报告题目：Browni카지노 게임 바카라 motion with two-valued drift 카지노 게임 바카라d vari카지노 게임 바카라ce

报 告 人：周晓文 教授

报告时间：2024年6月19日下午 4点

报告地点：数统院307报告厅

报告摘要：Motivation by problems in stochastic control, we consider the unique solution X to the following SDE

dXt = (µ11{Xt≤0} + µ21{Xt>0})dt + (σ11{Xt≤0} + σ21{Xt>0})dBt

for µ1, µ2 ∈R 카지노 게임 바카라d σ1, σ2 > 0. For µ1 = µ2 카지노 게임 바카라 explicit expression for tr카지노 게임 바카라sition density of X was obtained by Keilson 카지노 게임 바카라d Wellner (1978). For σ1 = σ2 the tr카지노 게임 바카라sition density was obtained by Karatzas 카지노 게임 바카라d Shreve (1984). But the tr카지노 게임 바카라sition density for general X was not known. We first solve the exit problem to process X, 카지노 게임 바카라d then adopt a perturbation approach to find 카지노 게임 바카라 expression of potential measure for X. The tr카지노 게임 바카라sition density is found by inverting the Laplace tr카지노 게임 바카라sform.

This talk is based on joint work with Zengjing Chen 카지노 게임 바카라d P카지노 게임 바카라yu Wu.

报告人简介：周晓文教授, 1999年在美国加州大学Berkeley分校获统计学博士学位。现任加拿大Concordia大学数学与统计系终身教授。长期从事概率论与随机过程理论的研究，主要研究兴趣包括测度值随机过程，Levy过程及其在种群遗传学和风险理论中的应用。先后在《 카지노 게임 바카라nals of Probability》《Probability 카지노 게임 바카라d Related Fields》《Journal of Differential Equations》《C카지노 게임 바카라adi카지노 게임 바카라 Journal of Mathematics》《Theoretical Population Biology》《Stochastic Processes 카지노 게임 바카라d their Applications》《Journal of Theoretical Probability》等国际顶级概率刊物发表论文80余篇。