Blackwell-type theorems for weighted renewal functions.
(Submitted) (2012)
(joint with A.A. Borovkov)
[Available at arXiv: 1201.0836]
The uniform law for sojourn measures of random fields.
(Submitted) (2011)
(joint with S. McKinlay)
[Available at arXiv: 1112.5289]
High host density favors greater virulence: a model of parasite-host dynamics based on multi-type branching processes.
(Submitted) (2011)
(joint with R. Day, T. Rice)
[Available at arXiv: 1109.0044]
Ornstein-Uhlenbeck type processes with heavy distribution tails.
(Submitted) (2011)
(joint with G. Decrouez)
[Available at arXiv: 1102.5606]
Jump-diffusion modeling in emission markets. Stoch. Models, 27: pp. 50-76(2011)
(joint with G. Decrouez and J. Hinz)
On an Extension of the concept of slowly varying function with applications to large deviation limit theorems.
(To appear in Yu.V. Prokhorov's Festschrift.) (2010)
(joint with A.A. Borovkov)
[An obsolete version is available at arXiv: 1006.3164]
On Rice's formula for stationary multivariate piecewise smooth processes. (To appear in J. Appl. Probab.) (2010)
(joint with G. Last)
[Available at arXiv: 1009.3885]
On limiting cluster size distributions for processes of exceedances for stationary sequences. Statist. Probab. Letters, 80: pp. 1814-1818(2010)
(joint with S. Novak)
[An obsolete version is available at arXiv: 1004.4955]
Continuity Theorems in Boundary Crossing Problems for Diffusion Processes. In: Contemporary Quantitative Finance. Eds., C. Chiarella and A. Novikov. Springer, Berlin, pp.335-352(2010)
(joint with A.N. Downes and A. Novikov)
On the distribution of the Brownian motion process on its way to hitting zero. Elect. Comm. in Probab. 15, pp. 281-285(2010)
[An obsolete version is available at arXiv: 1001.0628]
On Boundary Crossing Probabilities for Diffusion Processes. Stoch. Proc. Appl. 120: pp. 105-129(2010)
(joint with A.N. Downes)
[An obsolete version is available at arXiv: 0811.2629]
On the expectations of maxima of sets of independent random variables. Statist. Probab. Letters, 79: pp. 2381-2388(2009) (joint with D. Tokarev)
On exit times of Levy-driven Ornstein-Uhlenbeck processes. Statist. Probab. Letters, 78: pp.1517-1525(2008) (joint with A. Novikov)
On the ruin time distribution for a Sparre Andersen process with exponential claim sizes. Insurance: Mathematics and Economics, 42: pp.1104-1108(2008) (joint with D.C.M. Dickson)
[An obsolete version is available at arXiv: 0709.0764]
First Passage Densities and Boundary Crossing Probabilities for Diffusion Processes. Methodology & Computing in Applied Probability, 10: 621-644(2008) (joint with A.N. Downes)
[Available at arXiv: 0708.3562]
On level crossings for a general class of piecewise-deterministic Markov processes. Adv. Appl. Probab., 40: pp.815-834(2008) (joint with G. Last)
[A draft available at arXiv: 0705.1863]
Simulation Studies of Some Voronoi Point Processes. Acta Applicandae Mathematicae, 96: pp.87-97(2007) (joint with D. Odell)
[Available at arXiv: math.PR/0611031]
On spatial thinning-replacement processes based on Voronoi cells. Adv. Appl. Probab. 39: pp.293-306 (2007) (joint with D. Odell)
[Available at arXiv: math.PR/0610606]
On the asymptotic behaviour of random recursive trees in random environment. Adv. Appl. Probab. 38: pp. 1047-1070(2006) (joint with V.A. Vatutin)
[Available at arXiv: math.PR/0608211]
Large Deviation Probabilities for Generalized Renewal
Processes with Regularly Varying Jump Distributions. Siberian Advances in Mathematics, 16: pp. 1-65 (2006) (joint with A.A. Borovkov)
On the asymptotic behaviour of a simple growing point process model. Statist. Probab. Letters, 72: pp. 265-275 (2005) (joint with A. Motyer)
Explicit bounds for approximation rates for boundary crossing probabilities for the Wiener process. J. Appl. Probab. 42: pp. 82-92 (2005) (joint with A.A. Novikov)
On pair and tuple formation under independent Poisson or renewal arrival processes. J. Appl. Probab. 41: pp. 1138-1144 (2004)
On large deviations probabilities for random walks. II. Regular exponential distribution tails. Theory Probab. Appl. 49: pp.189-206 (2004) (joint with A.A. Borovkov)
A stochastic two-node stress transfer model reproducing Omori's law.
Pure and Applied Geophysics 160: pp.1429-1445 (2003) (joint with M.S. Bebbington)
Random Step Functions Model for Interest Rates.
Finance and Stochastics 7: pp.123-143 (2003)
(joint with F.C. Klebaner and E.Virag)
A note on diffusion-type approximation to branching processes in random environments.
Theory Probab. Appl. 47: pp. 183-187 (2002)
On a new approach to calculating expectations for option pricing.
J. Appl. Probab. 39: pp. 889-895 (2002) (joint with A.A. Novikov)
On large deviations probabilities for random walks. I. Regularly varying distribution tails.
Theory Probab. Appl. 46: pp.209-233(2001) [In Russian] (joint with A.A. Borovkov)
On a piece-wise deterministic Markov process model.
Statist. Probab. Letters 53: pp. 421-427 (2001)
(joint with A.A. Novikov)
Kendall's identity for the first crossing time revisited.
Electron. Comm. Probab. 6: pp.91-94(2001)
(joint with Z. Burq)
Probabilities of large deviations
for random walks with a regular
distribution of jumps.
Dokl. Math. 61: pp.162-164 (2000)
(joint with A.A. Borovkov)
Estimates for the Syracuse problem via a probabilistic model.
Theory Probab. Appl. 45: pp.386-394 (2000)
(joint with D. Pfeifer)
Explicit formulae for stationary distributions of stress release
processes.
J. Appl. Probab. 37: pp. 315-321
(2000)
(joint with D. Vere-Jones)
Stability of an Adaptive Regulator for Partially Known
Nonlinear Stochastic Systems.
SIAM J. Contr. Optim. 37: pp.1553-1567 (1999)
(joint with A. Brockwell and R. Evans)
On Records and Related Processes for Sequences with Trends.
J. Appl. Probab. 36: pp.668-681.
(1999)
Regulation of Partially Known Nonlinear Stochastic Systems Using
Fast Identification.
In: Proc. of the 36th IEEE Conf. on Decision and Control. Vol. 4:
pp. 3964-3969.
(1997)
(joint with A. Brockwell and R. Evans)
Reduced Critical Branching Processes in Random Environment.
Stoch. Proc. Appl. 71:
pp. 225-240.
(1997)
(joint with V. Vatutin)
On Random Walks with Jumps Scaled by Cumulative
Sums of Random Variables. Statist. Probab. Letters, 35:
pp.409-416.
(1997)
Propagation of Chaos for Queueing Networks.
Theory Probab. Appl. 42: pp.449-460 (1997)
A Bound for the Distribution of a Stopping Time for a Stochastic System.
Siber. Mathem. J. 37: no.4, pp.783-789 (1996)
[In Russian.]
Modelling Dynamics and Spatial Aggregation
of Biological Populations by Stochastic Networks.
Senckenbergiana Maritima, 27: pp. 129-136 (1996)
(joint with D. Pfeifer and H.-P.Bäumer)
On Distribution Tails and Expectations of Maxima in Critical
Branching Processes. J. Appl. Probab. 33: pp.614-622(1996) (joint with V. Vatutin)
On Asymptotic Behavior of Weighted Sample Quantiles.
Math. Meth. Statist. 5: pp. 173-186 (1996)
(joint with D. Pfeifer and H.Dehling)
On pseudo-Poisson approximation for Markov chains.
Stoch. Proc. Appl. 61: pp.163-180 (1996)
(joint with D. Pfeifer)
On Improvements of the Order of Approximation in the Poisson Limit
Theorem.
J. Appl. Prob. 33: pp. 146-155 (1996)
(joint with D. Pfeifer)
On Crossing Times for Multidimensional Walks with Skip-free Components.
J.Appl. Probab. 32: pp. 991-1007(1995)
On Record Indices and Record Times.
J. Statist. Plann. Inference, 45: pp.65-79(1995)
(joint with D. Pfeifer)
Analysis of Transient Effects for Branching Processes.
Theory Probab. Appl. 39: pp. 449-468 (1994)
On Simulation of Random Vectors with Given Densities in Regions and on Their
Boundaries. J. Appl. Prob. 31: pp. 205-220 (1994)
Russian-English and English-Russian Dictionary on Probability,
Statistics,and Combinatorics. SIAM, Philadelphia: vi+154 pp.(1993)
Approximation Rates and Asymptotic Expansions for Some Random
Processes.
Doctor Sci. Thesis, Steklov Mathem. Institute, Moscow: 133 pp. (1993) [In Russian.]
Convergence Rates in Transient Phenomena for Branching Processes.
In: Frontiers in Pure and Applied Probability. Eds: H.Niemi et al. TVP,
Moscow: pp.22-28 (1993)
A Stochastic Search Algorithm with an Application to Multidimensional
Integration. Ann. Acad. Sci. Fennicæ Ser.A.I. Mathematica}. 17:
pp. 5-10(1992)
Approximation of Branching Processes and Random Fields.
Siber. Mathem. J. 32: pp. 567-577(1991)
On a New Variant of the Monte Carlo Method. Theor. Probab. Appl. 36:
pp. 355-359(1991)
A Functional Form of the Erd'os - R'enyi Law of
Large Numbers.
Theor. Probab. Appl. 35: pp. 762-766 (1990)
On the Convergence of Uniform Distributions
on Balls.
Theor. Probab. Appl. 35: pp. 546-550 (1990)
Refinement of Poisson Approximation.
Theor. Probab. Appl. 33: pp. 343-346 (1988)
A Method of Proving Limit Theorems for Branching Processes.
Theor. Probab. Appl. 33: pp. 105-113(1988)
On the Convergence of Branching Processes to a Diffusion Process.
Theor. Probab. Appl. 30: pp. 496-506 (1985)
A Note on a Limit Theorem for Differentiable Mapping.
Ann. Probab. 13: pp. 1018-1021 (1985)
On the Convergence Rate in the Invariance Principle.
Theor. Probab. Appl. 29: pp. 550-553 (1984)
A Note on the Convergence Speed in Stability Theorems.
Theor. Probab. Appl. 29: pp. 120-121 (1984)
On the Rate of Convergence in the Invariance
Principle for Generalized Renewal Processes.
Theor. Probab. Appl. 27: pp. 461-471 (1982)
Rate of Convergence in Stability Theorems for Walks Defined on Markov
Chains. Siber. Matem. J. 23: pp. 208-210 (1982)
Rate of Convergence in a Boundary Problem,
Theor. Probab. Appl. 27: pp. 148-149 (1982)
Limit Theorems for Some Types of Random Walks.
Cand. Sci. Thesis, Steklov Mathem. Institute, Moscow: 95 pp. (1981) [In Russian.]
Stability Theorems and Estimates of the Rate of Convergence
of the Components of Factorizations for Walks Defined on Markov Chains.
Theor. Probab. Appl. 25: pp.325-334 (1980)
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