| Publication | Date of Publication | Type |
|---|
Volatility modelling in a Markov-switching environment: two Ornstein-Uhlenbeck-related approaches
Finance and Stochastics | 2025-09-23 | Paper |
Limit theorems for stochastic exponentials of matrix-valued Lévy processes
Journal of Theoretical Probability | 2025-07-15 | Paper |
On moments of integrals with respect to Markov additive processes and of Markov modulated generalized Ornstein-Uhlenbeck processes
Stochastic Processes and their Applications | 2024-07-10 | Paper |
On moments of downward passage times for spectrally negative Lévy processes
Journal of Applied Probability | 2023-05-08 | Paper |
On <i>q</i>-scale functions of spectrally negative Lévy processes
Advances in Applied Probability | 2023-05-05 | Paper |
Moments of the ruin time in a Lévy risk model
Methodology and Computing in Applied Probability | 2023-02-17 | Paper |
| Invariant measures of L\'evy-type operators and their associated Markov processes | 2022-08-16 | Paper |
| On moments of integrals with respect to Markov additive processes and of Markov modulated generalized Ornstein-Uhlenbeck processes | 2022-07-22 | Paper |
Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory
Bernoulli | 2022-05-16 | Paper |
Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory
Bernoulli | 2022-05-16 | Paper |
A \(2\times 2\) random switching model and its dual risk model
Queueing Systems | 2022-01-24 | Paper |
Continuity properties and the support of killed exponential functionals
Stochastic Processes and their Applications | 2021-09-03 | Paper |
Moments of the ruin time in a L\'evy risk model
(available as arXiv preprint) | 2021-08-11 | Paper |
On the law of killed exponential functionals
Electronic Journal of Probability | 2021-07-21 | Paper |
Ruin probabilities for risk processes in a bipartite network
Stochastic Models | 2021-05-17 | Paper |
Theory of Stochastic Objects: Probability, Stochastic Processes and Inference.
Journal of the American Statistical Association | 2020-08-03 | Paper |
| On $q$-scale functions of spectrally negative compound Poisson processes | 2020-07-31 | Paper |
Exponential functionals of Markov additive processes
Electronic Journal of Probability | 2020-05-29 | Paper |
Exponential functionals of Markov additive processes
Electronic Journal of Probability | 2020-05-29 | Paper |
Laplace symbols and invariant distributions
Statistics & Probability Letters | 2018-06-14 | Paper |
On the range of exponential functionals of Lévy processes
Lecture Notes in Mathematics | 2017-06-22 | Paper |
A class of scale mixtures of \(\operatorname{Gamma}(k)\)-distributions that are generalized gamma convolutions
Bernoulli | 2017-01-11 | Paper |
A class of scale mixtures of \(\operatorname{Gamma}(k)\)-distributions that are generalized gamma convolutions
Bernoulli | 2017-01-11 | Paper |
On exponential functionals of Lévy processes
Journal of Theoretical Probability | 2015-09-15 | Paper |
| Exponential functionals of Lévy processes with jumps | 2015-08-25 | Paper |
Exponential functionals of Lévy processes with jumps
(available as arXiv preprint) | 2015-08-25 | Paper |
A criterion for invariant measures of Itô processes based on the symbol
Bernoulli | 2015-08-05 | Paper |
A criterion for invariant measures of Itô processes based on the symbol
Bernoulli | 2015-08-05 | Paper |
Asymmetric COGARCH processes
Journal of Applied Probability | 2015-04-14 | Paper |
Asymmetric COGARCH processes
Journal of Applied Probability | 2015-04-14 | Paper |
Superposition of COGARCH processes
Stochastic Processes and their Applications | 2015-02-27 | Paper |
Distributions of exponential integrals of independent increment processes related to generalized gamma convolutions
Bernoulli | 2013-01-17 | Paper |
Distributions of exponential integrals of independent increment processes related to generalized gamma convolutions
Bernoulli | 2013-01-17 | Paper |
Moments of MGOU processes and positive semidefinite matrix processes
Journal of Multivariate Analysis | 2012-08-24 | Paper |
Multivariate generalized Ornstein-Uhlenbeck processes
Stochastic Processes and their Applications | 2012-06-01 | Paper |
| Generalized Ornstein-Uhlenbeck processes and extensions. | 2012-03-13 | Paper |
Distributional properties of solutions of \(\text dV_{T} = V_{T-} \text dU_{T} + \text dL_T\) with Lévy noise
Advances in Applied Probability | 2011-10-10 | Paper |
Stationary solutions of the stochastic differential equation \(dV_t = V_t -dU_t + dL_t\) with Lévy noise
Stochastic Processes and their Applications | 2011-01-14 | Paper |
