云亭数学讲坛2021第33讲——王湘君教授

应bat365在线平台官网登录邀请，华中科技大学王湘君教授将来bat365官网作学术报告。

报告题目：Variational inference of the drift function for stochastic differential equations driven by Lévy processes.

报告摘要：In this talk, we consider the nonparametric estimation problem of the drift function of stochastic differential equations driven by α-stable Lévy motion. First, the Kullback-Leibler divergence between the path probabilities of two stochastic differential equations with different drift functions is optimized. The variational formula based on the stationary Fokker-Planck equation is constructed via the Lagrangian multiplier. Then combined with the data information, the empirical distribution is used to replace the stationary density, and the drift function is estimated non-parametrically from the perspective of the process.

报告时间：2021年7月6日上午9:00

报告地点：教学9号楼C区101学术报告厅

邀 请 人：王才士教授

届时欢迎广大师生参与交流！

    【报告人简介】

王湘君，华中科技大学bat365在线平台官网登录教授、博导。主要从事随机分析、应用统计等方向的理论及应用的研究，发表SCI论文20余篇，主持和参与国家自然科学基金重点、面上项目多项，获湖北省自然科学二等奖。