汕头大学金鹏教授学术报告 06月14日上午
发布时间: 2019-06-06 访问次数: 151

报告题目【Long time behavior of affine processes】
时间:2019年06月14日(星期五)上午9:00-11:00
地点:旗山校区理工北楼601报告厅
主讲:汕头大学教授,金鹏
主办:福建省分析数学及应用重点实验室
参加对象:统计系老师和研究生

  

报告人简介:金鹏,2009年博士毕业于德国比勒费尔德大学,现任汕头大学数学系教授。研究领域为随机分析与金融数学;论文发表在Adv. Appl. Probab.、J. Theoret. Probab.、Stoch. Dyn.等学术期刊。

  

报告摘要:Affine processes are Markov processesfor which the logarithm of the characteristic function of its transition distribution $P_{t}(x,\cdot)$ is affine with respect to the initial state $x$. Affine processes have found a wide range of applications in finance,due to their computational tractability and modeling flexibility.Many popular models in finance, such as the models of Cox \textit{et al.}, Heston  and Vasicek, are  of affine type.  A systematic treatment of affine processes was given in the seminal work of Duffie, Filipovic and Schachermayer. In this talk I will present our recent results on the long time behavior of affine processes,concentrating on their stationarity and exponential ergodicity. This talk is based on a series of joint works with Martin Friesen, Jonas Kremer and Barbara R\"udiger.