报告题目:Ergodicity of Stochastic Systems with Regime-Switching

报告人：席福宝

单位：北京理工大学数学与统计学院

报告摘要：In this talk we first introduce some stochastic systems with regime-switching. For the solution to a rather general nonlinear stochastic differential equation with Markovian switching, we then prove its Feller continuity and the existence and uniqueness of invariant measure by the coupling method, and discuss its ergodicity in total variation norm by the Foster-Lyapunov inequality. Moreover, we also discuss some further research on stochastic systems with regime-switching.

报告人简介：

席福宝，北京理工大学教授，博士生导师。担任中国工程概率统计学会常务理事

和美国《Math. Reviews》评论员，曾担任中国概率统计学会会员。主要从事马氏过程与随机分析领域的研究工作，特别地，关于切换跳扩散过程的随机稳定性、Feller性、强Feller性、指数遍历性、强遍历性以及收敛速度估计等方面，取得了一系列重要研究成果；部分论文发表在SIAM Journal on Control and Optimization, Stochastic Processes and their Applications, Journal of Differential Equations, Journal of Applied Probability, Science China Mathematics等国内外重要学术期刊上。

时间：2023年4月11日周二下午2：00-4：30

地点：澳门新浦京88148号楼A116