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华东师范大学金融与统计学院硕士生导师吴贤毅教授
华东师范大学金融与统计学院 硕士生导师 教授 数理统计 随机调度 保险经算
2009/5/31
吴贤毅，博士，华东师范大学金融与统计学院教授，硕士生导师。2001年毕业于华东师范大学统计系并获博士学位，2002年8月--2003年6月在香港理工大学做研究助理，2003年6月--2005年8月在香港理工大学从事博士后研究工作，2005年8月--2006年2月在香港中文大学从事博士后研究工作。在做博士后研究期间的研究方向为随机调度。此外，吴贤毅博士的研究领域还包括精算数学和非参数统计推断。主要研...
Tail behaviour of multiple random integrals and $U$-statistics
multiple Wiener--Itô integrals (degenerate) $U$-statistics large-deviation type estimates diagram formula
2009/5/18
This paper contains sharp estimates about the distribution of multiple random integrals of functions of several variables with respect to a normalized empirical measure, about the distribution of $U$-...
Controlled diffusion processes
controlled diffusions optimal control dynamic programming Hamilton-Jacobi-Bellman equations partial observations
2009/5/18
This article gives an overview of the developments in controlled diffusion processes, emphasizing key results regarding existence of optimal controls and their characterization via dynamic programming...
Let $B(t)$ denote Brownian motion in $R^d$. It is a classical fact that for any Borel set $A$ in $R^d$, the volume $V_1(A)$ of the Wiener sausage $B[0,1]+A$ has nonzero expectation iff $A$ is nonpolar...
Let $X, X_1, X_2, dots $ be a sequence of nondegenerate, independent and identically distributed random variables and set $S_n=X_1+dots +X_n, V_n^2=X_1^2+dots +X_n^2.$ We answer a question of G"otze, ...
ON THE QUADRATIC WIENER FUNCTIONAL ASSOCIATED WITH THE MALLIAVIN DERIVATIVE OF THE SQUARE NORM OF BROWNIAN SAMPLE PATH ON INTERVAL
reflected Brownian motion with drift stationarydistriution reflection principl
2009/4/22
We give necessary and sufficient conditions for the stationary density of semimartingale reflected Brownian motion in a wedge to be written as a finite sum of terms of exponential product form. Relyin...
在统计学中，相关与回归是经典的内容，也是应用最为广泛的统计方法之一。但是，国内教材却很少讲到回归方法的起源。英国著名遗传学家弗朗西斯·高尔顿爵士（Sir Francis Galton,1822-1911）在子女与父母相像程度遗传学研究方面，取得了重要进展。高尔顿的学生卡尔·皮尔逊（Karl Pearson,1857-1936）在继续这一遗传学研究的过程中，测量了1078个父亲及其成年儿子的身高。他...
A Universality Property for Last-Passage Percolation Paths Close to the Axis
Universality Property Percolation the Axis
2009/4/7
We consider a last-passage directed percolation model in $Z_+^2$, with i.i.d. weights whose common distribution has a finite $(2+p)$th moment. We study the fluctuations of the passage time from the or...
On the occupation measure of super-Brownian motion
total occupation measure super-Brownian motion
2009/4/3
We derive the asymptotic behavior of the total occupation measure of the unit ball for super-Brownian motion started from the Dirac measure at a distant point and conditioned to hit the unit ball. In ...
Measure Concentration for Compound Poisson Distributions
Concentration Compound Poisson Measure
2009/4/1
We give a simple development of the concentration properties of compound Poisson measures on the nonnegative integers. A new modification of the Herbst argument is applied to an appropriate modified l...
A note on ergodic transformations of self-similar Volterra Gaussian processes
Gaussian process deterministic kernel Brownian motion
2009/3/27
We derive a class of ergodic transformation of self-similar Gaussian processes that are Volterra, i.e. of type X_t = int^t_0 z_X(t,s)dW_s, t in [0,infty), where z_X is a deterministic kernel and W is ...
A note on ergodic transformations of self-similar Volterra Gaussian processes
note ergodic transformation Gaussian processes
2009/3/23
We derive a class of ergodic transformation of self-similar Gaussian processes that are Volterra, i.e. of type X_t = int^t_0 z_X(t,s)dW_s, t in [0,infty), where z_X is a deterministic kernel and W is ...
Two-sided exit problem for a Spectrally Negative α-Stable Ornstein-Uhlenbeck Process and the Wright's generalized hypergeometric functions
Laplace transform Spectrally Negative hypergeometric functions
2009/3/23
The Laplace transform of the first exit time from a finite interval by a regular spectrally negative α-stable Ornstein-Uhlenbeck process is provided in terms of the Wright's generalized hypergeometric...