刘俊峰

发布者:统计与数学学院发布时间:2015-12-15浏览次数:3929



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. 062013. 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“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

  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): 1491-15102019. (SCI)

  3. Junfeng Liu*, Yuquan Cang  and Xinian FangModerate deviations for a class of semilinear SPDE with fractional noises, Stochastic Analysis and Applications, 37(5): 811-8352019. (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

  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

  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

  17.  Junfeng Liu and Litan Yan“*”, Solving a fractional stochastic partial differential equation with fractional-colored noise, Journal of Theoretical Probability2016, 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

  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

  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

  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

  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)