Skip to main content Skip to navigation

Dr Larbi Alili

[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 the topics:

  • Jumping Markov models and option pricing
  • Boundary crossing problems for jumping Markov processes motivated by finance

or on a topic which suits my research interest are encouraged to contact me. I also offer Master dissertations topics in my fields of research.

    Some Recent Publications

    • On the finiteness and tails of perpetuities under a Lamperti–Kiu MAP, with D. Woodford. Journal of Applied Probability 58(4):1086-1113, 2021.
    • On Doney's striking factorization of the arc-sine law, with C. Batholme, L. Chaumont, P. Patie, M. Savov S. Vakeroudis. In: A Lifetime of Excursions Through Random Walks and Levy Processes: A volume in Honour of Ron Doney’s 80th birthday, Ed. Loic Chaumont and A. Kyprianou, Springer, 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.

      Dr Larbi Alili large

      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 3, weeks 2-10, are:

      Tuesday 9:30-10:30am

      Wednesday 2-3pm on May 18th,

      9:30-10:30am thereafter

      Current Teaching

      ST402 Risk Theory

      Useful Links

      Some Pictures