Continuous state branching processes with immigration and some applications in finance
主 题: Continuous state branching processes with immigration and some applications in finance
报告人: 马春华副教授 (南开大学)
时 间: 2014-11-17 15:00-16:00
地 点: 理科一号楼1418（概率论系列报告）
We study a two-dimensional joint distribution related to the first passage time below a level for a continuous-state branching process with immigration (CBI-process). We show an explicit expression of the Laplace transform of the distribution in terms of some special functions and obtain a necessary and sufficient criterion for transience or recurrence. Furthermore the ergodicity property of the process is also proved by using the coupling method. As some applications in finance, we study in more detail the problems of parameter estimation for some special CBI process, the so-called stable Cox-Ingersoll-Ross model. This talk is based on joint works with Xan Duhalde and Cl\'ement Foucart, and with Zenghu Li.