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Long time behavior of stochastic processes with regime-switching

來源:復旦大學數學科學學院 | 2019-11-22 | 發布:經管之家

報告題目: Long time behavior of stochastic processes with regime-switching報 告 人:邵井海 教授報告人所在單位:天津大學報告日期:2019-11-26 星期二報告時間:14:00-15:00報告地點:光華西輔樓303報告摘要:
The processes with regime-switching can be used to characterize a stochastic dynamical system in a random environment. We investigate the long time behavior of such kind of processes including the recurrence and transience property, heavy-tail and light-tail property. We focus on two typical examples: Cox-Ingersoll-Ross process and Ornstein-Uhlenbeck process driven by Levy noise with regime-switching. We provide explicit criteria on the transience and recurrence of such processes. And when the stationary distribution exists, we provide sufficient conditions to justify whether this law is heavy-tailed or light-tailed. We shall show that both the jumps caused by the Levy noise and regime-switching can derive the heavy-tailed property of the stationary distribution. Also, the different role played by Levy measure and regime-switching process is clearly characterized.

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本年度學院報告總序號:265
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