| Publication | Date of Publication | Type |
|---|
| On Dupire formula and diffusion with given marginals | 2024-10-31 | Paper |
| Problems and solutions in stochastic calculus with applications | 2024-09-10 | Paper |
An approximation of populations on a habitat with large carrying capacity
Journal of Mathematical Biology | 2024-03-27 | Paper |
| scientific article; zbMATH DE number 7819005 (Why is no real title available?) | 2024-03-14 | Paper |
Expectation of local times and the Dupire formula
Stochastic Processes and their Applications | 2022-06-20 | Paper |
Limit theorems for multi-type general branching processes with population dependence
Advances in Applied Probability | 2021-08-04 | Paper |
On the establishment of a mutant
Journal of Mathematical Biology | 2020-05-23 | Paper |
Random variation and concentration effects in PCR
Journal of Theoretical Biology | 2020-05-06 | Paper |
Convergence of the age structure of general schemes of population processes
Bernoulli | 2020-02-12 | Paper |
Convergence of the age structure of general schemes of population processes
Bernoulli | 2020-02-12 | Paper |
Persistence of small noise and random initial conditions
Advances in Applied Probability | 2020-02-05 | Paper |
Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach
Quantitative Finance | 2019-09-26 | Paper |
Populations with interaction and environmental dependence: from few, (almost) independent, members into deterministic evolution of high densities
Stochastic Models | 2019-07-03 | Paper |
Large deviations for processes on half-line: random walk and compound Poisson
Sibirskie Elektronnye Matematicheskie Izvestiya | 2019-05-09 | Paper |
Stochasticity in the adaptive dynamics of evolution: the bare bones
Journal of Biological Dynamics | 2018-12-05 | Paper |
What can be observed in real time PCR and when does it show?
Journal of Mathematical Biology | 2018-02-12 | Paper |
Option pricing for symmetric Lévy returns with applications
Asia-Pacific Financial Markets | 2017-08-16 | Paper |
On the emergence of random initial conditions in fluid limits
Journal of Applied Probability | 2017-01-17 | Paper |
On the emergence of random initial conditions in fluid limits
Journal of Applied Probability | 2017-01-17 | Paper |
On the emergence of random initial conditions in fluid limits
Journal of Applied Probability | 2017-01-17 | Paper |
From size to age and type structure dependent branching: a first step to sexual reproduction in general population processes
Branching Processes and Their Applications | 2016-12-20 | Paper |
On the establishment, persistence, and inevitable extinction of populations
Journal of Mathematical Biology | 2016-03-11 | Paper |
Escape from the boundary in Markov population processes
Advances in Applied Probability | 2016-02-12 | Paper |
Escape from the boundary in Markov population processes
Advances in Applied Probability | 2016-02-12 | Paper |
Large deviations for processes on half-line
Electronic Communications in Probability | 2015-12-01 | Paper |
Mimicking self-similar processes
Bernoulli | 2015-08-05 | Paper |
Mimicking self-similar processes
Bernoulli | 2015-08-05 | Paper |
How did we get here?
Journal of Applied Probability | 2015-04-14 | Paper |
When a stochastic exponential is a true martingale. Extension of the Beneš method
Theory of Probability & Its Applications | 2014-06-26 | Paper |
The age structure of population-dependent general branching processes in environments with a high carrying capacity
Proceedings of the Steklov Institute of Mathematics | 2014-04-16 | Paper |
Volatility in options formulae for general stochastic dynamics
Discrete and Continuous Dynamical Systems. Series B | 2014-03-07 | Paper |
Dependence and Interaction in Branching Processes
Springer Proceedings in Mathematics & Statistics | 2013-07-08 | Paper |
| On the statistical independence of primes | 2013-04-08 | Paper |
Compound Poisson approximation for triangular arrays with application to threshold estimation
Electronic Communications in Probability | 2012-10-23 | Paper |
On the Markov property of some Brownian martingales
Stochastic Processes and their Applications | 2012-09-12 | Paper |
The Euler-Maruyama approximation for the absorption time of the CEV diffusion
Discrete and Continuous Dynamical Systems. Series B | 2012-07-04 | Paper |
Population-size-dependent, age-structured branching processes linger around
Journal of Applied Probability | 2011-10-25 | Paper |
| scientific article; zbMATH DE number 5946386 (Why is no real title available?) | 2011-09-09 | Paper |
Asymptotic analysis of ruin in the constant elasticity of variance model
Theory of Probability & Its Applications | 2011-08-09 | Paper |
The Euler-Maruyama approximations for the CEV model
Discrete and Continuous Dynamical Systems. Series B | 2011-07-27 | Paper |
Solutions and simulations of some one-dimensional stochastic differential equations
Asia-Pacific Financial Markets | 2010-11-22 | Paper |
Distribution of the Brownian motion on its way to hitting zero
Electronic Communications in Probability | 2009-11-20 | Paper |
Distribution of the Brownian motion on its way to hitting zero
Electronic Communications in Probability | 2009-11-20 | Paper |
Distribution of the Brownian motion on its way to hitting zero
Electronic Communications in Probability | 2009-11-20 | Paper |
| Prediction of missing observations by a control method | 2009-09-29 | Paper |
Prediction of missing observations by a control method
(available as arXiv preprint) | 2009-09-29 | Paper |
Option pricing for log-symmetric distributions of returns
Methodology and Computing in Applied Probability | 2009-08-31 | Paper |
Cramer's theorem for nonnegative multivariate point processes with independent increments
(available as arXiv preprint) | 2008-07-29 | Paper |
A family of non-Gaussian martingales with Gaussian marginals
Journal of Applied Mathematics and Stochastic Analysis | 2008-03-28 | Paper |
A family of non-Gaussian martingales with Gaussian marginals
Journal of Applied Mathematics and Stochastic Analysis | 2008-03-28 | Paper |
Large Deviations Analysis of Extinction in Branching Models
Mathematical Population Studies | 2008-03-28 | Paper |
On the implicit Black–Scholes formula
Stochastics | 2008-03-18 | Paper |
On nonexistence of non-constant volatility in the Black-Scholes formula
Discrete and Continuous Dynamical Systems. Series B | 2008-02-22 | Paper |
Transformations of Galton-Watson processes and linear fractional reproduction
Advances in Applied Probability | 2008-02-20 | Paper |
Estimation and prediction of a non-constant volatility
Asia-Pacific Financial Markets | 2008-02-18 | Paper |
Markovian paths to extinction
Advances in Applied Probability | 2007-09-03 | Paper |
On solutions of first order stochastic partial differential equations
(available as arXiv preprint) | 2007-08-01 | Paper |
Likely path to extinction in simple branching models with large initial population
Journal of Applied Mathematics and Stochastic Analysis | 2007-03-19 | Paper |
On Estimation of Volatility Surface and Prediction of Future Spot Volatility
Applied Mathematical Finance | 2007-02-15 | Paper |
| Random volatility and option prices with the generalized Student-\(t\) distribution | 2006-11-07 | Paper |
Tracking volatility
Problems of Information Transmission | 2006-10-26 | Paper |
| Behaviour of a dynamical system far from its equilibrium | 2006-02-13 | Paper |
| Asymptotic analysis of ruin in CEV model | 2005-11-04 | Paper |
The equivalent martingale measure conditions in a general model for interest rates
Advances in Applied Probability | 2005-09-29 | Paper |
| scientific article; zbMATH DE number 2199827 (Why is no real title available?) | 2005-08-26 | Paper |
| Likely path to extinction for simple branching model (Large Deviations approach) | 2005-07-13 | Paper |
Branching processes in near-critical random environments
Journal of Applied Probability | 2004-10-25 | Paper |
Population-size-dependent and age-dependent branching processes.
Stochastic Processes and their Applications | 2004-09-07 | Paper |
Random step functions model for interest rates
Finance and Stochastics | 2004-03-16 | Paper |
A NOTE ON AVERAGING AND HOMOGENIZATION
Stochastics and Dynamics | 2003-12-16 | Paper |
Some results on the Lotka--Volterra model and its small random perturbations
Acta Applicandae Mathematicae | 2003-12-09 | Paper |
Long term behavior of solutions of the Lotka-Volterra system under small random perturbations.
The Annals of Applied Probability | 2003-05-06 | Paper |
Asymptotic analysis and extinction in a stochastic Lotka-Volterra model
The Annals of Applied Probability | 2003-05-06 | Paper |
The age of a Galton-Watson population with a geometric offspring distribution
Journal of Applied Probability | 2003-04-28 | Paper |
Option price when the stock is a semimartingale
Electronic Communications in Probability | 2003-02-25 | Paper |
Option price when the stock is a semimartingale
Electronic Communications in Probability | 2003-02-25 | Paper |
| scientific article; zbMATH DE number 1139637 (Why is no real title available?) | 2002-02-12 | Paper |
Moderate deviations for randomly perturbed dynamical systems
Stochastic Processes and their Applications | 2001-01-17 | Paper |
On the quasi-stationary distribution for some randomly perturbed transformations of an interval
The Annals of Applied Probability | 2000-08-16 | Paper |
| scientific article; zbMATH DE number 1269547 (Why is no real title available?) | 1999-03-28 | Paper |
Large deviations for past-dependent recursions.
Problems of Information Transmission | 1998-08-19 | Paper |
| scientific article; zbMATH DE number 975602 (Why is no real title available?) | 1997-02-04 | Paper |
| scientific article; zbMATH DE number 868169 (Why is no real title available?) | 1996-11-04 | Paper |
| scientific article; zbMATH DE number 939779 (Why is no real title available?) | 1996-10-29 | Paper |
Sharp conditions for nonexplosions and explosions in Markov jump processes
The Annals of Probability | 1996-03-12 | Paper |
Autoregressive approximation in branching processes with a threshold
Stochastic Processes and their Applications | 1996-02-06 | Paper |
| scientific article; zbMATH DE number 780735 (Why is no real title available?) | 1995-11-06 | Paper |
Asymptotic behaviour of Markov population processes by asymptotically linear rate of change
Journal of Applied Probability | 1995-09-06 | Paper |
Conditions for integrability of Markov chains
Journal of Applied Probability | 1995-08-16 | Paper |
The exit problem for a class of density-dependent branching systems
The Annals of Applied Probability | 1995-06-30 | Paper |
Population-dependent branching processes with a threshold
Stochastic Processes and their Applications | 1994-06-01 | Paper |
Asymptotic behavior of near-critical multitype branching processes
Journal of Applied Probability | 1992-06-26 | Paper |
Conditions for the unlimited growth in multitype population size dependent Galton-Watson processes
Bulletin of Mathematical Biology | 1990-01-01 | Paper |
Expected number of excursions above curved boundarie by a random walk
Bulletin of the Australian Mathematical Society | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4124478 (Why is no real title available?) | 1989-01-01 | Paper |
Stochastic difference equations and generalized gamma distributions
The Annals of Probability | 1989-01-01 | Paper |
Linear growth in near-critical population-size-dependent multitype Galton–Watson processes
Journal of Applied Probability | 1989-01-01 | Paper |
Geometric growth in near-supercritical population size dependent multitype Galton-Watson processes
The Annals of Probability | 1989-01-01 | Paper |
Conditions for fixation of an allele in the density-dependent wright–Fisher models
Journal of Applied Probability | 1988-01-01 | Paper |
THE UNEMPLOYMENT RATE WHEN THE LABOUR MARKET IS MODELLED BY A MARKOV CHAIN
Australian Journal of Statistics | 1988-01-01 | Paper |
Geometric rate of growth in Markov chains with applications to population-size-dependent models with dependent offspring
Stochastic Analysis and Applications | 1986-01-01 | Paper |
On the renewal measure for Gaussian sequences
Statistics & Probability Letters | 1986-01-01 | Paper |
A limit theorem for population-size-dependent branching processes
Journal of Applied Probability | 1985-01-01 | Paper |
On population-size-dependent branching processes
Advances in Applied Probability | 1984-01-01 | Paper |
Geometric rate of growth in population-size-dependent branching processes
Journal of Applied Probability | 1984-01-01 | Paper |
Population-size-dependent branching process with linear rate of growth
Journal of Applied Probability | 1983-01-01 | Paper |
Branching random walk in varying environments
Advances in Applied Probability | 1982-01-01 | Paper |
A connection between the limit and the maximum random variable of a branching process in varying environments
Journal of Applied Probability | 1982-01-01 | Paper |
