- 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
My office hours in Term 3, weeks 1-9, are:
Tuesdays: 10:30-11:30 am and
Fridays: 10:30-11:30 am
All my Term 3 office hours are taking place online in Teams. To meet me, just send me a message during an office hour in the Teams chat and I will call you as soon I can during that hour. You can also try to call me directly.
ST402 Risk Theory