| Publication | Date of Publication | Type |
|---|
Boundary approximation for sticky jump-reflected processes on the half-line
Electronic Journal of Probability | 2024-04-10 | Paper |
| IID time series testing | 2023-12-15 | Paper |
IID time series testing
(available as arXiv preprint) | 2023-12-15 | Paper |
| The Variance-Gamma Distribution: A Review | 2023-03-09 | Paper |
Birth and death processes in interactive random environments
Queueing Systems | 2022-11-09 | Paper |
Transient behaviors of single-server queues with diffusive rates
Queueing Systems | 2022-06-16 | Paper |
| Modified Method of Moments for Generalized Laplace Distribution | 2022-03-21 | Paper |
Birth and Death Processes in Interactive Random Environments
(available as arXiv preprint) | 2022-03-19 | Paper |
Penalty method for obliquely reflected diffusions
Lithuanian Mathematical Journal | 2021-12-09 | Paper |
Sub-exponential rate of convergence to equilibrium for processes on the half-line
Statistics & Probability Letters | 2021-11-12 | Paper |
Optimal portfolio with power utility of absolute and relative wealth
Statistics & Probability Letters | 2021-11-12 | Paper |
A stock market model based on CAPM and market size
Annals of Finance | 2021-11-04 | Paper |
A note on jump Atlas models
Brazilian Journal of Probability and Statistics | 2021-06-11 | Paper |
A note on jump Atlas models
Brazilian Journal of Probability and Statistics | 2021-06-11 | Paper |
Optimal Portfolio with Power Utility of Absolute and Relative Wealth
(available as arXiv preprint) | 2021-05-17 | Paper |
Convergence rate to equilibrium in Wasserstein distance for reflected jump-diffusions
Statistics & Probability Letters | 2020-09-01 | Paper |
Stationary distributions and convergence for \(M/M/1\) queues in interactive random environment
Queueing Systems | 2020-03-26 | Paper |
Talagrand concentration inequalities for stochastic partial differential equations
Stochastic and Partial Differential Equations. Analysis and Computations | 2020-03-06 | Paper |
Dynamic contagion in a banking system with births and defaults
Annals of Finance | 2020-01-31 | Paper |
Exponential convergence rate of ruin probabilities for level-dependent Lévy-driven risk processes
Journal of Applied Probability | 2019-12-17 | Paper |
Stationary distributions and convergence for Walsh diffusions
Bernoulli | 2019-09-25 | Paper |
Large rank-based models with common noise
Statistics & Probability Letters | 2019-09-05 | Paper |
A note on transportation cost inequalities for diffusions with reflections
Electronic Communications in Probability | 2019-05-16 | Paper |
A note on transportation cost inequalities for diffusions with reflections
Electronic Communications in Probability | 2019-05-16 | Paper |
Comparison techniques for competing Brownian particles
Journal of Theoretical Probability | 2019-05-07 | Paper |
Weak convergence of obliquely reflected diffusions
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2018-11-09 | Paper |
Weak convergence of obliquely reflected diffusions
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2018-11-09 | Paper |
Two-sided infinite systems of competing Brownian particles
ESAIM: Probability and Statistics | 2018-08-07 | Paper |
Infinite systems of competing Brownian particles
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2018-03-05 | Paper |
Infinite systems of competing Brownian particles
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2018-03-05 | Paper |
Reflected Brownian motion in a convex polyhedral cone: tail estimates for the stationary distribution
Journal of Theoretical Probability | 2017-10-23 | Paper |
Multiple collisions in systems of competing Brownian particles
Bernoulli | 2017-09-21 | Paper |
Multiple collisions in systems of competing Brownian particles
Bernoulli | 2017-09-21 | Paper |
Stationary gap distributions for infinite systems of competing Brownian particles
Electronic Journal of Probability | 2017-07-10 | Paper |
Stationary gap distributions for infinite systems of competing Brownian particles
Electronic Journal of Probability | 2017-07-10 | Paper |
| Convergence and Stationary Distributions for Walsh Diffusions | 2017-06-21 | Paper |
Penalty method for reflected diffusions on the half-line
Stochastics | 2017-04-11 | Paper |
Yet another condition for absence of collisions for competing Brownian particles
Electronic Communications in Probability | 2017-02-07 | Paper |
Yet another condition for absence of collisions for competing Brownian particles
Electronic Communications in Probability | 2017-02-07 | Paper |
| Explicit Rates of Exponential Convergence for Reflected Jump-Diffusions on the Half-Line | 2017-01-13 | Paper |
Explicit Rates of Exponential Convergence for Reflected Jump-Diffusions on the Half-Line
(available as arXiv preprint) | 2017-01-13 | Paper |
Diverse market models of competing Brownian particles with splits and mergers
The Annals of Applied Probability | 2016-08-23 | Paper |
Diverse market models of competing Brownian particles with splits and mergers
The Annals of Applied Probability | 2016-08-23 | Paper |
Penalty Method for Obliquely Reflected Diffusions
(available as arXiv preprint) | 2015-09-06 | Paper |
Triple and simultaneous collisions of competing Brownian particles
Electronic Journal of Probability | 2015-08-07 | Paper |
On a class of diverse market models
Annals of Finance | 2014-11-13 | Paper |
| Tail Asymptotic of Sum and Product of Random Variables with Applications in the Theory of Extremes of Conditionally Gaussian Processes | 2011-07-19 | Paper |
| Statistical Investigation of Increments of Currency Rates Logarithms | 2011-07-19 | Paper |
| On a Generalization of Bernoulli and Euler Numbers | 2011-07-19 | Paper |
