Professor of Statistical Science
Research Interests: Financial mathematics, probability theory, stochastic analysis, statistics, mathematical economics
Publications
Time-reversal of the noisy Wiener-Hopf factorisation
(1995)
57,
129
Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
– The Annals of Applied Probability
(1994)
4,
390
(doi: 10.1214/aoap/1177005065)
On polymer conformations in elongational flows
– Communications in Mathematical Physics
(1994)
160,
239
(doi: 10.1007/bf02103275)
Diffusions, Markov processes, and martingales. Vol. 1
(1994)
Interacting Brownian particles and the Wigner law
– Probability Theory and Related Fields
(1993)
95,
555
(doi: 10.1007/BF01196734)
The joint law of the maximum and terminal value of a martingale
– Probability Theory and Related Fields
(1993)
95,
451
(doi: 10.1007/BF01196729)
Decomposing the Branching Brownian Path
– The Annals of Applied Probability
(1992)
2,
973
(doi: 10.1214/aoap/1177005584)
Asymptotic behavior of Brownian polymers
– Probability Theory and Related Fields
(1992)
92,
337
(doi: 10.1007/BF01300560)
Estimating variance from high, low and closing prices
– The Annals of Applied Probability
(1991)
1,
504
(doi: 10.1214/aoap/1177005835)
Probability theory and polymer physics
– Journal of Statistical Physics
(1991)
65,
139
(doi: 10.1007/bf01329853)
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