Event
Wei XU, Beijing Normal University
Thursday, February 9, 2017 16:30to17:30
Burnside Hall
room 1205, 805 rue Sherbrooke Ouest, Montreal, QC, H3A 0B9, CA
Exponential Functionals of Levy processes with Light/Heavy Tails.
Asymptotic behaviors of exponential functionals of Levy processes will be introduced in this talk. Since their expectations of the exponential functionals are mainly contributed by the sample paths tending to infinity slowly, we need to find out what makes Levy processes staying far away from infinity. Compared to the light-tailed case whose large values come from the accumulations of small increments, large jumps in the heavy-tailed case will play the most important role in the movement of Levy processes. We divide our study into two parts: Light-tailed and Heavy-tailed. Several conditional limits of Levy processes will be given before showing the main results about the decreasing rates of exponential functionals of Levy processes in different regimes. Some applications and numerical simulations will be introduced in the end.
Part of this talk is based on the joint work (In working) with Prof. Chunhua Ma (Nankai University).
Part of this talk is based on the joint work (In working) with Prof. Chunhua Ma (Nankai University).