报告题目：Scaling Limits for A Class of Interactive Hawkes Processes
时 间：2025年11月7日（星期五）10：30
地 点：科研楼18号楼1102
主 办：数学与统计学院
参加对象：感兴趣的老师和学生
报告摘要：In this talk, I would like to introduce a class of interactive Hawkes process, where the cumulative process has a Hawkes arrival whose intensity depends on the state of the original cumulative process. The functional law of large numbers (FLLN) and the functional central limit theorem (FCLT) for the joint dynamics process are discussed. In general, the FLLN limit is determined by a nonlinear function determined through an integral equation. The diffusion limit is a two-dimensional interactive stochastic differential equation driven by time-changed Brownian motions.
报告人简介：李波，理学博士，南开大学数学科学学院数理金融与精算科学系副教授。主要从事随机过程及其应用领域的研究工作。最近的研究方向是谱负Levy过程的反射理论及其应用，以及随机过程的极限理论。在国际著名的概率及精算杂志Insurance Mathematics and Economics, Stochastic Processes and their Applications, Potential Analysis 等期刊发表多篇学术论文。
