pricing formulas for American perpetual knock-out and callable volatility options
Communications in Statistics Part B: Simulation and Computation, 2025-03-21
[ American option,Callable option,Mean-reverting process,Ordinary differential equation,Volatility option ]

Change point estimation for Gaussian time series data with copula-based Markov chain models
Computational Statistics, 40, 3, 1541-1581, 2025-03-01
[ Change point,Copula,Gaussian time series,Markov chain,Sequential analysis,Serial dependence ]

Cabinet Stability under Taiwan's Semi-presidentialism: A Power-law Analysis
Taiwan Journal of Democracy, 21, 1, 123-157, 2025-01-01
[ Cabinet stability,Governance,Power law,President-parliament congruence,President-parliament incongruence,Taiwan,Semi-presidentialism ]

Changepoint detection in Gaussian sequential data with copula-based Markov chain models in an online environment
Journal of Statistical Computation and Simulation, 95, 9, 2117-2144, 2025-01-01
[ Bayesian inference,copula,Markov model,Online changepoint detection,serial dependence ]

Testing unconditional and conditional independence via mutual information
Journal of Econometrics, 240, 2, 2024-03-01
[ Convex optimization,Density ratio,Independence test,Mutual information ]

The Pareto type I joint frailty-copula model for clustered bivariate survival data
Communications in Statistics Part B: Simulation and Computation, 53, 4, 2006-2030, 2024-01-01
[ Censoring: multivariate survival analysis,Copula,Pareto distribution,Shared frailty model,Truncation ]

OPTIMAL INVESTMENT AND REINSURANCE OF INSURERS WITH LOGNORMAL STOCHASTIC FACTOR MODEL
Mathematical Control and Related Fields, 12, 2, 531-566, 2022-06-01
[ Asset management,HJB equation,Lognormal interest rate,Risk-sensitive control ]

Change point estimation under a copula-based Markov chain model for binomial time series
Econometrics and Statistics, 2022-01-01

Mean Field Games with Heterogeneous Groups: Application to Banking Systems
Journal of Optimization Theory and Applications, 192, 1, 130-167, 2022-01-01
[ Heterogeneous group,Inter-bank borrowing and lending system,Mean field game,Nash equilibrium,Relative ensemble average,Systemic risk ]

Estimation under copula-based Markov normal mixture models for serially correlated data
Communications in Statistics Part B: Simulation and Computation, 50, 12, 4483-4515, 2021-01-01

Fitting competing risks data to bivariate Pareto models
Communications in Statistics - Theory and Methods, 48, 5, 1193-1220, 2019-03-04
[ Bivariate Pareto distribution , Frank copula , Kendall's tau , Newton-Raphson algorithm , Survival analysis ]

Modeling financial interval time series
PLoS ONE, 14, 2, 2019-02-01

Systemic Risk and Interbank Lending
Journal of Optimization Theory and Applications, 179, 2, 400-424, 2018-11-01
[ Feller diffusion , Inter lending system , Linear quadratic regulator , Mean Field Game , Nash equilibrium , Stochastic game , Systemic risk ]

Systemic Risk and Stochastic Games with Delay
Journal of Optimization Theory and Applications, 179, 2, 366-399, 2018-11-01
[ Inter-bank borrowing and lending , Nash equilibrium , Stochastic game with delay , Systemic risk ]

SYSTEMIC RISK AND STOCHASTIC GAME WITH A CENTRAL BANK
中國統計學報 Journal of the Chinese Statistical Association, 55, 1-19, 2017-12-01
[ Systemic risk,interbank borrowing and lending,stochastic game,Nash equilibrium,central bank ]

R routines for performing estimation and statistical process control under copula-based time series models
Communications in Statistics Part B: Simulation and Computation, 46, 4, 3067-3087, 2017-04-21
[ Clayton copula , Joe copula , Newton–Raphson algorithm , Shewhart control chart ]

Mean field games and systemic risk
Communications in Mathematical Sciences, 13, 4, 911-933, 2015-01-01
[ Inter-bank borrowing and lending , Mean field game , Nash equilibrium , Stochastic games , Systemic risk ]

Mean field social optimization: Feedback person-by-person optimality and the master equation
4921-4926, 2020-12-14

Copula-Based Markov Models for Time Series: Parametric Inference and Process Control
131, 2020-07-01
[ Copula, Maximum Likelihood Estimator, Serial Correlation, Markov Chain, Serial Dependence, Statistical Process Control, Statistical Process Control ]