Regime-switching jump stochastic differential equations with non-Lipschitz coefficients
报告人：朱超
报告地点：Zoom
报告时间：2020年07月06日星期一09:00-10:00
邀请人：李晓月
报告摘要：
This work focuses on a class of regime-switching jump diffusion processes, which is a two component Markov processes , where the analog component models the state of interest while the switching component can be used to describe the structural changes of the state or random factors that are not represented by the usual jump diffusion formulation. Considering the corresponding stochastic differential equations, our main focus is on treating those with non-Lipschitz coefficients. We first show that there exists a unique strong solution to the corresponding stochastic differential equation. Then Feller and strong Feller properties and exponential ergodicity are investigated. This is a joint work with Khwanchai Kunwai, Fubao Xi and George Yin.
会议网址：https://kansas.zoom.us/j/2388517996
会议ID：238 851 7996
主讲人简介：
朱超，美国威斯康星大学密尔沃基分校（University of Wisconsin-Milwaukee）教授，2007年获得美国韦恩州立大学（Wayne State University）博士学位。目前主要从事随机分析、随机控制、数学金融和数学生物学等方向研究。 在《J. Differential Equations》， 《SIAM J. Control Optim.》， 《Nonlinear Anal.》等杂志发表文章40余篇。
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