大学招研究生应用概率与统计研讨会

应用概率与统计研讨会

为了进一步加强概率统计青年学 者之间的交流，

展示本领域学者的最新

研究成果，

20 15

年

10

月

23

日在南京航空航 天大学理学院举办“应用

概

率

与

统

计

研

讨

会

”

。

次

研

讨

会

由

国

家

自

然

科

学

基< /p>

金

项

目

（

11101210

），中央高校基本科研业务费项目（

NS2015074

）共同支 持。

研讨会主要组织者：

蒋辉

（副教授）

日程安排

时间：

2015

年

10

月

23

日（周五）

地点：南京航空航天 大学理学院五楼

547

室

时间

报告人

主题

王春武副院长

9:00-9:10

(

南京航空航天大学理学

研讨会致辞

院

)

主持专家：耿显民

教授（南京航空航天大学）

Prof. Hacene Djellout

Estimation of the realized

9:10-10:00

(University Blaise

(co-)volatility: large deviation

Pascal, France)

approach

10:00-10:10

茶歇

主持专家：

Prof. Hacene Djellout

（

University Blaise Pascal, France

）

王冉

(Ran Wang)

Irreducibility of stochastic real

副教授

(Associated

Ginzburg- Landau equation driven by

10:10-11:00

Professor)

$$alpha$$-stable noises and

(

中国科技大学

)

applications

郭旭

(Xu Guo)

Model checking for parametric

副教授

(Associated

single- index models: A

11:00-11:50

Professor)

dimension-reduction

(

南京航空航天大学

)

model- adaptive approach

12:00

午餐

主持专家：王冉

副教授（中国科技大学）

14:00-14:50

储为娟

(Weijuan Chu)

博士

(P.H.D)

(

南京大学

)

The small value probability and

self- normalized large

deviation for supercritical

branching processes

刘俊峰

(Junfeng Liu)

副

On a class of nonlinear fractional

教授

(Associated

14:50-15:40

Stochastic partial differential

Professor)

equation

(

南京审计学院

)

15:40-16:00

茶歇、照相

主持专家：蒋辉

副教授教授（南京航空航天大学）

严钧

(Jun Yan)

Deviations and asymptotic behavior

副教授

(Associated

of

convex

and

coherent

entropic

risk

16:00-16:50

Professor)

measures for compound Poisson

(

扬州大学

)

process influenced by jump times

王绍臣

(Shaochen Wang)

Asymptotic properties of

16:50-17:40

博士

(P.H.D)

eigenvalues and its functionals for

(

华南理工大学

)

several random matrices models

18:00

晚

餐

报告题目、摘要

Prof.

Hacene Djellout

Title:

Estimation

of

the

realized

(co-)volatility:

large

deviation

approach

Abstract:

Realized

statistics

based

on

high

frequency

returns

have

become

very popular in financial economics. In recent years, different

non-parametric estimators of the variation of a log-price process have

appeared.

These

were developed

by

many

authors

and

were

motivated

by

the

existence

of

complete

records

of

price

data.

Among

them

are

the

realized

quadratic (co-)variation which is perhaps the most well known example,

providing

a

consistent

estimator

of

the

integrated

(co-)volatility when

the logarithmic price process is continuous. Limit results such as the

weak law of large numbers or the central limit theorem have been proved

in different contexts. In this paper, we propose to study the large

deviation properties of realized (co-)volatility (i.e., when the number

of high frequency observations in a fixed time interval increases to

infinity. More specifically, we consider a bivariate model with

synchronous observation schemes and correlated Brownian motions of the