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发表时间:2019-11-26 阅读次数:263次
报告题目: Long time behavior of stochastic processes with regime-switching
报 告 人:邵井海 教授
报告人所在单位:天津大学
报告日期:2019-11-26 星期二
报告时间:14:00-15:00
报告地点:光华西辅楼303
  
报告摘要:

The processes with regime-switching can be used to characterize a stochastic dynamical system in a random environment. We investigate the long time behavior of such kind of processes including the recurrence and transience property, heavy-tail and light-tail property. We focus on two typical examples: Cox-Ingersoll-Ross process and Ornstein-Uhlenbeck process driven by Levy noise with regime-switching. We provide explicit criteria on the transience and recurrence of such processes. And when the stationary distribution exists, we provide sufficient conditions to justify whether this law is heavy-tailed or light-tailed.  We shall show that both the jumps caused by the Levy noise and regime-switching can derive the heavy-tailed property of the stationary distribution. Also, the different role played by Levy measure and regime-switching process is clearly characterized.

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本年度学院报告总序号:265

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