报告题目：How long does the surplus stay close to its previous maximum?

报 告 人：周晓文教授

报告时间：6月1日上午10:30-11:30

报告地点：统计学院213报告厅

主办单位：统计学院

报告摘要: In this talk we find the Laplace transforms of weighted occupation times for a spectrally negative Levy surplus process to spend below its running maximum up to the first exit times. The results are expressed in terms of generalized scale functions for the spectrally negative Levy surplus process. For step weight functions, the Laplace transforms can be further expressed in term of scale functions.

报告人简介：1999年于美国加州大学Berkeley分校获得统计学博士学位。现为加拿大Concordia大学终身教授。主要研究方向为测度值随机过程和Levy过程及其在风险理论的应用。在Bernoulli、Jounal of Differential Equations、 Stochastic Processes and Their applications等国际期刊上发表论文20余篇。