Title: A Refined Lindeberg Principle and Its Applications
Speaker: Peng Chen（Nanjing University of Aeronautics and Astronautics）
Time：Friday, May 26, 2023, 15:30-17:00
Location: Zoom ID： 876 0592 8254, Password：2023
Abstract: We view the classical Lindeberg principle in a homogeneous Markov proc-ess setting to establish a probability approximation framework by the associatedIto's formula and Markov operator. As applications, we study the error bounds ofthe following three approximations: multivariate normal approximation, approx1.mating a family of online stochastic gradient descents (SGDs) by a stochasticdifferential equation (SDE) driven by multiplicative Brownian motion. andEuler-Maruyama (EM) discretization for SDEs driven by alpha-stable process.Furthermore, we extend the above approximation framework to the inhomo-geneous case and consider the variable-step E-M approximations of regime-switching jump diffusion processes. This talk is based on the joint works with OM. Shao. Z.G.Su C. Deng and L.Xu .
Biography:
陈鹏，南京航空航天大学数学学院讲师。2021年于澳门大学科技学院获得概率论与数理统计博士学位，研究方向为概率极限理论，随机过程，随机算法，在Annals of Applied Probability,Applied Mathematics and Optimization Journal of Theoretical Probability, Electronic Joural of Statistics等杂志发表多篇文章，主持一项江苏省自然科学基金青年基金项目。
More information about HIT-WHU Seminar on Stochastic Analysis and Algorithms can be found here.
