报告题目: Existence and Regularity of Densities for Affine Processes
时 间：2021年10月27日（星期三）上午9：00
地 点：腾讯会议（ID：494 632 946）
主 办：数学与统计学院
参加对象：统计系老师与学生
报告摘要：Affine processes are Markov processes for which the logarithm of the characteristic function of its transition distribution is affine with respect to the initial state. Affine processes have found a wide range of applications in finance. Many popular models in finance, such as the models of Cox et al., Heston and Vasicek, are all of affine type. In this talk, I will present our recent results on the existence and regularity of densities for affine processes. This talk is based on a joint work with Martin Friesen, Jonas Kremer and Barbara Rüdiger.
报告人简介：金鹏教授任职于北京师范大学-香港浸会大学联合国际学院，现任金融数学系系主任。他主要研究方向为概率论和金融数学，目前已在《Ann. Appl. Probab.》、《Stochastic Process. Appl. 》、《Electron. J. Probab.》、《Ann. Inst. Henri Poincaré Probab. Stat.》、《J. Theoret. Probab.》等国际概率学术期刊上发表多篇论文。