群体移民过程,Langevin方程与仿射利率模型.
主 题: 群体移民过程,Langevin方程与仿射利率模型.
报告人: 李增沪 教授 (（北京师范大学）)
时 间: 0000-00-00
地 点: 理科一号楼1114
There have been some efforts directed to the unification
of branching processes with immigration and Ornstein-Uhlenbeck processes. An analytic approach is provided in Duffie at al (Ann.Appl. Probab. '03), where the so-called regular affine process is introduced and their financial applications are discussed. Another way is to use the concept of skew convolution semigroups as in Dawson and Li (Potent. Anal. '04), which is motivated by the study
of population models and their fluctuation limits. Both of those approaches simplify the existing theory on the relevant processes in the literature and provide insights into the connections between them. In this talk, we give a brief introduction of the recent progresses in the study
