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加拿大康科迪亚大学数学与统计系终身教授周晓文应邀来我院做学术报告

发布人:日期:2019年12月12日 10:00浏览数:


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报告题目:General draw-down times for spectrally negative Levy processes

报告人周晓文 加拿大康科迪亚大学数学与统计系终身教授

报告时间:2019年1213 16:00-17:00

报告地点:数统院307

数学统计学院

                                   2019.12.12

 

报告摘要:The draw-down time for a stochastic process is a downward first passage time that depends on the previous running maximum. It generalizes the ruin time for risk processes in a natural way, and can serve as an effective tool to study the relative downward fluctuation of the process. For spectrally negative Levy processes, we prove several results involving general draw-down times from the running maximum. In particular, we find expressions of the Laplace transforms for the two-sided exit problems involving the draw-down time. We also obtain fluctuation results for draw-down reflected spectrally negative Levy processes. The results are expressed in terms of scale functions.

 

报告人简介:周晓文,加拿大康科迪亚大学数学与统计系终身教授, 于1988年及1991年在中山大学获得本科及硕士学位,1999年在美国加州大学Berkeley分校获统计学博士学位。长期从事概率论与随机过程理论的研究。主要研究兴趣包括测度值随机过程,Levy过程及其应用,随机偏微分方程以及连续状态分枝过程。在Annals of Probability,Probability Theory & Related Fields,Stochastic Processes & Their Applications,Journal of Applied Probability,Journal of Differential Equations,Insurance Mathematics & Economics,Electronic Journal of Probability等概率论领域著名期刊上发表论文60多篇。

 

 

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