学术报告(金鹏 9.22)

Long-time behavior of affine processes

发布人:杨晓静 发布日期:2023-09-21
主题
Long-time behavior of affine processes
活动时间
-
活动地址
数学楼 403
主讲人
金鹏 副教授 北师港浸大
主持人
巫静

 摘要 :

Affine processes are Markov processes for which the logarithm of the characteristic function of its transition distribution  is affine with respect to the initial state . Affine processes have found a wide range of applications in finance, due to their computational tractability and modeling flexibility. Many popular models in finance, such as the models of Cox et al., Heston and Vasicek, are of affine type. A systematic treatment of affine processes was given in the seminal work of Duffie, Filipovic and Schachermayer. In this talk I will present our recent results on the long-time behavior of affine processes, concentrating on their stationarity and exponential ergodicity. This talk is based on a series of joint works with Martin Friesen, Jonas Kremer and Barbara Rüdiger.