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【预告】Ergodicity of Stochastic Systems with Regime-Switching

来源: 日期:2022-11-24 作者: 浏览次数:

报告题目:Ergodicity of Stochastic Systems with Regime-Switching

报告人:席福宝(北京理工大学)

邀请人:籍慧洁

报告时间:2022年12月4日(星期日)9:00-11:00

报告地点:腾讯会议(会议号:498190169)

报告摘要:In this talk we first introduce some stochastic systems with regime-switching. For the solution to a rather generalnonlinear stochastic differential equation with Markovianswitching, we then prove its Feller continuity and the existenceand uniqueness of invariant measure by the coupling method, anddiscuss its stability in total variation norm by theFoster-Lyapunov inequality. Moreover, we also discuss some further research on stochastic systems with regime-switching.

报告人简介:席福宝,北京理工大学数学与统计学院教授,博士生导师;主要从事马氏过程与随机分析领域的研究;特别地,关于含小参数的切换扩散过程的大偏差,关于切换跳扩散过程的稳定性、Feller性、强Feller性、指数遍历性和强遍历性等方面,取得了一些重要研究成果;部分论文发表在SIAM Journal on Control and Optimization,Stochastic Processes and their Applications,Journal of Applied Probability, Science China Mathematics等国内外重要学术期刊上;多次获得国家自然科学基金面上项目资助,现任中国数学会概率统计学会会员,中国工程概率统计学会常务理事,IMS (Institute of Mathematical Statistics)-China会员,美国《Math. Reviews》评论员。