Zhijian He Position: Professor
Email: hezhijian@scut.edu.cn Research Interests quasi-Monte Carlo methods high-dimensional numerical integration and approximation quantitative finance and uncertainty quantification
Education and Work Experience Education Experience: 2010/09-2015/07: Tsinghua University, Statistics (Ph.D.) 2006/09-2010/07: South China University of Technology, Mathematics and Applied Mathematics (B.S.)
Work Experience: 2021/09-Present: South China University of Technology, SSchool of Mathematics, Professor / Ph.D. Supervisor 2018/01-2021/08: South China University of Technology, SSchool of Mathematics, Associate Professor / Master Supervisor 2016/01-2017/11: Sun Yat-Sen University, Lingnan (University) College, Research Associate 2015/09-2015/12: South China University of Technology, School of Economics and Commerce, Lecturer
Selected papers Xiliang Yang, Yifei Xiong, Zhijian He*. Leveraging Nested MLMC for Sequential Neural Posterior Estimation with Intractable Likelihoods, SIAM Journal on Scientific Computing, 2025+ (Accepted). Jiarui Du, Zhijian He*. Unbiased Markov chain quasi-Monte Carlo for Gibbs samplers, SIAM/ASA Journal on Uncertainty Quantification, 13(3), 1174-1199, 2025. Jingyu Tan, Zhijian He*, Xiaoqun Wang. Extensible Grid Sampling for Quantile Estimation, Mathematics of Computation, 94(352), 763-800, 2025. Du Ouyang, Xiaoqun Wang, Zhijian He*. Achieving High Convergence Rates by Quasi-Monte Carlo and Importance Sampling for Unbounded Integrands, SIAM Journal on Numerical Analysis, 62(5), 2393-2414, 2024. Zhijian He*, Zhan Zheng, Xiaoqun Wang. On the Error Rate of Importance Sampling with Randomized quasi-Monte Carlo, SIAM Journal on Numerical Analysis, 61(2), 515-538, 2023. Zhijian He, Zhenghang Xu*, Xiaoqun Wang. Unbiased MLMC-based variational Bayes for likelihood-free inference, SIAM Journal on Scientific Computing, 44(4), A1884-A1910, 2022. Chaojun Zhang, Xiaoqun Wang, and Zhijian He*. Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance, SIAM Journal on Scientific Computing, 43(1), B1-B29, 2021. Zhijian He* and Xiaoqun Wang. Convergence Analysis of Quasi-Monte Carlo Sampling for Quantile and Expected Shortfall, Mathematics of Computation, 90(327), 303-319 2021. Zhijian He*. On the Error Rate of Conditional Quasi-Monte Carlo for Discontinuous Functions, SIAM Journal on Numerical Analysis, 57(2), 854-874, 2019. Zhijian He*. Quasi-Monte Carlo for Discontinuous Integrands with Singularities along the Boundary of the Unit Cube, Mathematics of Computation, 87(314), 2857-2870, 2018. Chengfeng Weng, Xiaoqun Wang, and Zhijian He*. Efficient Computation of Option Prices and Greeks by Quasi-Monte Carlo Method with Smoothing and Dimension Reduction, SIAM Journal on Scientific Computing, 39(2), B298-B322, 2017. Zhijian He and Art B. Owen*. Extensible grids: Uniform Sampling on a Space-filling Curve, Journal of the Royal Statistical Society: Series B, 78(4), 917-931, 2016. Zhijian He* and Xiaoqun Wang. On the Convergence Rate of Randomized Quasi-Monte Carlo for Discontinuous Functions, SIAM Journal on Numerical Analysis, 53(5), 2488-2503, 2015. Zhijian He* and Xiaoqun Wang. Good Path Generation Methods in Quasi-Monte Carlo for Pricing Financial Derivatives, SIAM Journal on Scientific Computing, 36(2), B171-B197, 2014.
A full list of published papers
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