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Durham University

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Staff Profile

Dr. Chunrong Feng, PhD Loughborough University and Shandong University

Associate Professor in Probability in the Department of Mathematical Sciences
Room number: CM321

Contact Dr. Chunrong Feng (email at chunrong.feng@durham.ac.uk)

Employment and experience

Aug. 2020-present, Associate Professor, Department of Mathematical Sciences, Durham University, Durham, U.K.

Feb. 2019- July 2020, Senior Lecturer, Department of Mathematical Sciences, Loughborough University, Loughborough, U.K.

Oct. 2010- Jan. 2019, Lecturer, Department of Mathematical Sciences, Loughborough University, Loughborough, U.K.

Feb. 2009- Sept. 2010, Research Fellow, Department of Mathematical Sciences, Loughborough University, Loughborough, U.K

Aug. 2007- Sept. 2010, Lecturer, Department of Mathematics, Shanghai Jiao Tong University, Shanghai.

Grants

1.Jan. 2009 - Dec. 2009, National Natural Science Foundation of China (NSFC) funded Tian Yuan grant "Pathwise Property Analysis to Local Times and RDS", (PI).

2. Jan. 2010- Dec. 2010, Research Grant from Ministry of Education of China, (PI).

3. Jan. 2010 - Dec. 2012, NSFC funded project "Stochastic Differential Geometry and its application in Mathematical Finance", (CI).
4. June 2010, Collaborative small grants from London Mathematical Society (LMS) (Scheme 4) for Dr. L. Li, (PI).

5. 1 Mar. 2016 - 28 Feb. 2019, Royal Society Newton Advanced Fellowship Ergodicity of stochastic dynamical systems under nonlinear expectations, (CI).

6. Dec. 2016, Conference grant from LMS (Scheme 1) for "Stochastic Dynamical Systems and Ergodicity", London Mathematical Society, (PI).

7. Nov. 2018- Aug. 2020, East Midlands Stochastic Analysis Seminar (Loughborough, Oxford, Warwick, York), LMS, (PI).

8. Sept. 2020-Aug. 2021, North-East Midlands Stochastic Analysis Seminar (Durham, Oxford, Warwick, York), LMS, (PI).

PhD supervision

I have 9 completed PhDs and 1 on study.

Research Groups

Department of Mathematical Sciences

  • Probability & Statistics: Probability
  • Probability and Statistics

Research Interests

  • Stochastic analysis, stochastic (partial) differential equations, rough path, backward stochastic differential equations, random dynamical system, random periodic processes, ergodic theory, time series.

Teaching Areas

  • Financial Mathematics (32 hours/year.)
  • Supvising projects (60 hours/year.)

Selected Publications

Journal Article

  • Feng, Chunrong, Zhao, Huaizhong & Zhong, Johnny (2021). Expected exit time for time-periodic stochastic differential equations and applications to stochastic resonance. Physica D: Nonlinear Phenomena 417: 132815.
  • Feng, Chunrong, Wu, Panyu & Zhao, Huaizhong (2020). Ergodicity of invariant capacities. Stochastic Processes and their Applications 130(8): 5037.
  • Feng, Chunrong & Zhao, Huaizhong (2020). Random periodic processes, periodic measures and ergodicity. Journal of Differential Equations 269(9): 7382.
  • Feng, Chunrong, Wang, Xince & Zhao, Huaizhong (2018). Quasi-linear PDEs and forward–backward stochastic differential equations: Weak solutions. Journal of Differential Equations 264(2): 959.
  • Feng, Chunrong, Wu, Yue & Zhao, Huaizhong (2016). Anticipating random periodic solutions—I. SDEs with multiplicative linear noise. Journal of Functional Analysis 271(2): 365.
  • Feng, Chunrong & Li, Liangpan (2013). On the Móri-Székely conjectures for the Borel-Cantelli lemma. Studia Scientiarum Mathematicarum Hungarica 50(2): 280.
  • Feng, Chunrong & Zhao, Huaizhong (2012). Random periodic solutions of SPDEs via integral equations and Wiener–Sobolev compact embedding. Journal of Functional Analysis 262(10): 4377.
  • Feng, Chunrong, Zhao, Huaizhong & Zhou, Bo (2011). Pathwise random periodic solutions of stochastic differential equations. Journal of Differential Equations 251(1): 119.
  • Feng, Chunrong & Zhao, Huaizhong (2010). Local Time Rough Path for Lévy Processes. Electronic Journal of Probability 15(0): 452.
  • Feng, Chunrong, Li, Liangpan & Shen, Jian (2010). Some Inequalities in Functional Analysis, Combinatorics, and Probability Theory. The Electronic Journal of Combinatorics 17(1).
  • Feng, Chunrong, Li, Liangpan & Shen, Jian (2009). On the Borel–Cantelli lemma and its generalization. Comptes Rendus Mathematique 347(21-22): 1313.
  • Feng, Chunrong & Zhao, Huaizhong (2008). Rough path integral of local time. Comptes Rendus Mathematique 346(7-8): 431.
  • Feng, Chunrong & Zhao, Huaizhong (2007). A Generalized Ito's Formula in Two-Dimensions and Stochastic Lebesgue-Stieltjes Integrals. Electronic Journal of Probability 12(0): 1568.

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Supervises