数学科学学院学术报告[2023]100号

(高水平大学建设系列报告872号)

报告题目:Skew Brownian Motion with Two-Valued Drift and its Applications in Optimal Dividend Problem

报告人：周晓文教授，ConcordiaUniversity

报告时间：2023.12.15 15:00-16:00pm

讲座地点：汇星楼（科技楼）501

报告内容：We consider a risk process as the unique solution to stochastic differential equation driven by both a Brownian motion with two-valued drift and a symmetric local time process at a certain level. Such a process can be identified as a toy model with regime switching that depends on whether the process takes values above or below the level.

In this talk we first present some fluctuation results for such a process and then apply them to study a stochastic control problem that is motivated by the optimal dividend problem for risk processes. We identify conditions for different barrier strategies to be optimal and observe that certain band strategies involving two dividend barriers can be optimal.

This talk is based on joint work with Zhongqin Gao.

报告人简历：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过程及其在种群模型和风险理论中的应用。先后在《Annals of Probability》《Probability and Related Fields》《Annals of Applied Probability》《Journal of Differential Equations》《Annales de L'Institut Henri Poincare》《Stochastic Processes and their Applications》《Bernoulli》《Theoretical Population Biology》《Insurance, Mathematics and Economics》等国际刊物发表论文 80余篇。

欢迎师生参加！

邀请人：李婧超

数学科学学院

2023年12月12日