报告题目：Tail Asymptotics for Two-Dimensional Sticky Brownian Motions

报告时间：2019年5月24日（周五）上午10：00

报告地点：学思楼C210

摘要： In this talk, we consider a two-dimensional time-changed semi- -martingale reflecting Brownian motion (SRBM), or sticky Brownian motion. This type of time-changed SRBM finds applications in many areas including queueing theory and mathematical finance. For this kind of processes, it is interesting and important to study its stationary probabilities. However, except for very limited special cases, we cannot get a closed-form solution for the stationary distribution. This motivates us to study tail asymptotic properties in stationary probabilities, since performance bounds and approximations can often be developed from tail asymptotic properties. The main results reported here include tail asymptotic properties in the joint distribution through applications of the kernel method, extreme value theory and the concept of copula.

报告人简介： 戴洪帅， 2010年毕业于中南大学，获理学博士学位，现为山东财经大学统计学院副教授，曾在Michigan State University和Carleton University 等工作和学习。目前主要从事应用概率的研究工作，涉及排队论、极限理论、精算学等领域。主持国家自然科学基金1项，省自然科学基金项目3项，参与完成多项国家自然科学基金的研究；在概率统计领域重要期刊《Bernoulli》、《Journal of Theoretical Probability》等杂志发表SCI收录论文20余篇。