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5月19日学术报告:Geometric Brownian motion with regime-switching

作者:admin 点击:387 发布时间:2017-5-11 10:18:01

报告题目:Geometric Brownian motion with regime-switching
 
报告人:邵井海 教授
 
报告时间:2017年5月19日周五  10:30-11:30
 
报告地点 理学院547报告厅
 
摘要:In this talk, I will introduce some basic properties of geometric Brownian motion with regime-switching, which is an important example of regime-swithing diffusion processes and is widely used in mathematical finance. The recurrent properties of this process are completely characterized. The stability and some quantitive characterization of this process are also investigated. Some related results on regime-switching diffusion processes will be presented too.
个人简介:
邵井海教授,天津大学应用数学中心教授;1996-2006年就读北京师范大学,获得学士硕士及博士学位;研究方向为随机分析、泛函不等式、随机(泛函)微分方程、带切换随机过程、金融风险估计;在J. Functional Analysis, Probability Theory and Related Fields, SIAM J. Control Optim, SIAM J. Math. Anal., Stochastic Processes and their Applications等国际期刊上发表学术论文30多篇。2007年,邵井海教授获得中国数学学会“钟家庆数学奖”,2008年,获得“全国百篇优秀博士学位论文奖”。  

联系人:蒋辉