学术报告通知

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12月13 日16:00-17:00

报告地点：44118太阳成城集团307

数学与统计学院

                                   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。