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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

  • 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.

    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 1, weeks 2-10, are:

    Wednesdays: 9:30-10:30 am and

    Wednesday: 10:30-11:30 am

    I am available for meeting face to face in my office during my office hours; I will also be available for meeting online. To meet me online, 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 if you wish.

    Current Teaching

    ST402 Risk Theory

    Useful Links

    Some Pictures