應77779193永利邀請，華中科技大學王湘君教授将來我院作學術報告。
報告題目：Variational inference of the drift function for stochastic differential equations driven by Lévy processes.
報告摘要：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.
報告時間：2021年7月6日上午9:00
報告地點：教學9号樓C區101學術報告廳
邀 請 人：王才士教授
屆時歡迎廣大師生參與交流！
【報告人簡介】
王湘君，華中科技大學77779193永利教授、博導。主要從事随機分析、應用統計等方向的理論及應用的研究，發表SCI論文20餘篇，主持和參與國家自然科學基金重點、面上項目多項，獲湖北省自然科學二等獎。
