Comparison theorem and its applications for state-dependent regime-switching processes
主题:  Comparison theorem and its applications for state-dependent regime-switching processes主讲人:  邵井海地点:  松江校区2号学院楼331理学院报告厅时间:  2019-11-23 15:00:00组织单位:   理学院

主讲人简介:

邵井海教授于2006年获得北京师范大学与法国第戎大学的理学博士学位,同年在北京师范大学留校任教。2010年被聘为副教授。2007年,赴德国伯恩大学跟随K. Sturm教授做两年博士后研究。2017年被天津大学聘为教授。主要从事概率论遍历性理论、随机分析、随机微分方程方面的研究工作。多篇论文发表在著名数学刊物,包括J. Functional Analysis, ProbabilityTheory and Related Fields, SIAM J. Control Optim, SIAM J. Math. Anal. 等。2007年获中国数学学会“钟家庆数学奖”,2008年获评“全国百篇优秀博士学位论文”。

内容摘要:

We develop the coupling method to establish a stochastic comparison theorem for the state-dependent regime-switching diffusion processes. This enables us tocontrol pathwisely the evolution of the state-dependent jumping process simplyby Markov chains. As applications, some existing results on the stability and ergodicity for state-independent regime-switching processes are extended to thestate-dependent case.  Moreover, agradient estimate for the continuous component of the regime-switching processis established.

撰写:张振中