Yiqiang Q. Zhao学术报告

发布时间:2019年09月28日 作者:刘源远   消息来源:    阅读次数:[]

报告题目:Multidimensional Sticky Brownian Motion: Tail Behaviour of Joint Stationary Distribution
报告人:Yiqiang Q. Zhao, School of Mathematics and Statistics, Carleton University
(This talk is based on joint work with Hongshuai Dai)
报告时间:2019.9.28  10:30-12:30
报告摘要:Inspired by the study of sticky Brownian motion on the half-line and sticky Brownian motion in the wedge, in this talk, we present a kind of time-changed semimartingale reflecting Brownian motions (SRBM) in the orthant, which are called multidimensional sticky Brownian motion. They have various potential applications in many fields, including queuing theory and mathematical finance. In this talk, we are concerned about the stationary distributions of a multidimensional sticky Brownian motion, provided it is stable. We mainly study the large deviations principle for stationary distribution, the tail dependence structure of the joint stationary distribution. Furthermore, in some special case, we present the exact tail asymptotics of the joint stationary distribution.

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