刘俊峰
发布时间:2015-12-15 浏览次数:

 

南京审计大学理学院

刘俊峰                                       

最后学位:华东理工大学大学理学博士

岗位职称:副教授                        

研究领域:随机分析,金融数学与金融统计

教学课程:金融时间序列分析、现代统计方法分析、

          概率论与数理统计、线性代数、微积分                            

                                       

办公室:竞慧西楼408

  话:86-025-58318699

Emai l junfengliu@nau.edu.cn

通讯地址:南京市浦口区雨山西路86

  编:211815 

 

学习简历                                                                                 

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

2004.09 - 2007.06       河海大学数学       概率统计专业 理学

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

 

工作简历                                                                                 

2010.07 – 现在   南京审计学院  副教授

 

主持参与课题 

1、  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)

2、  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)

3、  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,项目批准号:2015T080475(主持人)

4、  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

1、 Central limit theorem for solution to stochastic heat equation with moving time, (with Ciprian A. Tudor), to appear in Infinite Dimensional Analysis, Quantum Probability and Related Topics,(2015)

2、 Solving a fractional stochastic partial differential equation with fractional-colored noise, (with Litan Yan), to appear in Journal of Theoretical Probability, (2015)

3、 Weighted Hermite variation of subfractional Brownian motion, to appear in Advances in Mathematics (China), (2015)

4、 A remark on the weight cubic variation of subfractional Brownian motion with H<1/6, to appear in Journal of Mathematical Research with Applications, (2015)

5、 Weak convergence for the fourth-order stochastic heat equation with fractional noises, to appear in Bulletin of Malaysian Mathematical Sciences Society, (2015)

6、 Variations and estimators for selfsimilarity parameter of sub-fractional Brownian motion via Malliavin calculus, to appear in Communications in Statistics-Theory and Methods, (2015)

7、 The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2, (with Litan Yan and Chao Chen), Infinite Dimensional Analysis, Quantum Probability and Related Topics, (2014)

8、 The Bouleau-Yor identity for a bifractional Brownian motion, (with Litan Yan and Bo Gao), Stochastics An International Journal of Probability and Stochastic Processes, (2014)

9、 On a semilinear stochastic partial differential equation with double-parameter fractional noises, (with Litan Yan), Science China Mathematics, (2014)

10、        p-variation of an integral functional associated with bifractional Brownian motion, (with Litan Yan) Filomat, (2013)

11、        Mutual information for stochastic differential equation with subfractional noises, Random Operator and Stochastic Equation, (2013)

12、        Power variation of subfractional Brownianm motion and applications, (with Guangjun Shen and Litan Yan), Acta Mathematica Scientia, (2013)

13、        Weak convergence for a class of stochastic fractional equation driven by fractional noise, (with Xichao Sun), Advances in Mathematical Physics, (2013)

14、        Remarks on the parameter estimation for the drift of fractional Brownian sheet, Acta Mathematica Vietnamica, (2013)

15、       On a jump-type stochastic fractional partial differential equation with fractional noises, (with Litan Yan and Yuquan Cang), Nonlinear Analysis: TMA, (2012)

16、        Remarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motion, (with Litan Yan), Journal of the Korean Statistical Society, (2012)

17、        Remarks on the confidence interval for self-similarity  parameter of a subfractional Brownian motion, Abstract and Applied Analysis, (2012)

18、        Integration with respect to fractional local time with 1/2<H<1. (with Litan Yan and Xiangfeng Yang), Potential Analysis,(2009)

19、        On the collision local time of bi-fractional Brownian motion. (with Litan Yan and Chao Chen), Stochastics and Dynamics, (2009)

20、        Optimal investment for the Levy market under the mean-variance criterion. Journal of Applied Mathematics and Informatics, (2010)