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Detailed curriculum Vitae of Dr. Larbi Alili

Contact coordinates

Name Larbi Alili

Current Job Associate Professor

Mailing Address Office C1.19, Dept. Of Statistics, The University of Warwick, CV4 7AL

Tel. number +44 (0) 2476574809

Fax number +44 (0) 2476524532

Email address L.Alili@warwick.ac.uk

Education

2005-2006 WTC Warwick University, UK.

1992-1995 Ph. D. in Probability Theory, University Paris VI, France

1988-1989 DEA  in Applied Mathematics, Paris VII-Paris I, France

1984-1988 DES in Probability and Statistics, U.S.T.H.B., Algeria

Professional experience

2007- date Associate professor, Department of Statistics, University of Warwick, UK

2004-2007 Lecturer in Statistics, Department of Statistics, University of Warwick, UK

2000-2003 Research associate, Suiss Federal Institute of Technology Zurich, Switzerland

1998-2000 Research associate, Vienna University of Technology, Austria

1996-1998 Research associate, University of Manchester, UK

1994-1996 ATER, Paris VI, France

1990-1992 Directeur des ateliers informatiques de l'association "La Courneuve 89", France

Teaching

Full modules:

  • ST202 Stochastic processes
  • ST213 Mathematics of random events
  • ST333/ST406 Applied stochastic processes/with advanced topics
  • ST342 Mathematics of random events
  • ST402 Risk Theory
  • ST903 Statistical methods
  • ST910 An invitation to graduate probability

Shared modules and/or tutorials:

  • ST116 Mathematical techniques
  • ST329 Topics in Statistics
  • ST402 Risk Theory
  • ST909 Continuous time finance for interest rate models (title discontinued)

Refereed publications

  1. 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.
  2. On the semi-group of a scaled skew Bessel process, with A. Aylwin, Statistics & Probability letters, 145, 96-102, 2019.
  3. Further studies on square-root boundaries of Bessel processes, with H. Matsumoto, Electron. Commun. Probab. Volume 23, no. 39, 2018.
  4. Inversion, duality and Doob h-transforms for self-similar Markov processes, with L. Chaumont, P. Graczyk and T. Żak; paper no. 20, 18 pp., 2017.
  5. 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.
  6. 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.
  7. Boundary crossing identities for Brownian motion and some nonlinear ode’s, with P. Patie. . Proc. Amer. Math. Soc. 142, no. 11, 3811–3824, 2014.
  8. Müntz linear transforms of Brownian motion, with C-T Wu. Electronic Journal of Probability, Volume 19 . Article number 36, 2014
  9. Boundary crossing identities for self-similar diffusions having the time inversion property, with P. Patie. J. Theoret. Prob. 23, no. 1, 65-84, 2010.
  10. Further results on some singular linear stochastic differential equations, With C-T Wu, SPA, 2009.
  11. On the joint law of the L1 and L2 norms of a 3-dimensional Bessel bridge. With P. Patie. Sem. de Prob. XI, Springer, 2007.
  12. Representations of the first hitting time density of an Ornstein-Uhlenbeck process. With J.L. Pedersen and P. Patie. Stoch. Mod., Vol. 21, Part 4, 2005
  13. On the first crossing times of a Brownian motion and a family of continuous curves. Joint with P. Patie. C. R. Acad. Sci. Paris, Sér. I 340, pp. 225-228, 2005
  14. On a fluctuation identity for random walks and Lévy processes. With L. Chaumont and R.A. Doney. Bull. Lond. Math. Soc, Vol. 37, Part1, pp. 141-148, 2005
  15. Some remarks on first passage of Lévy processes, the American put option and pasting principals. With A. Kyprianou. Ann. Appl. Prob., Vol. 15, No 3, pp. 2062-2080, 2005
  16. Canonical decomposition of certain generalized Brownian bridges, ECP, Vol. 7, Paper number 3, pp. 27--35, 2002
  17. On a triplet of exponential Wiener functionals. With H. Matsumoto and T. Shiraishi, Sem. de Prob. XXXV, Springer, Berlin, pp. 396-415, 2001
  18. On some new fluctuation identities for Lévy processes. With L. Chaumont, Bernoulli 7 (3), pp. 557--569, 2001
  19. Martin Boundaries associated with a killed random walk. With R.A. Doney. Ann. I. H. P., Vol. 37, N. 3, 313-338, 2001
  20. Quelques nouvelles identités de fluctuations pour les processus de Lévy. With L. Chaumont. C. R. Acad. Sci. Paris, t. 328, Sér. I 328, pp. 613-616, 1999
  21. Wiener-Hopf factorization revisited and some applications. With R.A. Doney, Stochastics and stochastics reports, 66, pp. 87-102, 1999
  22. On some hyperbolic principal values of Brownian Motion. In Exponential functionals and principal values related to Brownian Motion. Biblioteca de la Revista Matemảtica Ibero-Americana, Editor Marc Yor, 1997.
  23. Une identité en loi remarquable pour l’excursion brownienne normalisée. With C.D. Martin and M. Yor, same monograph.
  24. Sur l'identité de Bougerol pour les fonctionnelles exponentielles du mouvement brownien avec drift. With D. Dufresne and M. Yor, same monograph.
  25. An explanation of a generalized Bougerol's identity in terms of hyperbolic geometry. With J. C. Gruet, same monograph.

Ph. D. Thesis

  1. Fonctionnelles exponentielles et certaines valeurs principales des temps locaux browniens. Thèse de Doctorat de l’université Paris VI, 1995. Supervised by Marc Yor.

Selected Seminars and international invitations

  • University of Liverpool, UK, February 20, 1 talk, C. Canstantinescu.
  • University College Dublin, UCD, Ireland, February 19, 1 talk, N. O'connell.
  • Université de Poitiers, France, March 13, 1 talk, C. Dombry.
  • London School of Economics, LSE, May 2012, 1 talk, H. Xing.
  • Institutionen för Matematik, KTH, Sweeden, May 12, 1 Week, Talk, B. Djehiche.
  • Université d’Angers, France, Jul. 10, 15 days, L. Chaumont.
  • Wrocław University of Technology, Poland, Apr. 09, 1 Week, 1 Talk, T. Zak.
  • Université d’Angers, France, May. 08, 1 week, 1 Talk, P. Graczyk.
  • ETH Zürich, Switzerland, Nov. 07, 2 weeks, 1 Talk, F. Delbaen.
  • The University of Berne, Switzerland, Oct. 07, 1 Week, Talk, P. Patie.
  • Université d’Angers, France, May. 07, 1 week, 2 Talks, L. Chaumont.
  • The university of Manchester, UK, Dec. 06, Talk, R. Doney.
  • Loughborough University, UK, Dec. 05, Talk, H. Zhao.
  • ETH Zürich, Switzerland, Jun. 05, F. Delbaen.
  • Stochastic Analysis Seminar, University of Oxford, UK, Jun. 05, Talk, T. Lyons.
  • Université d’Angers, Apr. 05, France, Talk, P. Graczyk.
  • Stochastic Analysis Seminar, The University of Warwick, Oct. 04, Talk, M. Hairer.
  • Midlands Probability Theory Seminar, The University of Warwick, Dec. 03, Talk, W. Kendall.
  • INRIA, Sophia Antipolis, France, Sep. 03, 1 week, Talk, D. Talay.
  • Seminar on Stochastic Processes, ETH Zurich, Apr. 03, Talk, F. Delbaen.
  • Utrecht University, Apr. 02, 1 week, Talk, A. Kyprianou.
  • Georg-August-Universität, Göttingen, Feb. 02, 1 week, Talk, T. Rheinlander.
  • Technische Universität München, Jan. 01, 4 days, Talk, C. Klüppelberg.
  • Seminar on Financial and Insurance Mathematics, ETH Zürich, May 01, Talk, F. Delbaen.
  • Seminar On Stochastic Processes, ETH Zürich, Apr. 01, Talk, A. S. Sznitman.
  • RISKLAB, ETH Zürich, Aug. 00, Talk, U. Schmock.
  • FAM Seminars, Vienna Technical University, Jul. 00, Talk, W. Schachermayer.
  • Université Pierre & Marie Curie, France, May 00, 1 month, Talk, L. Chaumont.
  • University of Manchester, Jun. 00, 1 week, R. Doney.
  • Vienna University of Technology, Sept. 98, Talk, W. Schachermayer.
  • Imperial College, Jun. 98, Talk, T. Lyons.
  • Université Pierre & Marie Curie, France, Dec. 97, Talk, L. Chaumont.

International conferences (invited+talk)

  • 9th Conference on Lévy processes, Samos, Greece, 15-19 July 19.
  • Fractional Calculus, Probability and Non-local Operators: Applications and Recent Development (FCPNLO), BCAM, Bilbao, Spain, September 18.
  • Probability and Analysis, Bedlewo, Poland, May. 15.
  • Lévy processes and selfsimilarity, Tunis, Tunisia, Oct. 13.
  • Conference on interaction between Probability and Actuarial sciences, ULB, Belgium, Oct. 12.
  • Conference on Harmonic Analysis, Angers, Sep. 12.

  • International Conference on Selfsimilar Markov Processes and Their Applications, Angers, France, Jul. 09.
  • 4th Conference on Lévy processes, The University of Manchester, Manchester, Jan. 05.
  • Riskday 2001, Risk management in Finance and Insurance, Zürich, Nov. 01.
  • Colloque des Jeunes Probabilistes et Statisticiens d'Aussois, France, Apr. 98.
  • Ecole d'été de Probabilités de Saint-Flour, France, Aug. 97.
  • Journées de Probabilités de Luminy, Marseilles, France, Sep. 96.
  • Journées de Probabilités de Nancy, Nancy, France, Nov. 95.

Other workshops and conferences

  • 8th Conference on Levy processes, Angers, France, 25-27 July 16.
  • 5th Conference on Lévy processes, The University of Copenhagen, Denmark, Aug. 07.
  • Regional Probability Meeting, South West and South Wales, Uninversity of Bath, Jul. 07.
  • Stochastic Analysis of processes with jumps, Université d'Angers, France, May 06.
  • Ecole d’été de Probabilités de Saint-Flour, talk, France, July 05.
  • Blaise Pascal International Conference on Financial Modeling, Paris, July 01-03, 03.
  • 3rd Conference on Lévy processes, IHP, Paris, June 23-27, 03.
  • Ecole d’été de Probabilités de Saint-Flour, France, July 02.
  • 2nd Conference on Lévy processes, University of Aarhus, Jan. 21-25, 02.
  • Workshop on mathematical Finance, Strobl-Vienna, Austria, Sep. 13-18, 99.

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