- 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.
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:
ST333/406 Applied Stochastic processes/with advanced topics
ST402 Risk Theory