教育部人文社科重点研究基地中央财经大学中国精算研究院学术活动

精算论坛第255期讲座

(2024年12月23日)

讲座主题：Dirac Delta Family Stochastic Derivative Estimator and Applications

摘要：In this paper, we propose a new stochastic derivative estimator by utilizing the Dirac Delta family method, i.e. represent the probability density function through the Dirac Delta function and then utilize Delta family/sequences to approximate. In a novel way, we combine it with classical infinitesimal perturbation analysis (IPA) estimators and likelihood ratio method (LRM) estimators, and propose a new class of Delta-family (DF) based stochastic derivative estimators. We establish an explicit non-asymptotic error bound for the Delta-family IPA estimator, which bypasses the usual assumption of interchangeability of limit and differentiation in the literature of IPA-type stochastic derivative estimators.

报告人：

崔振嵛，理学博士，Stevens Institute of Technology商学院副教授，博士生导师，博士毕业于University of Waterloo，现任International Journal of Finance and Economics副主编。主要研究兴趣有金融工程，随机模拟，及金融科技，在Mathematical Finance, SIAM Journal on Financial Mathematics, INFORMS Journal on Computing, Econometric Theory, Journal of Financial Econometrics, European Journal of Operational Research等杂志发表数十篇论文。目前主持NSF CNS-2113906: “Fast Quantum Method for Financial Risk Measurement”科研项目。

讲座时间：2024年12月23日（周一）

上午9:00-10:00

报告地点：腾讯会议615 852 192

邀 请 人：韦晓