【理學(xué)?學(xué)術(shù)報告】Domain Stability in Probability for Stochastic Systems and Probabilistic Properties of the First Hitting Time

報告摘要：In this talk, the problem of domain aiming control is formulated for stochastic controllable systems. As preliminary results, a recurrence criterion of a domain and an upper bound to the mean of the first hitting time for the domain are presented for general stochastic differential equations. Under certain conditions, it is shown that a stochastic system is recurrent with respect to a domain, and the first hitting time has a density function and its distribution function and Laplace transform can be expressed as solutions of Dirichlet problems. Hence, estimates of distribution function and density function for the first hitting time can be derived in terms of numerical methods for solving associated PDEs. Finally, the problem of domain aiming control is considered for linear controllable stochastic systems. Controller design methods and an illustrative example are given.

報告時間：4月12日10：30 -11：10

報告地點：主樓二號會議室

報告人：尹居良，廣州大學(xué)教授，博士生導(dǎo)師

個人簡介：

尹居良，2003年博士畢業(yè)于中山大學(xué)概率論與數(shù)理統(tǒng)計專業(yè)，統(tǒng)計學(xué)專業(yè)博士生導(dǎo)師。入選省級人才計劃?，F(xiàn)任中國現(xiàn)場統(tǒng)計研究會常務(wù)理事、廣東省高校統(tǒng)計學(xué)教學(xué)指導(dǎo)委員會副主任和中國工業(yè)與應(yīng)用數(shù)學(xué)學(xué)會系統(tǒng)與控制數(shù)學(xué)專業(yè)委員會委員等職務(wù)。主要從事隨機分析與隨機控制、數(shù)理金融與保險精算、隨機過程統(tǒng)計等領(lǐng)域的教學(xué)與研究工作。先后主持承擔(dān)國家自然科學(xué)基金項目3項、省部級科研項目7項，正式發(fā)表各類學(xué)術(shù)論文60余篇，其中被SCI和SSCI索引收錄42篇。2007年和2008年分別獲廣東省統(tǒng)計科學(xué)研究成果一等獎和全國優(yōu)秀統(tǒng)計成果三等獎。