報(bào) 告 人：陳增敬，山東大學(xué)金融研究院院長，教授，博士生導(dǎo)師
報(bào)告時(shí)間：2025.07.16 10:40-11:40
報(bào)告地點(diǎn)：蘇州大學(xué)本部天元講堂
報(bào)告摘要：In this talk, we will introduce a Bernoulli-like model in the context of nonlinear probabilities, which we call the binary uncertainty model. This work is motivated mainly from the "two-armed bandit" problem. Our model provides a new way to study the "two-armed bandit" problem and, more generally, the distribution uncertainties. In one main result we obtain the central limit theorem for this model, and give an explicit formula for the limit distribution. The limit is shown to depend heavily on the structure of the events or the integrating functions, which demonstrate the key signature of nonlinear structure. We also establish the large deviation principle and as an application, derive the weak law of large numbers. The large deviation rate function is identified explicitly. These limit theorems provide the theoretical foundation for statistical inferences.
報(bào)告人簡(jiǎn)介：陳增敬，山東大學(xué)金融研究院院長，教授，博士生導(dǎo)師。主要研究方向包括金融數(shù)學(xué)、倒向隨機(jī)微分方程、計(jì)量經(jīng)濟(jì)學(xué)等。陳增敬教授是教育部第六批“長江學(xué)者”獎(jiǎng)勵(lì)計(jì)劃特聘教授，國家杰出青年科學(xué)基金獲得者和第十四屆孫冶方經(jīng)濟(jì)科學(xué)獎(jiǎng)獲得者，作為獨(dú)立完成人完成的項(xiàng)目“資產(chǎn)定價(jià)理論中的非線性期望方法”榮獲2015年度國家自然科學(xué)二等獎(jiǎng)，與美國藝術(shù)與科學(xué)院士、著名經(jīng)濟(jì)學(xué)家Epstein合作發(fā)表在國際頂級(jí)經(jīng)濟(jì)刊Econometrica上的論文是大陸學(xué)者第一篇發(fā)表在該頂級(jí)期刊的論文，得到了被稱為Chen-Epstein的資產(chǎn)定價(jià)公式，被諾貝爾經(jīng)濟(jì)獎(jiǎng)獲得者Sargent和Hansen等國際著名專家引用或推廣。
