Speaker: Dr. Zhongwei Liao (廖仲威博士)

Time: 12:30-13:30, 30 November 2021 (Tuesday) (Beijing time)

Venue: C404, Lijiao Building, BNU at Zhuhai

Abstract

In this work we investigate the long-time behavior of the Ornstein- Uhlenbeck process driven by Levy noise with regime-switching. We provide explicit criteria on the transience and recurrence of this process. Contrasted with the Ornstein-Uhlenbeck process driven simply by Brownian motion, whose stationary distribution must be light-tailed, both the jumps caused by the Levy noise and regime-switching described by Markov chain can derive the heavy-tailed property of the stationary distribution. In this work, the different role played by Levy measure and regime- switching process is clearly characterized.

About Dr. Liao

廖仲威，北京师范大学珠海校区。毕业于北京师范大学，先后在中山大学和华南师范大学工作，并于澳大利亚墨尔本大学担任访问学者。现为北京师范大学珠海校区未来教育学院副教授。研究兴趣：随机过程稳定性；马氏决策过程与最优化理论；Stein方法等。主持国家及省部级项目多个，研究工作发表于《SIAM J. CONTROL OPTIM.》,《FRONT. MATH. CHINA》,《J. THEORET. PROBAB.》,《J. APPL. PROB.》,《ADV. NONLINEAR STUD.》, 《Acta Math. Sin.》,《STOCH. ANAL. APPL.》等期刊。