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Dr Larbi Alili


Research Interest

  • 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

  • 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.
  • On exponential functionals, harmonic potential measures and undershoots of subordinators. With W. Jedidi and V. Rivero,. ALEA, Lat. Am. J. Probab. Math. Stat. 11 (2), 711-735, 2014.
  • Boundary crossing identities for Brownian motion and some nonlinear ode’s. With P. Patie, Proc. Amer. Math. Soc. 142, no. 11, 3811–3824, 2014.
  • Müntz Linear transforms of Brownian motion. With C-T Wu, Electron. J. Probab. 19 , no. 36, 1-15, 2014.

    Dr Larbi Alili large

    Office No. MSB 1.16
    Department of Statistics
    The 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 2-9, are:

    Mondays: 10:30-11:30am

    Wednesdays: 10:30-11:30am

    Current Teaching

    ST333/406 Applied Stochastic processes/with advanced topics

    ST402 Risk Theory

    Useful Links

    Some Pictures