| Publication | Date of Publication | Type |
|---|
Dynamics of an SIR epidemic model with limited medical resources, revisited and corrected
| 2023-10-30 | Paper |
Controlled compartmental models with time-varying population: normalization, viability and comparison
Journal of Optimization Theory and Applications | 2023-09-18 | Paper |
Optimizing dividends and capital injections limited by bankruptcy, and practical approximations for the Cramér-Lundberg process
Methodology and Computing in Applied Probability | 2023-02-17 | Paper |
Corrigendum to: ``Optimal control of a SIR epidemic with ICU constraints and target objectives
Applied Mathematics and Computation | 2022-03-14 | Paper |
Optimal control of a SIR epidemic with ICU constraints and target objectives
Applied Mathematics and Computation | 2022-01-27 | Paper |
Stability analysis of an eight parameter SIR-type model including loss of immunity, and disease and vaccination fatalities
| 2021-12-16 | Paper |
General drawdown of general tax model in a time-homogeneous Markov framework
Journal of Applied Probability | 2021-12-01 | Paper |
Do generalized draw-down times lead to better dividends? A Pontryagin principle-based answer
IMA Journal of Mathematical Control and Information | 2021-11-05 | Paper |
Optimal Control of a SIR Epidemic With ICU Constraints and Target Objectives
| 2021-08-24 | Paper |
Beyond Wentzell-Freidlin: semi-deterministic approximations for diffusions with small noise and a repulsive critical boundary point
| 2021-08-03 | Paper |
Maximum drawdown and drawdown duration of spectrally negative Lévy processes decomposed at extremes
Journal of Theoretical Probability | 2021-07-26 | Paper |
A review of matrix SIR Arino epidemic models
| 2021-06-01 | Paper |
A Review of First-Passage Theory for the Segerdahl Risk Process and Extensions
| 2021-03-16 | Paper |
TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
ESAIM: Probability and Statistics | 2020-11-24 | Paper |
Purely excessive functions and hitting times of continuous-time branching processes
Methodology and Computing in Applied Probability | 2019-12-19 | Paper |
First passage problems for upwards skip-free random walks via the scale functions paradigm
Advances in Applied Probability | 2019-12-09 | Paper |
A Pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative Markov processes, until a generalized draw-down time
Scandinavian Actuarial Journal | 2019-11-06 | Paper |
On the central management of risk networks
Advances in Applied Probability | 2019-09-16 | Paper |
Steady-state analysis of the single vacation \(\mathrm{PH}/\mathrm{MSP}/1/\infty\) queue using roots
| 2018-05-24 | Paper |
On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications
Theory of Probability and Mathematical Statistics | 2018-03-09 | Paper |
Spectrally negative Lévy processes with Parisian reflection below and classical reflection above
Stochastic Processes and their Applications | 2017-12-01 | Paper |
On taxed spectrally negative Lévy processes with draw-down stopping
Insurance Mathematics & Economics | 2017-09-19 | Paper |
On a class of dependent Sparre Andersen risk models and a bailout application
Insurance Mathematics & Economics | 2016-12-14 | Paper |
Progressive orthogonal wavelets: a review
| 2016-10-20 | Paper |
A survey of some recent results on risk theory
ESAIM: Proceedings | 2015-11-17 | Paper |
Modeling probability densities with sums of exponentials via polynomial approximation
Journal of Computational and Applied Mathematics | 2015-09-09 | Paper |
On Gerber-Shiu functions and optimal dividend distribution for a Lévy risk process in the presence of a penalty function
The Annals of Applied Probability | 2015-07-27 | Paper |
On Dümbgen's exponentially modified Laplace continued fraction for Mill's ratio
| 2015-03-11 | Paper |
Limit theorems for additive functionals of stationary fields, under integrability assumptions on the higher order spectral densities
Stochastic Processes and their Applications | 2015-02-27 | Paper |
On matrix exponential approximations of ruin probabilities for the classic and Brownian perturbed Cramér-Lundberg processes
Insurance Mathematics & Economics | 2015-02-03 | Paper |
scientific article; zbMATH DE number 6315464 (Why is no real title available?)
| 2014-07-09 | Paper |
On multiserver retrial queues: history, Okubo-type hypergeometric systems and matrix continued-fractions
Asia-Pacific Journal of Operational Research | 2014-06-26 | Paper |
scientific article; zbMATH DE number 6302927 (Why is no real title available?)
| 2014-06-11 | Paper |
Spectral representation of transition density of Fisher–Snedecor diffusion
Stochastics | 2014-04-25 | Paper |
The tax identity for Markov additive risk processes
Methodology and Computing in Applied Probability | 2014-04-14 | Paper |
Parameter estimation for Fisher-Snedecor diffusion
Statistics | 2014-03-14 | Paper |
Uniform asymptotics of ruin probabilities for Lévy processes
Markov Processes and Related Fields | 2014-01-03 | Paper |
On spectral analysis of heavy-tailed Kolmogorov-Pearson diffusions
Markov Processes and Related Fields | 2013-12-13 | Paper |
Loss systems with slow retrials in the Halfin-Whitt regime
Advances in Applied Probability | 2013-04-11 | Paper |
On symbolic RG factorization of quasi-birth-and-death processes
Top | 2013-02-26 | Paper |
Comments on: Light tail asymptotics in multidimensional reflecting processes for queueing networks
Top | 2013-02-26 | Paper |
On matrix exponential approximations of the infimum of a spectrally negative Levy process
| 2012-10-09 | Paper |
Hypothesis testing for Fisher-Snedecor diffusion
Journal of Statistical Planning and Inference | 2012-07-06 | Paper |
scientific article; zbMATH DE number 5994711 (Why is no real title available?)
| 2012-01-05 | Paper |
scientific article; zbMATH DE number 5994710 (Why is no real title available?)
| 2012-01-05 | Paper |
On a Szegö type limit theorem, the Hölder-Young-Brascamp-Lieb inequality, and the asymptotic theory of integrals and quadratic forms of stationary fields
ESAIM: Probability and Statistics | 2011-03-31 | Paper |
A Lie systems approach for the first passage-time of piecewise deterministic processes
| 2010-08-16 | Paper |
On spectral properties and statistical analysis of Fisher-Snedecor diffusion
| 2010-07-28 | Paper |
On the efficient evaluation of ruin probabilities for completely monotone claim distributions
Journal of Computational and Applied Mathematics | 2010-02-12 | Paper |
Series Expansions for the First Passage Distribution of Wong–Pearson Jump-Diffusions
Stochastic Analysis and Applications | 2009-08-13 | Paper |
The Gerber-shiu Expected Discounted Penalty-reward Function under an Affine Jump-diffusion Model
ASTIN Bulletin | 2009-06-25 | Paper |
Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
The Annals of Applied Probability | 2009-01-13 | Paper |
A two-dimensional ruin problem on the positive quadrant
Insurance Mathematics & Economics | 2008-08-22 | Paper |
On the optimal dividend problem for a spectrally negative Lévy process
The Annals of Applied Probability | 2008-01-18 | Paper |
A two-dimensional ruin problem on the positive quadrant, with exponential claims: Feynman-Kac formula, Laplace transform and its inversion
| 2007-06-08 | Paper |
On a Szegö type limit theorem and the asymptotic theory of random sums, integrals and quadratic forms
Lecture Notes in Statistics | 2007-01-09 | Paper |
Ruin Probabilities and Deficit for the Renewal Risk Model with Phase-type Interarrival Times
ASTIN Bulletin | 2006-10-04 | Paper |
Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models
ASTIN Bulletin | 2006-10-04 | Paper |
A Method for Computing Double Band Policies for Switching between Two Diffusions
Probability in the Engineering and Informational Sciences | 2006-08-30 | Paper |
Russian and American put options under exponential phase-type Lévy models.
Stochastic Processes and their Applications | 2005-11-29 | Paper |
scientific article; zbMATH DE number 2217836 (Why is no real title available?)
| 2005-10-26 | Paper |
Erlangian Approximations for Finite-Horizon Ruin Probabilities
ASTIN Bulletin | 2005-03-30 | Paper |
Large deviations of the waiting time for tandem queueing systems
Siberian Advances in Mathematics | 2004-09-06 | Paper |
Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
The Annals of Applied Probability | 2004-06-10 | Paper |
scientific article; zbMATH DE number 2047477 (Why is no real title available?)
| 2004-02-29 | Paper |
Finite time ruin probabilities with one Laplace inversion.
Insurance Mathematics & Economics | 2003-11-16 | Paper |
Robustness of the \(R/S\) statistic for fractional stable noises
Statistical Inference for Stochastic Processes | 2001-09-17 | Paper |
Explicit solutions for variational problems in the quadrant
Queueing Systems | 2001-06-19 | Paper |
scientific article; zbMATH DE number 1263267 (Why is no real title available?)
| 1999-10-03 | Paper |
scientific article; zbMATH DE number 1060027 (Why is no real title available?)
| 1998-08-31 | Paper |
scientific article; zbMATH DE number 786521 (Why is no real title available?)
| 1996-05-20 | Paper |
On central limit theorems in geometrical probability
The Annals of Applied Probability | 1994-04-06 | Paper |
A Product Design Problem in Semiconductor Manufacturing
Operations Research | 1993-01-05 | Paper |
Central Limit Theorems for Sums of Wick Products of Stationary Sequences
| 1992-09-26 | Paper |
Generalized Szego Theorems and Asymptotics of Cumulants by Graphical Methods
Transactions of the American Mathematical Society | 1992-09-26 | Paper |
Weak convergence of sums of moving averages in the \(\alpha\)-stable domain of attraction
The Annals of Probability | 1992-06-28 | Paper |
The minimum spanning tree constant in geometrical probability and under the independent model: A unified approach
The Annals of Applied Probability | 1992-06-28 | Paper |
Hölder’s Inequality for Functions of Linearly Dependent Arguments
SIAM Journal on Mathematical Analysis | 1992-06-25 | Paper |
Probability bounds for M-Skorohod oscillations
Stochastic Processes and their Applications | 1989-01-01 | Paper |
A Generalized Holder Inequality and a Generalized Szego Theorem
Proceedings of the American Mathematical Society | 1989-01-01 | Paper |
On bilinear forms in Gaussian random variables and Toeplitz matrices
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1988-01-01 | Paper |
Weak convergence of the variations, iterated integrals and Doléans-Dade exponentials of sequences of semimartingales
The Annals of Probability | 1988-01-01 | Paper |
Noncentral limit theorems and Appell polynomials
The Annals of Probability | 1987-01-01 | Paper |
scientific article; zbMATH DE number 3971879 (Why is no real title available?)
| 1986-01-01 | Paper |
Symmetric polynomials of random variables attracted to an infinitely divisible law
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1986-01-01 | Paper |
scientific article; zbMATH DE number 3895994 (Why is no real title available?)
| 1985-01-01 | Paper |
On critical distortion for Markov sources (Corresp.)
IEEE Transactions on Information Theory | 1985-01-01 | Paper |
