刘俊峰

发布者：统计与数学学院发布时间：2015-12-15浏览次数：7983



南京审计大学统计与数据科学学院


姓名 刘俊峰


最后学位：华东理工大学大学理学博士

岗位职称：教授    硕导                        

 

研究领域：随机分析及其应用、金融统计

教学课程：应用时间序列分析、现代统计方法分析、

          概率论与数理统计、线性代数、微积分




学习简历

  • 2000.09-2004.07   青岛大学应用数学系  应用数学专业 理学学士


  • 2004.09-2007.06   河海大学数学系       概率统计专业 理学硕士


  • 2007.09-2007.06   华东理工大学大学数学系  概率论与数理统计专业 理学博士



工作简历

  • 2014. 09-2015. 03,  法国Universite de Lille 1, 访问学者，合作导师：Prof. Ciprian A, Tudor


  • 2015. 07-2015. 08， 香港大学，访问学者，合作导师：Prof. Kam. C. Yuen


  • 2013. 11－至今，   东南大学，数学系，博士后研究人员，合作导师：林金官教授


  • 2013. 08－至今，   南京审计大学，理学院 应用数学系，副教授

                                     

  • 2010. 06－2013. 08，南京审计学院，数学与统计学院数学系，讲师


表彰奖励

       2014年入选江苏高校“青蓝工程”优秀青年骨干教师；

       2016年入选江苏省第五期“333高层次人才培养工程”第三层次培养对象；

       2016年校优秀共产党员;

       2018年入选江苏高校“青蓝工程”中青年学术带头人;

       2019年荣获第一届南京审计大学“青年五四奖章”;

       2019年校“优秀党支部书记”.


主持主要课题


  1. 随机偏微分方程的幂变差理论与金融高频数据分析研究，教育部人文社会科学青年基金项目，项目批准号：18YJCZH101（主持人）

  2. 自相似过程的极限定理与金融高频数据分析, 2018年度省第五期“333工程”科研项目资助计划,项目批准号：BRA2018357（主持人）

  3. 几类自相似过程的幂变差理论与金融高频数据分析, 2018年江苏省高校自然科学研究重大项目，项目批准号：18KJA110002（主持人）

  4. 基于Stein方法和Malliavin 计算的自相似过程渐近行为研究及相关问题，国家自然科学基金项目，项目批准号：11401313（主持人）

  5. 两类自相似高斯过程的赋权幂变差研究及其应用，国家自然科学基金项目，项目批准号：11226198（主持人）

  6. 几类随机偏微分方程的理论性质研究及相关问题， 江苏省自然科学基金面上项目，项目批准号：BK20161579 （主持人）

  7. 基于Malliavin计算的自相似过程随机分析及相关问题，中国博士后基金特别资助，项目批准号：2015T080475（主持人）

  8. 基于长记忆数据的金融衍生品定价与金融波动率研究，江苏省“金融工程”重点实验室开放课题（主持人）



发表论文

2019年

  1. Junfeng Liu*, Intermittency and stochastic pseudo-differential equation with spatially inhomogeneous white noise, Nonlinear Differential Equations and Applications, 26(1):1-32, 2019. (SCI)

  2. Junfeng Liu*, Moderate deviations for stochastic heat equation with rough dependence in space, Acta Mathematica Sinica, English Series, 数学学报（英文版）, 35(9): 1491-1510，2019. (SCI)

  3. Junfeng Liu*, Yuquan Cang  and Xinian Fang，Moderate deviations for a class of semilinear SPDE with fractional noises, Stochastic Analysis and Applications, 37(5): 811-835，2019. (SCI)

  4. Junfeng Liu*, Fractional Kinetic equation driven by general space–time homogeneous Gaussian noise, accepted by Bulletin of Malaysian Mathematical Sciences Society, page: 1-25, 2019. (SCI)

  5. Hui Jiang, Junfeng Liu and Shaochen Wang, Self-normalized asymptotic properties for the parameter estimation in fractional Ornstein–Uhlenbeck process, Stochastics and Dynamics, 19(3): 1950018 (29 pages), 2019.

  6. Junfeng Liu*, Analysis of the density for the solution to a class of space-time fractional stochastic Kinetic equations, accepted by Advances in Mathematics (China) 数学进展，20 pages, 2019.

  7. Junfeng Liu*, Nonlinear fractional stochastic heat equation with Gaussian noise rough in space, submitted, 45 pages, 2019.

  8. Junfeng Liu*, Space-time fractional stochastic heat equation with spatially inhomogeneous white noise, submitted, 30pages, 2019.

     

    2018年

  9. Junfeng Liu and Litan Yan“*”, On a class of stochastic pseudo-differential equation with fractional noise, Stochastics and Dynamics, 18(1): 185002, 1-36, 2018. (SCI) 

  10. Yang Yang, Kam C. Yuen and Junfeng Liu, Asymptotics for ruin probabilities in Levy-driven risk models with heavy-tailed claims, Journal of Industrial and Management Optimization, 2018. (SSCI, SCI)

  11. Yuquan Cang, Qinyi Li and Junfeng Liu*, Smooth density for a class of fractional SPDE with fractional noise, 应用概率统计，34卷第3期，284-296, 2018

     

    2017年

  12.  Junfeng Liu“*”, Generalized Anderson Model with Time-Space Multiplicative Fractional Noise, Results Math, 72 (2017), 1967-1989. (SCI)

  13.  Junfeng Liu and Ciprian A. Tudor“*”，Stochastic heat equation with fractional Laplacian and fractional noise: existence of the solution and analysis of its density, Acta Mathematica Scientia, 数学物理学报（英文版）2017, 37B(6): 1545-1566. (SCI)

  14.  Junfeng Liu“*”, Yang Yang and Guangjun Shen, Weak convergence for the fourth-order stochastic heat equation with fractional noises, Bulletin of Malaysian Mathematical Sciences Society, 2017, 40: 565-580. (SCI)

  15.  Junfeng Liu“*”, Yuquan Cang and Donglei Tang, Variations and estimators for selfsimilarity parameter of sub-fractional Brownian motion via Malliavin calculus, Communications in Statistics-Theory and Methods, 2017, 46(7): 3276-3289. (SCI)

  16. Junfeng Liu“*” and Xichao Sun, Weak convergence to two parameter Volterra multi-fractional process in Besov spaces, Journal of Mathematical Research with Applications, 数学研究及应用37（5），619-630， 2017，

    2016年

  17.  Junfeng Liu and Litan Yan“*”, Solving a fractional stochastic partial differential equation with fractional-colored noise, Journal of Theoretical Probability，2016, 29: 307–347. (SCI)

  18.  Junfeng Liu and Ciprian A. Tudor“*”, Analysis of the density of the solution for a semilinear SPDE with fractional noise, Stochastics, 2016, 88(7): 959–979.  (SCI)

  19.  Junfeng Liu and Ciprian A. Tudor“*”, Central limit theorem for solution to stochastic heat equation with moving time, Infinite Dimensional Analysis, Quantum Probability and Related Topics, 2016, 19(1), 1650005 (17 pages) (SCI)

  20.  Junfeng Liu“*”, Hermite variation of subfractional Brownian motion, Advances in Mathematics (China), 数学进展，2016, 45(4): 625-640.

     

    2015年

  21.  Junfeng Liu“*”, A remark on the weight cubic variation of subfractional Brownian motion with H<1/6, Journal of Mathematical Research with Applications, 数学研究及应用，2015, 35(5): 568-580.

     

    2014年

  22.  Junfeng Liu“*” and Litan Yan, On a semilinear stochastic partial differential equation with double-parameter fractional noises, Science China Mathematics, 中国科学（英文版），2014, 57(4): 855-872. (SCI)

  23.  Litan Yan“*”, Junfeng Liu and Chao Chen, The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2,  Infinite Dimensional Analysis, Quantum Probability and Related Topics, 2014, 17(4): 32 pages. (SCI)

  24. Litan Yan“*”, Bo Gao and Junfeng Liu, The Bouleau-Yor identity for a bifractional Brownian motion, Stochastics An International Journal of Probability and Stochastic Processes, 2014, 86(3): 382-414. (SCI)

  25. Xichao Sun“*” and Junfeng Liu, Weak convergence for a class of stochastic fractional equation driven by fractional noise, Advances in Mathematical Physics, 2014, Article ID 479873, pages: 1-10. (SCI)

     

    2013年

  26.  Junfeng Liu“*”, Litan Yan and Donglei Tang, p-variation of an integral functional associated with bifractional Brownian motion, Filomat, 2013, 27(6): 995–1009. (SCI)

  27.  Junfeng Liu“*”, Mutual information for stochastic differential equation with subfractional noises, Random Operator and Stochastic Equation, 2013, 21(3):  293–303.

  28.  Guangjun Shen“*”, Litan Yan and Junfeng Liu, Power variation of subfractional Brownian motion and applications, Acta Mathematica Scientia, 数学物理学报（英文版）2013, 33B(4): 901-912. (SCI)

  29.  Junfeng Liu“*”, Remarks on the parameter estimation for the drift of fractional Brownian sheet, Acta Mathematica Vietnamica, 2013, 38(2): 241-253.

     

    2012年

  30.  Junfeng Liu“*”, Litan Yan and Yuquan Cang, On a jump-type stochastic fractional partial differential equation with fractional noises. Nonlinear Analysis: Theory, Methods and Applications, 2012, 75(16): 6060-6070. (SCI)

  31.  Junfeng Liu“*” and Litan Yan, Remarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motion, Journal of the Korean Statistical Society, 2012, 41(2): 177-187. (SCI)

     

    2011年之前

  32.  Junfeng Liu“*”, The law of a stochastic integral with two independent bifractional Brownian motions, Commun. Korean Math. Soc. 2011, 26(4): 669-684.

  33.  Junfeng Liu, Li Li and Litan Yan“*”, Sub-fractional model for credit risk pricing, International J. Nonlinear Sciences and Numerical Simulation, 2010, 11: 231-236. (SCI). 

  34.  Junfeng Liu“*”, Optimal investment for the Levy market under the mean-variance criterion. Journal of Applied Mathematics and Informatics, 2010, 28(3-4): 863-875..

  35.  Litan Yan“*”, Junfeng Liu and Xiangfeng Yang, Integration with respect to fractional local time with 1/2<H<1. Potential Analysis, 2009, 30(2): 115-138. (SCI)

  36.  Litan Yan“*”, Junfeng Liu and Chao Chen, On the collision local time of bi-fractional Brownian motion. Stochastics and Dynamics, 2009, 9(3): 479-491. (SCI)