报 告 人：James C. Fu

　　报告地点：数学与统计学院501室

　　报告时间：2014年07月08日星期二09:00-10:00

　　报告简介：

　　We propose a new method to obtain the boundary crossing probabil-ities or the first passage time distribution for linear or non-linear bound-aries for the Brownian motion. The method also covers certain classes of stochastic processes associated with Brownian motion. The basic idea of the method is based on being able to construct a finite Markov chain and the boundary crossing probability of Brownian motion is cast as the limiting probability of the finite Markov chain entering a set of absorbing states induced by the boundaries. Numerical results for various types of boundaries studied in the literature are provided in order to illustrate our method. A new method based on boundary crossing probability is pro-posed to predicting bankruptcy. A set of data containing 108 manufacture companies in U.S.A. has been used to verify the method.

　　主讲人简介：

　　Dr. James Chuan Fu, Professor Emeritus. Ph.D.: The Johns Hopkins University; M.A.: The Cornell University; B.A.: The National Cheng Kung University. On June 1, 2010, Dr. James C. Fu was awarded the Professor Emeritus designation by the University of Manitoba. Dr. Fu joined the Department of Statistics in 1974 and has made significant contributions to the disciplines of statistics and probability over his career. Dr. Fu has over seventy papers in scientific journals. He is best known for the development, with Markos Koutras, of the Finite Markov Chain Imbedding technique for determining probability distributions of runs and patterns. This technique has wide applicability. For example, it has been used in bioinformatics, for analyzing DNA sequences, and in reliability theory, for determining probabilities of system failures. Another of Dr. Fu's contributions is the use of the large deviation approach for studying asymptotic distributions and rates of convergence of consistent estimators. Dr. Fu has supervised a number of graduate students. His work is highly cited; one of his papers received a Citation Classic Award from the Institute for Scientific Information. Dr. Fu has served as editor or associate editor for a number of international journals and as President of the International Chinese Statistical Association. He is also a Fellow of the Institute of Mathematical Statistics. On his retirement, an international symposium, Fu-Fest 2009, was held at the University of Manitoba in his honour.