| Publication | Date of Publication | Type |
|---|
Graphical models for infinite measures with applications to extremes
The Annals of Applied Probability | 2025-11-01 | Paper |
One-sided Markov additive processes with lattice and non-lattice increments
Stochastic Processes and their Applications | 2025-10-29 | Paper |
A series expansion formula of the scale matrix with applications in CUSUM analysis
Stochastic Processes and their Applications | 2024-03-04 | Paper |
Lévy processes conditioned to stay in a half-space with applications to directional extremes
Modern Stochastics. Theory and Applications | 2023-06-22 | Paper |
Spherical clustering in detection of groups of concomitant extremes
Biometrika | 2023-03-01 | Paper |
Probability of total domination for transient reflecting processes in a quadrant
Advances in Applied Probability | 2022-12-13 | Paper |
| Graphical models for infinite measures with applications to extremes and L\'evy processes | 2022-11-28 | Paper |
Optimal estimation of the supremum and occupation times of a self-similar Lévy process
Electronic Journal of Statistics | 2022-05-11 | Paper |
On scale functions for Lévy processes with negative phase-type jumps
Queueing Systems | 2021-11-29 | Paper |
Implementable coupling of Lévy process and Brownian motion
Stochastic Processes and their Applications | 2021-11-03 | Paper |
Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon
Stochastic Processes and their Applications | 2021-11-03 | Paper |
Recovering Brownian and jump parts from high-frequency observations of a Lévy process
Bernoulli | 2021-09-10 | Paper |
Stochastic decompositions in bivariate risk and queueing models with mutual assistance
Stochastic Models | 2021-06-14 | Paper |
Discretization of the Lamperti representation of a positive self-similar Markov process
Stochastic Processes and their Applications | 2021-06-04 | Paper |
Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid
Electronic Journal of Probability | 2020-09-29 | Paper |
Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid
Electronic Journal of Probability | 2020-09-29 | Paper |
| Optimal estimation of some random quantities of a L\'evy process | 2020-01-08 | Paper |
A factorization of a Lévy process over a phase-type horizon
Stochastic Models | 2019-05-07 | Paper |
On the longest gap between power-rate arrivals
Bernoulli | 2019-01-28 | Paper |
On the longest gap between power-rate arrivals
Bernoulli | 2019-01-28 | Paper |
Discretization error for a two-sided reflected Lévy process
Queueing Systems | 2018-11-02 | Paper |
Linking dividends and capital injections -- a probabilistic approach
Scandinavian Actuarial Journal | 2018-08-31 | Paper |
| On the joint distribution of tax payments and capitalinjections for a Lévy risk model | 2018-08-08 | Paper |
Zooming in on a Lévy process at its supremum
The Annals of Applied Probability | 2018-06-29 | Paper |
Zooming in on a Lévy process at its supremum
The Annals of Applied Probability | 2018-06-29 | Paper |
Robust bounds in multivariate extremes
The Annals of Applied Probability | 2018-03-08 | Paper |
Robust bounds in multivariate extremes
The Annals of Applied Probability | 2018-03-08 | Paper |
Splitting and time reversal for Markov additive processes
Stochastic Processes and their Applications | 2017-06-30 | Paper |
Time inhomogeneity in longest gap and longest run problems
Stochastic Processes and their Applications | 2016-12-27 | Paper |
Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations
Stochastic Processes and their Applications | 2016-12-27 | Paper |
Sparre Andersen identity and the last passage time
Journal of Applied Probability | 2016-08-11 | Paper |
Sparre Andersen identity and the last passage time
Journal of Applied Probability | 2016-08-11 | Paper |
A Lévy-derived process seen from its supremum and max-stable processes
Electronic Journal of Probability | 2016-05-23 | Paper |
A Lévy-derived process seen from its supremum and max-stable processes
Electronic Journal of Probability | 2016-05-23 | Paper |
Exit identities for Lévy processes observed at Poisson arrival times
Bernoulli | 2016-05-12 | Paper |
Exit identities for Lévy processes observed at Poisson arrival times
Bernoulli | 2016-05-12 | Paper |
Transient analysis of a stationary Lévy-driven queue
Statistics & Probability Letters | 2015-12-23 | Paper |
A bivariate risk model with mutual deficit coverage
Insurance Mathematics & Economics | 2015-09-14 | Paper |
A bivariate risk model with mutual deficit coverage
Insurance Mathematics & Economics | 2015-09-14 | Paper |
Exact boundaries in sequential testing for phase-type distributions
Journal of Applied Probability | 2015-04-14 | Paper |
Exact boundaries in sequential testing for phase-type distributions
Journal of Applied Probability | 2015-04-14 | Paper |
Potential measures of one-sided Markov additive processes with reflecting and terminating barriers
(available as arXiv preprint) | 2015-02-26 | Paper |
| Potential measures of one-sided Markov additive processes with reflecting and terminating barriers | 2015-02-26 | Paper |
Power identities for Lévy risk models under taxation and capital injections
Stochastic Systems | 2014-10-07 | Paper |
Power identities for Lévy risk models under taxation and capital injections
Stochastic Systems | 2014-10-07 | Paper |
Lévy-driven polling systems and continuous-state branching processes
(available as arXiv preprint) | 2014-07-21 | Paper |
Two coupled Lévy queues with independent input
(available as arXiv preprint) | 2014-07-21 | Paper |
A note on killing with applications in risk theory
Insurance Mathematics & Economics | 2014-07-16 | Paper |
On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models
Journal of Applied Probability | 2014-05-14 | Paper |
The tax identity for Markov additive risk processes
Methodology and Computing in Applied Probability | 2014-04-14 | Paper |
| A risk model with an observer in a Markov environment | 2013-10-11 | Paper |
Another look into decomposition results
Queueing Systems | 2013-09-05 | Paper |
Occupation densities in solving exit problems for Markov additive processes and their reflections
Stochastic Processes and their Applications | 2012-08-14 | Paper |
Two-sided reflection of Markov-modulated Brownian motion
Stochastic Models | 2012-08-13 | Paper |
First Passage of a Markov Additive Process and Generalized Jordan Chains
Journal of Applied Probability | 2011-01-13 | Paper |
Markov-modulated Brownian motion with two reflecting barriers
Journal of Applied Probability | 2011-01-13 | Paper |
Singularities of the matrix exponent of a Markov additive process with one-sided jumps
Stochastic Processes and their Applications | 2010-08-18 | Paper |
First passage of time-reversible spectrally negative Markov additive processes
Operations Research Letters | 2010-05-07 | Paper |
SOFSEM 2005: Theory and Practice of Computer Science
Lecture Notes in Computer Science | 2005-12-07 | Paper |
A new approach to fluctuations of reflected L\'{e}vy processes
(available as arXiv preprint) | N/A | Paper |
