题 目：Sample path large deviations for the multiplicative Poisson shot noise processes with compensation

报告人：蒋辉 南京航空航天大学教授

时间：2019.04.12(周五) 14:00-15:00

地点：金融工程研究中心105

摘要：Poisson shot noise processes describe a class of random phenomenon in which the states are determined by the arrival of shocks. These processes have an extensive range of applications from insurance risk theory, through electrical engineering, physics and queueing theory. In this talk, under mild conditions, we obtain the sample path large deviations for a class of multiplicative Poisson shot processes with compensation, by implementing the weak convergence techniques. Moreover, we introduce an auxiliary term to overcome the gap between the infinite and finite time when proving the asymptotically exponential equivalence.

报告人简介：蒋辉,博士,硕士生导师,南京航空航天大学理学院,于2008年获得武汉大学博士学位, 现主要从事大偏差理论、过程统计、随机矩阵、高维统计分析等方面的研究工作。2008年以来, 在国内外概率统计领域SCI收录期刊发表论文二十余篇。已完成和正在主持数学天元基金，国家青年基金以及博士后基金，面上基金等，获得2014年教育部高等学校优秀科研成果奖。