Publications
2025
Scandinavian Actuarial Journal
This paper investigates the asymptotic behavior of the simultaneous ruin probability for a system of $n$ independent $\gamma$-reflected Brownian motions with drift. The process for each component $i$ is given...
Electronic Journal of Probability
We extend the double-sum method to vector-valued Gaussian fields, deriving exact asymptotics for high exceedance probabilities. As an application, we obtain the probability that a process first hits a high...
submitted to Electronic Journal of Probability
We consider a Brownian motion with linear drift that splits at fixed time points into a fixed number of branches, which may depend on the branching point. For this process,...
Journal of Physics A: Mathematical and Theoretical
We study closed paths on carbon nanotubes using random eigenvalue theory. The sequence of path counts forms a moment sequence from uniform distributions, with explicit formulas for specific chiral vectors....
submitted to Statistics and Probability Letters
In this paper, we derive some upper and lower bounds and inequalities for the total variation distance (TVD) and the Kullback-Leibler divergence (KLD), also known as the relative entropy, between...
2024
2023
Electronic Communications in Probability
We present criteria for positive definiteness of matrix-valued exponential functions involving absolute values and sign functions. Applications include multivariate fractional Ornstein-Uhlenbeck processes and variogram modelling.
Stochastic Models
This paper investigates the Parisian ruin probability for processes with power-asymmetric behavior of the variance near the unique optimal point. We derive the exact asymptotics as the ruin boundary tends...
2021
Global and Stochastic Analysis
In this paper we give meaning to the notion of reflecting Levy process in a smooth domain $D$ in terms of the domain of its generator. In contrast with other...
2019
Zap. Nauchn. Sem. POMI
Following the works of I. A. Ibrahimov, N. V. Smorodina and M. M. Faddeev, we develop a new construction of the Brownian motion with reflection in $d$-ball. The main advantage...
2018
Zap. Nauchn. Sem. POMI
We extend the construction of probabilistic representations for initial-boundary value problem solutions to the non-stationary Schrödinger equation in $d$-hyperball first obtained in the works by I. Ibragimov, N. Smorodina and...
2017
Zap. Nauchn. Sem. POMI
We construct a probabilistic representation of the Cauchy problem solution for the Shrödinger equation $2 i \partial_t u = -\Delta u$. The result is an extension to a mulidimensional case...