报 告 人：周晓文教授（加拿大康考迪亚大学）

报告时间：2023年6月12日  10:00

报告地址：格物楼数学研究中心528室报告厅

报告摘要：

We consider a skew Brownian motion with two-valued drift as the unique solution to stochastic differential equation driven by Brownian motion and symmetric local time process at level a with drift coefficients and skewness. We find Laplace transforms of exit times for the skew Brownian motion, and consider an optimal control problem in which we look for an optimal dividend strategy that maximizes the expected accumulated present value of dividends until ruin for the skew Brownian surplus process. We identify conditions for different barrier strategies to be optimal and observe that certain band strategies involving two dividend barriers can be optimal.

报告人简介：

周晓文教授，1999年在美国加州大学Berkeley分校获统计学博士学位。现任加拿大Concordia大学数学与统计系终身教授。长期从事概率论与随机过程理论的研究，主要研究兴趣包括测度值随机过程，Levy过程及其在种群遗传学和风险理论中的应用。先后在《Annals of Probability》《Probability and Related Fields》《Journal of Differential Equations》《Canadian Journal of Mathematics》《Theoretical Population Biology》《Stochastic Processes and their Applications》《Journal of Theoretical Probability》等国际顶级概率刊物发表论文50余篇。