报告时间：2019年5月31日（周五）19:30
报告地点：明德主楼1016会议室
报告主题：Statistical inference for fractional Ornstein-Uhlenbeck processes
报告摘要：
In this talk, we will discuss how to estimate the unknown parameters in the fractional Ornstein-Uhlenbeck process that is defined as the solution to the SDE
with initial condition , where is the fractional Brownian motion. For the drift parameter , we will study the least squares estimator and prove its consistency and limiting theorems. Regarding the volatility , we will construct the consistent estimators based on the power variation method.
If time permits, I will give an example of the application of mean reverting processes in mortality modeling.
报告人简介：
Hongjuan Zhou, Ph.D., joined ASU as a Professor of Practice in Fall 2018. She is an Associate of the Society of Actuaries (ASA). She obtained her Ph.D. in Mathematics from the University of Kansas. Her research interests include stochastic analysis, stochastic differential equations and the applications in actuarial science.