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第四届重尾统计模型及其应用研讨会第一次通知（The 4th International Workshop on Statistical Modeling of Heavy-Tail Phenomena with Applications）
第四届 重尾统计模型及其应用 研讨会 第一次
2018/1/11
众所周知，金融、保险、网络等领域普遍存在的重尾现象引起了越来越多国内外学者的关注和重视。该领域的理论和应用已经成为应用概率统计界一个日益重要的学术分支。为加强国内外学者的交流和研究，推动本土学术活动的国际化，由苏州大学相关团队发起，经中国概率统计学会批准，第一届重尾统计模型及其应用研讨会曾于2012年在南京师范大学召开。此后，苏州大学和浙江工商大学于2014和2016年分别与中国概率统计学会联合举...
Derivative Formula, Integration by Parts Formula and Applications for SDEs Driven by Fractional Brownian Motion
Derivative formula integration by parts formula Harnack inequality stochastic differential equation fractional Brownian motion
2012/6/21
In the paper, the Bismut derivative formula is established for multidimensional SDEs driven by additive fractional noise ($1/2and moreover the Harnack inequality is given. Through a Lamperti t...
A Structure Theorem for Poorly Anticoncentrated Gaussian Chaoses and Applications to the Study of Polynomial Threshold Functions
Structure Theorem Anticoncentrated Gaussian Chaoses Study of Polynomial Threshold Functions
2012/4/18
We prove a structural result for degree-$d$ polynomials. In particular, we show that any degree-$d$ polynomial, $p$ can be approximated by another polynomial, $p_0$, which can be decomposed as some fu...
Exponential convergence rates of second quantization semigroups and applications
Convergence rate tail norm entropy second quantization
2011/11/4
Exponentialconvergence rates in the L2-tail norm and entropy are characterized forthe second quantization semigroups by using the corresponding baseDirichlet form. This supplements the well known resu...
Tail Asymptotic of Sum and Product of Random Variables with Applications in the Theory of Extremes of Conditionally Gaussian Processes
tail asymptotic Laplace method self-similar processes Gaussian processes locally stationary processes
2011/9/15
Abstract: We consider two independent random variables with the given tail asymptotic (e.g. power or exponential). We find tail asymptotic for their sum and product. This is done by some cumbersome bu...
Ergodicity of Poisson products and applications
Ergodicity Poisson products Dynamical Systems
2011/8/24
Abstract: For every $\sigma$-finite measure-preserving transformation $T$ acting on a space $X$ there is an associated probability preserving transformation $T_*$ which acts on discrete countable subs...
Derivative Formula and Applications for Degenerate Diffusion Semigroups
Derivative formula Gradient estimate Harnack inequality Stochastic differential equation
2011/8/22
Abstract: By using the Malliavin calculus and solving a control problem, Bismut type derivative formulae are established for a class of degenerate diffusion semigroups with non-linear drifts. As appli...
Harnack Inequalities for Functional SDEs with Multiplicative Noise and Applications
Harnack inequality functional solution delay SDE strong Feller property
2011/2/28
By constructing a new coupling, the log-Harnack inequality is established for the functional solution of a delay stochastic differential equation with multiplicative noise. As applications, the strong...
An extremal problem with applications to testing multivariate independence
boundary-value problem Green function multivariate indepen-dence asymptotic efficiency of test statistics
2011/1/18
Some problems of statistics can be reduced to extremal problems of minimiz-ing functionals of smooth functions defined on the cube [0, 1]m, m ≥ 2. In this paper, we study a class of extremal problems ...
Some aspects of the $m$-adic analysis and its applications to $m$-adic stochastic processes
$m$-adic analysis applications to $m$-adic stochastic processes
2011/1/18
In this paper we consider a generalization of analysis on p-adic numbers field to the m case of m-adic numbers ring. The basic statements, theorems and formulas of p-adic analysis can be used for the ...
Filtering of continuous-time Markov chains with noise-free observation and applications
Filtering of continuous-time Markov chains noise-free observation applications
2010/11/30
Let X be a continuous-time Markov chain in a finite set I, let h be a mapping of I onto another set, and let Y be defined by Yt = h(Xt), (t ≥ 0). We address the filtering problem
for X in terms of th...
A maximum principle for forward-backward stochastic Volterra integral equations and applications in finance
linear quadratic forward-backward stochastic Volterra integral equations stochastic maximum principle
2010/4/28
This paper formulates and studies a stochastic maximum principle for forward-backward stochastic Volterra integral equations (FBSVIEs in short), while the control area is assumed to be convex. Then a ...
Trace Inequalities with Applications to Orthogonal Regression and Matrix Nearness Problems
Trace inequalities stochastic matrices orthogonal regression matrix nearness problems
2010/4/16
Matrix trace inequalities are finding increased use in many areas such as analysis, where they can be used to generalise several well known classical inequalities, and computational statistics, where ...