学术讲座

首页 » 学术讲座 » The least squares estimator of...
Title(题目)The least squares estimator of random variables under sublinear expectations

Speaker(报告人):嵇少林,山东大学

Time(时间):2017-10-12(星期四) 14:00-15:00

Place(地点):217, Guanghua Building 2

Abstract(摘要):We study the least squares estimator for sublinear expectations. Under some mild assumptions, we prove the existence and uniqueness of the least squares estimator. The relationship between the least squares estimator and the conditional coherent risk measure (resp. the conditional g-expectation) is also explored. Then some characterizations of the least squares estimator are given. (This is a joint work with Chuanfeng Sun)

About the speaker(报告人介绍): 嵇少林是山东大学教授。研究领域:金融数学、随机控制和非线性期望理论。近年以来,嵇少林教授在Review of financial studies, Probability theory and the related fields和SIAM Control and Optimization等杂志上发表了一系列的成果。研究的问题包括模型不确定下的资产定价公式、非线性期望下的Neyman-Pearson基本引理和G-布朗运动驱动下的倒向随机微分方程理论。


北京大学统计科学中心