- Self-similar Markov processes and exponential functionals
- Fluctuation theory and exit problems
- Gaussian processes and diffusion processes
- Stochastic processes and Finance
My supervision topics come from modern probability theory and its applications. Students interested in working in one of the topics listed below, or on a topic which suits my research interest, are encouraged to contact me. I have two Ph.D. projects to offer on:
- On certain jumping Markov models and related option pricing problems
- Boundary crossing problems for some Markov processes and applications
Some Recent Publications
- 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.
- Inversion, duality and Doob h-transforms for self-similar Markov processes, with L. Chaumont, P. Graczyk, and T. Żak, Electron. J. Prob., 22, no 20, 1-18, 2017
- On inversions and Doob h-transforms of linear diffusions, with P. Graczyk and T. Zak, Séminaire de Probabilités XLVII, volume In Memoriam Marc Yor, 2015.
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
His office hours in term 1, weeks 2-8, are:
Monday: 10:30-11:30 pm
Friday: 3:30-4:30 pm
ST333/406 Applied Stochastic processes/with advanced topics
ST402 Risk Theory