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Faculty of Mathematics

 

Professor of Statistical Science

Research Interests: Financial mathematics, probability theory, stochastic analysis, statistics, mathematical economics

Publications

Time-reversal of the noisy Wiener-Hopf factorisation
LCG Rogers
(1995)
57,
129
Fluid models in queueing theory and Wiener-Hopf factorization of Markov chains
LCG Rogers
– The Annals of Applied Probability
(1994)
4,
390
On polymer conformations in elongational flows
T CHAN, DS DEAN, KM JANSONS, LCG ROGERS
– Communications in Mathematical Physics
(1994)
160,
239
Diffusions, Markov processes, and martingales. Vol. 1
LCG Rogers, D Williams
(1994)
Interacting Brownian particles and the Wigner law
LCG ROGERS, Z SHI
– Probability Theory and Related Fields
(1993)
95,
555
The joint law of the maximum and terminal value of a martingale
LCG ROGERS
– Probability Theory and Related Fields
(1993)
95,
451
Decomposing the Branching Brownian Path
KM Jansons, LCG Rogers
– The Annals of Applied Probability
(1992)
2,
973
Asymptotic behavior of Brownian polymers
RT DURRETT, LCG ROGERS
– Probability Theory and Related Fields
(1992)
92,
337
Estimating variance from high, low and closing prices
LCG Rogers, SE Satchell
– The Annals of Applied Probability
(1991)
1,
504
Probability theory and polymer physics
KM JANSONS, LCG ROGERS
– Journal of Statistical Physics
(1991)
65,
139
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Research Groups

DPMMS retired
Statistical Laboratory
Statistics