A Refined Lindeberg Principle and Its Applications

Release time:2023-05-09Views:230

Title: A Refined Lindeberg Principle and Its Applications


Speaker: Peng ChenNanjing 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 .


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.

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