时间：6月13日
地点：1号教学楼6楼会议室
1、题目：Least squares estimator for SDE driven by fractional Levy processes from discrete observations
报告人： 申广君
时 间： 9:30-10:20
摘 要: In this talk, we consider the problem of parameter estimation for stochastic differential equations with small fractional Levy noises, based on discrete observations. Under certain regularity conditions on drift function, the consistency of least squares estimation have been established. We also obtain the asymptotic behavior of the estimator.
报告人简介：申广君，博士、安徽师范大学教授。主要从事随机过程统计推断、随机分析与随机过程等领域的研究；安徽省学术和技术带头人，安徽省杰出青年科学基金获得者，安徽师范大学统计学专业负责人；先后主持国家自然科学基金面上项目1项、省部级项目3项；在概率论及数理统计学术期刊共发表近40篇SCI论文。
2、题目：Robust portfolio with multi-objective optimization model under high-dimensional scenarios
报告人： 赵 霞
时 间： 10:30-11:20
摘 要：This paper aims to study robust portfolio with mean-variance-CVaR criteria for high-dimensional data. Combining different estimators of covariance matrix, computational methods of CVaR and regularization methods, we construct five progressive optimization problems with short-selling allowed. The impacts of different methods on out-of-sample performance of portfolios are compared. Results show that the optimization model with well-conditioned and sparse covariance estimator, quantile regression computational method for CVaR and weighted LASSO performs best, which servers for stabilizing the solution and also encourages a sparse portfolio.
报告人简介：赵霞，女，理学博士，应用经济学博士后，上海对外经贸大学教授。1998-2017年工作于山东财经大学，2017年5月进入上海对外经贸大学工作至今。北卡罗来纳大学和滑铁卢大学访问学者。研究兴趣为风险管理与精算、金融统计。主持国家自然科学基金面上项目2项、教育部人文社科项目2项、其他省部级项目3项。在国内外重要学术期刊发表学术论文40余篇, 5项研究成果曾获得省部级奖励。
3、题目：Deviations on record numbers of simple random walks
报告人： 李育强
时 间： 2:00-2:50
摘 要: Simple random walk is a fundamental but useful stochastic model. In this talk, some new results related to the number of the ladder points of simple random walks will be introduced, including the limit theorems of moderate deviations, the asymptotic probabilities of small balls and so on. This work is motivated by researches on the record numbers.
报告人简介：李育强，博士，华东师范大学统计学院副教授。主要从事随机过程理论以及应用、数理统计等领域的研究。主持国家自然科学基金面上项目一项，主持完成国家青年以及上海市项目三项；公开发表论文33篇。
