[Publications][Co-authors][CV]

Research Interest

• Self-similar Markov processes and exponential functionals
• Fluctuation theory and exit problems
• Gaussian processes and diffusion processes
• Stochastic processes and Finance

Supervision

I am looking for prospective dynamic motivated PhD students. My supervision topics come from modern probability theory and applications. Candidate students interested in working in one of my research topics or a related area are encouraged to contact me. I also offer Master dissertation topics in my fields of research.

Some Recent Publications

•  Boundary crossing problems and functional transformations for Ornstein-Uhlenbeck processes, with A. Ahari and M. Tamborrino. Journal of Applied Probability, In Press, 2024.
• On the finiteness and tails of perpetuities under a Lamperti–Kiu MAP, with D. Woodford. Journal of Applied Probability 58(4):1086-1113, 2021.
• Space and time inversions of stochastic processes and Kelvin transform, with L. Chaumont, P. Graczyk and T. Żak, Mathematische Nachrichten, 292, no 2, 251-272, 2019.
• On the semi-group of a scaled skew Bessel process, with A. Aylwin, Statistics & Probability letters, 145, 96-102, 2019.
• Further studies on square-root boundaries of Bessel processes, with H. Matsumoto, Electron. Commun. Probab. 23, no. 39, 2018.

Office No. MB 1.16
Department of Statistics
University of Warwick
CV4 7AL, Coventry

Phone 44 (0)24 7657 4809
Fax 44 (0)24 7652 4532

Email address L.Alili(at)warwick(dot)ac(dot)uk

My office hours in Term 2 are:

Wednesday 9:30-10:30

Thursday 9:30-10:30

Current Teaching

ST348 Risk Theory Webpage

Some useful links