Skew Convolution Semigroups and Stochastic Interest Rates
ABSTRACT:
There have been some efforts directed to the unification
of
branching processes with immigration and Ornstein-Uhlenbeck
processes. An analytic approach is provided in Duffie at al (Ann.
Appl. Probab. 2003), where the so-called regular affine process is
introduced and their financial applications are discussed. Another
way is to use the concept of skew convolution semigroups as in
Dawson and Li (Potent. Anal. 2004), which is motivated by the study
of population models and their fluctuation limits. Both of those
approaches simplify the existing theory on the relevant processes
in the literature and provide insights into the connections
between them. In this talk, we give a brief introduction of the
recent progress in this topic.
About the Speaker
Dr. Zenghu Li is a Professor of Beijing Normal
University. His research is in the broad area of measure-valued
processes. He is well known for the joint work with T. Shiga of Japan
and Dr L. Yao on the reversibility of Fleming-Viot process.
