CAST Seminar: Wei Sun

Join us at the CANSSI Ontario STatistics Seminars (CAST) with

Wei Sun

Full Professor
Department of Mathematics and Statistics
Concordia University

Talk Title

Parameter Estimation for Stochastic Differential Equations Driven by Levy Noise with Time-Dependency

Abstract

We study parameter estimation for discretely observed stochastic differential equations driven by small Levy noise with time-dependency. Under certain regularity conditions on the drift and dispersion functions, we obtain consistency and rate of convergence of the least squares estimator. Simulations and real data analysis related to the stochastic SIR model are provided as an example to illustrate the results.

Speaker Profile

Dr. Wei Sun received his PhD in probability theory and mathematical statistics from the Institute of Applied Mathematics, Chinese Academy of Sciences in 1998. In July 2004 he joined the Department of Mathematics and Statistics at Concordia University at the rank of Assistant Professor and was promoted to Full Professor in June 2015. Dr. Sun’s research interests include probability theory, stochastic processes, stochastic analysis, and their applications. He has published over 70 refereed papers in leading mathematics and statistics journals. He holds an NSERC Discovery grant for the period 2005-2030. Currently he is working on some challenging open problems in the field of stochastic analysis.