Speaker : Prof. Cheng-Der Fuh (National Central University)
Title : Some Limit Theorems in Markov Chains with Applications
Time : 2017-08-21 (Mon) 15:00 -
Place : Seminar Room 722, Institute of Mathematics (NTU Campus)
Abstract: In this talk, I will give a summary of some limit theorems for Markov random walks, which include central limit theorem, Edgeworth expansions and renewal theorems with rate of convergence. I also present the idea of proof based on perturbation theory. An application in quantitative finance is given for illustration.