瑞士苏黎世联邦理工学院Freddy Delbaen教授学术报告
报告题目：An extension of weak convergence of probability measures with some applications in number theory
时间：2011年11月25日（星期五）下午15:00-16:00
地点：虎溪校区数统学院楼3楼301室
内容简介：In Statistics local convergence theorems are usually based on Gnedenko's conditions. We rephrase these conditions in a more general context using some Fourier analysis. The outcome is a local convergence theorem that yields some results in random matrix theory as well as in number theory. We illustrate this by making an analysis of the convergence in the zeta distribution or Zapf distribution. (joint work with A, Nikeghbali and E. Kowlaski)
Freddy Delbaen教授简介：
Freddy Delbaen, 瑞士苏黎世联邦理工学院数学系教授。 (注：苏黎世联邦理工学院(ETH Zürich)于1854年由瑞士联邦创建， 如今已是和美国麻省理工学院齐名的精英理工大学，汇集了世界高水平的师资力量和优秀的生源。从苏黎世联邦理工学院里走出了包括爱因斯坦在内的21名诺贝尔奖获得者)
Freddy Delbaen 教授1971年博士毕业于比利时布鲁塞尔自由大学。1978-1995，布鲁塞尔自由大学全职教授，1995-2008，瑞士苏黎世联邦理工学院全职教授，2008年至今，苏黎世联邦理工学院名誉教授。作为访问教授，长期或短期访问过Oxford University，Tokyo University，Tokyo Institute of Technology, Hitotsubashi University, Tsukuba University, Osaka University, Kyoto University, University of Vienna, Technical University of Vienna, Academy of Sciences (Beijing), Fudan University (Shanghai)等全球近二十余所大学和研究院。现为European Mathematical Society, American Mathematical Society, Mathematical Association of America, Swiss Mathematical Society, Bachelier Finance Society, IMS, Bernoulli, Swiss Actuarial Society等学会成员。
主要研究领域：
Financial Mathematics, Probability Theory, Functional Analysis, Mathematical Economics,
附：Freddy Delbaen教授部分发表论文和出版专著
1. Characterisation of Coherent Risk Measures, (with Artzner, Eber, Heath) Mathematical Finance, vol 9, 1999, p. 145-175
2. Applications to Mathematical Finance (with Schachermayer), Chapter 9 in Johnson-Lindenstrauss: Handbook of the Geometry of Banach Spaces, 2001. 367-391
3. Passport Options (with M. Yor), Mathematical Finance, vol 12, No 4, p299-328
4. Thinking Coherently (with Artzner, Eber and Heath), Risk 10, (1997), No11, 68-70
5. Optimal Rules for the Sequential Selection of Monotone Subsequences of Maximum Length (with Bruss), Stoch. Proc. and their Appli, 96, 2001. 313-342
6. A central limit theorem for the optimal selection process for monotone subsequences of maximum length (with Bruss), Stoch. Proc. and their Appli, 2004, vol 114, pages 287-311
7. Coherent Risk Measures, Monograph, Scuola Normale Superiore di Pisa, 2001, 63 pages
8. Coherent Risk Measures on General Probability Spaces, Festschrift fur Dieter Sondermann, Advances in Finances and Stochastics, pages 1-38
9. No Arbitrage Condition for Positive Diffusion Processes, Asia-Pacific Financial Markets 9, 2002, pages 159-168 (with Shirakawa)
10. A Note on Option Pricing for the Constant Elasticity of Variance Model Asia-Pacific Financial Markets 9, 2002, pages 85-99 (with Shirakawa)
11. An Interest Rate Model with Upper and Lower Bounds, Asia-Pacific Financial Markets 9, 2002, pages 191-209 (with Shirakawa)
12. The Mathematics of Arbitrage (with Schachermayer), Springer Finance, Monograph, 2005, 373 pages
13. What is a free lunch? (with Schachermayer), Notices American Mathematical Society, 2004, vol 51, 5, pages 526-528
14. Coherent and convex monetary risk measures for bounded cadlag processes (with Cheridito and Kupper), Stochastic Processes and their applications, 2004, vol 112, pages 1-22
15. Coherent and convex monetary risk measures for unbounded cdlg processes (with Cheridito and Kupper), Finance and Stochastics, 2005, vol 9, pages 369-387
16. Dynamic monetary risk measures for bounded discrete time processes (with Cheridito and Kupper), Electronic Journal of Probability, 2006, vol 11, pages 56-106
17. On the Law of one Price (with Courteauld, Kabanov and Stricker), Finance and Stochastics, 2004, Volume 8, Number 4, 525 - 530
18. Hedging bounded claims with bounded outcomes, Adv. in Math. Econ 2006, 6, pages 75-86
19. Coherent Multiperiod Risk Adjusted Values and Bellman's Princicples, (with P. Artzner, H. Ku, J.M. Eber, and D. Heath), Annals of Operations Research, 2007, 152, 5-22
20. Risk Measures and Efficient Use of Capital, (with Artzner, Koch-Medina) ASTIN Bulletin, 2008
21. Risk measures for non-integrable random variables, Math. Finance, 2009, 19, 329-333
22. Representation of the penalty term of dynamic concave utilities (with Peng Shige, Rosazza Gianin Emanuela), Finance and Stochastics, 2010, 14, 449-472
23. Harmonic analysis of stochastic equations and backward stochastic differential equations (with S. Tang), Probability theory and related fields, 2010, 146, 291-336
24. Existence and Non- Uniqueness of Solutions for BSDE (with Bao and Hu),
Essays in Honour of Eckhard Platen , Springer, 2010
25. Differentiability Properties of Utility Functions, in Optimality and Risk - Modern Trends in Mathematical Finance, The Kabanov Festschrift, ed. Delbaen, Freddy; Rasonyi, Mikls; Stricker, Christophe, 2010
26. Backward SDEs with superquadratic growth (with Ying Hu and Xiaobo Bao), Probability theory and related fields, 2010
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