报告题目：A Ray-Knight Theorem for Spectrally Positive Stable Processes
时 间：2021年10月6日（星期三）下午3：00
地 点：腾讯会议（ID：866 182 331）
主 办：数学与统计学院
参加对象：统计学老师与学生
报告摘要：We generalize a classical second Ray-Knight theorem to spectrally positive stable processes. It is shown that their local time processes are solutions of certain stochastic Volterra equations driven by Poisson random measure and they belong to a class of fully novel non-Markov branching processes, named as rough continuous-state branching processes. Also, we prove the weak uniqueness of solutions to the stochastic Volterra equations by providing explicit exponential representations of their characteristic functionals in terms of unique solutions to some associated nonlinear Volterra equations.
This talk is mainly based on our recent work: Arxiv: 2105.02349
报告人简介：徐伟博士2016年毕业于北京师范大学，2018年获得洪堡学者，现为德国柏林洪堡大学Lecturer。他主要研究方向为概率论与随机金融，目前已在《Stochastic Process. Appl. 》、《SIAM J. Financial Math》、《J. Theoret. Probab.》等国际学术期刊上发表数篇论文。