A new method for solving some first passage time problems by Laguerre series expansion
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：张志民教授
：2019-12-18 14:30
：实验楼105
Speaker：Prof. Zhiming Zhang
Chongqing University
Title: A new method for solving some first passage time problems by Laguerre series expansion
Time：18 Dec 2019, 14:30
Location：实验楼105
Abstract: We propose for the first time an explicit closed-form Laguerre series expansion formula for the first passage time density function of a general jump diffusion. In contrast to existing methods in the literature based on numerical Laplace transform inversion, the proposed formula enjoys several advantages: it is in analytical closed-form, simple to implement, converge quickly. Two methods are proposed to compute the Laguerre coefficients, where the first method is based on the fluid embedding technique, the second method relies on potential densities. Various numerical examples are presented to show effectiveness of our method.
Speaker Introduction：张志民，重庆大学教授，博士生导师，重庆市学术技术带头人，主要研究方向包括风险管理与精算学、金融数学、金融统计、应用随机过程等。目前已经发表50余篇SCI论文，其中多篇论文发表在精算学主流杂志IME、SAJ、ASTIN上。作为项目负责人，主持国家自然基金面上项目2项，青年基金1项，重庆市科委面上项目2项，教育部博士点基金1项。
联系人：王文元副教授
