刘俊峰
南京审计大学 理学院
最后学位：华东理工大学大学理学博士
岗位职称：副教授 硕导
研究领域：随机分析及其应用、金融统计
教学课程：应用时间序列分析、现代统计方法分析、
概率论与数理统计、线性代数、微积分
办公室：竞慧西楼408
电 话：86-025-58318699
Emai l ：junfengliu@nau.edu.cn
通讯地址：南京市浦口区雨山西路86号
邮 编：211815
学习简历
2000.09-2004.07 青岛大学应用数学系 应用数学专业 理学学士
2004.09-2007.06 河海大学数学系 概率统计专业 理学硕士
2007.09-2007.06 华东理工大学大学数学系 概率论与数理统计专业 理学博士
工作简历
2014. 09-2015. 03, 法国Universite de Lille 1, 访问学者，合作导师：Prof. Ciprian A, Tudor
2015. 07-2015. 08， 香港大学，访问学者，合作导师：Prof. Kam. C. Yuen
2013. 11－至今， 东南大学，数学系，博士后研究人员，合作导师：林金官教授
2013. 08－至今， 南京审计大学，理学院 统计学系，副教授
2010. 06－2013. 08，南京审计学院，数学与统计学院数学系，讲师
主持主要课题
1、 基于Stein方法和Malliavin 计算的自相似过程渐近行为研究及相关问题，国家自然科学基金项目，项目批准号：11401313（主持人）
2、 两类自相似高斯过程的赋权幂变差研究及其应用，国家自然科学基金项目，项目批准号：11226198（主持人）
3、 几类随机偏微分方程的理论性质研究及相关问题， 江苏省自然科学基金面上项目，项目批准号：BK20161579 （主持人）
4、 基于Malliavin计算的自相似过程随机分析及相关问题，中国博士后基金特别资助，项目批准号：2015T080475（主持人）
5、 基于长记忆数据的金融衍生品定价与金融波动率研究，江苏省“金融工程”重点实验室开放课题（主持人）
发表论文
1. Junfeng Liu and Litan Yan“*”, On a class of stochastic pseudo-differential equation with fractional noise, Stochastics and Dynamics, 2017, 36 pages. http://dx.doi.org/10.1142/S0219493718500028. (SCI)
2. Junfeng Liu“*” and Xichao Sun, Weak convergence to two parameter Volterra multi-fractional process in Besov spaces, accepted by Journal of Mathematical Research with Applications, 2017， 13 pages.
3. Yang Yang, Kam C. Yuen and Junfeng Liu, Asymptotics for ruin probabilities in Levy-driven risk models with heavy-tailed claims, accepted by Journal of Industrial and Management Optimization, 2017. (SCI)
4. Junfeng Liu“*”, Yang Yang and Guangjun Shen, Weak convergence for the fourth-order stochastic heat equation with fractional noises, Bulletin of Malaysian Mathematical Sciences Society, 2017, 40: 565-580. (SCI)
5. Junfeng Liu“*”, Yuquan Cang and Donglei Tang, Variations and estimators for selfsimilarity parameter of sub-fractional Brownian motion via Malliavin calculus, Communications in Statistics-Theory and Methods, 2017, 46(7): 3276-3289. (SCI)
6. Junfeng Liu and Litan Yan“*”, Solving a fractional stochastic partial differential equation with fractional-colored noise, Journal of Theoretical Probability，2016, 29: 307–347. (SCI)
7. Junfeng Liu and Ciprian A. Tudor“*”, Analysis of the density of the solution for a semilinear SPDE with fractional noise, Stochastics, 2016, 88(7): 959–979. (SCI)
8. Junfeng Liu and Ciprian A. Tudor“*”, Central limit theorem for solution to stochastic heat equation with moving time, Infinite Dimensional Analysis, Quantum Probability and Related Topics, 2016, 19(1), 1650005 (17 pages) (SCI)
9. Junfeng Liu“*”, Hermite variation of subfractional Brownian motion, Advances in Mathematics (China), 2016, 45(4): 625-640.
10. Junfeng Liu“*”, A remark on the weight cubic variation of subfractional Brownian motion with H<1/6, Journal of Mathematical Research with Applications, 2015, 35(5): 568-580.
11. Litan Yan“*”, Junfeng Liu and Chao Chen, The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2, Infinite Dimensional Analysis, Quantum Probability and Related Topics, 2014, 17(4): 32 pages. (SCI)
12. Litan Yan“*”, Bo Gao and Junfeng Liu, The Bouleau-Yor identity for a bifractional Brownian motion, Stochastics An International Journal of Probability and Stochastic Processes, 2014, 86(3): 382-414. (SCI)
13. Junfeng Liu“*” and Litan Yan, On a semilinear stochastic partial differential equation with double-parameter fractional noises, Science China Mathematics, 2014, 57(4): 855-872. (SCI)
14. Junfeng Liu“*”, Litan Yan and Donglei Tang, p-variation of an integral functional associated with bifractional Brownian motion, Filomat, 2013, 27(6): 995–1009. (SCI)
15. Junfeng Liu“*”, Mutual information for stochastic differential equation with subfractional noises, Random Operator and Stochastic Equation, 2013, 21(3): 293–303.
16. Xichao Sun“*” and Junfeng Liu, Weak convergence for a class of stochastic fractional equation driven by fractional noise, Advances in Mathematical Physics, 2014, Article ID 479873, pages: 1-10. (SCI)
17. Guangjun Shen“*”, Litan Yan and Junfeng Liu, Power variation of subfractional Brownianm motion and applications, Acta Mathematica Scientia, 2013, 33B(4): 901-912. (SCI)
18. Junfeng Liu“*”, Remarks on the parameter estimation for the drift of fractional Brownian sheet, Acta Mathematica Vietnamica, 2013, 38(2): 241-253.
19. Junfeng Liu“*”, Litan Yan and Yuquan Cang, On a jump-type stochastic fractional partial differential equation with fractional noises. Nonlinear Analysis:Theory,Methods &Applications, 2012, 75(16): 6060-6070. (SCI)
20. Junfeng Liu“*” and Litan Yan, Remarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motion, Journal of the Korean Statistical Society, 2012, 41(2): 177-187. (SCI)
21. Junfeng Liu“*”, Zhihang Peng, Donglei Tang and Yuquan Cang, On the self-intersection local time of subfractional Brownian motion, Abstract and Applied Analysis, 2012, article ID 414195, pages: 1-14. (SCI)
22. Junfeng Liu“*”, Litan Yan, Zhihang Peng and Deqing Wang, Remarks on the confidence interval for self-similarity parameter of a subfractional Brownian motion, Abstract and Applied Analysis, 2012, article ID 804942, pages:1-27. (SCI)
23. Junfeng Liu“*”, The law of a stochastic integral with two independent bifractional Brownian motions, Commun. Korean Math. Soc. 2011, 26(4): 669-684.
24. Junfeng Liu, Li Li and Litan Yan“*”, Sub-fractional model for credit risk pricing, International J. Nonlinear Sciences and Numerical Simulation, 2010, 11: 231-236. (SCI).
25. Junfeng Liu“*”, Optimal investment for the Levy market under the mean-variance criterion. Journal of Applied Mathematics and Informatics, 2010, 28(3-4): 863-875..
26. Litan Yan“*”, Junfeng Liu and Xiangfeng Yang, Integration with respect to fractional local time with 1/2<H<1. Potential Analysis, 2009, 30(2): 115-138. (SCI)
27. Litan Yan“*”, Junfeng Liu and Chao Chen, On the collision local time of bi-fractional Brownian motion. Stochastics and Dynamics, 2009, 9(3): 479-491. (SCI)