6 citations · 14 across the 31 of their papers we have counts for
32 papers · 1 filter
On extension of the Markov chain approximation method for computing Feynman--Kac type expectations
Vincent Liang, Konstantin Borovkov
An efficient discrete time and space Markov chain approximation employing a Brownian bridge correction for computing curvilinear boundary crossing probabilities for general diffusi…
On ruin probabilities in the presence of risky investments and random switching
Ying He, Konstantin Borovkov
We study the asymptotic behavior of ruin probabilities, as the initial reserve goes to infinity, for a reserve process model where claims arrive according to a renewal process, whi…
A note on recovering the Brownian motion component from a Levy process
Konstantin Borovkov
Gonzalez Cazares and Ivanovs (2021) suggested a new method for "recovering" the Brownian motion component from the trajectory of a Levy process that required sampling from an indep…
On Markov chain approximations for computing boundary crossing probabilities of diffusion processes
Vincent Liang, Konstantin Borovkov
We propose a discrete time discrete space Markov chain approximation with a Brownian bridge correction for computing curvilinear boundary crossing probabilities of a general diffus…
Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes
Duy Phat Nguyen, Konstantin Borovkov
We consider an interesting natural extension to the Parisian ruin problem under the assumption that the risk reserve dynamics are given by a spectrally negative Lévy process. The d…
Gaussian process approximations for multicolor Pólya urn models
Konstantin Borovkov
Motivated by mathematical tissue growth modelling, we consider the problem of approximating the dynamics of multicolor Pólya urn processes that start with large numbers of balls of…