joint work with Astrid Hilbert
Differentiable approximation of diffusion equations by stochastic Newton equations with fractional Brownian motion
We study the scaling limit of Fractional Ornstein-Uhlenbeck process with drift when the constant in front of the noise and the drift tends to infinity. The Gaussian nature of Ornstein-Uhlenbeck processes driven by Fractional Brownian motion is exploited. Girsanov theorem for Fractional Brownian motion is also used in order to show weak convergence when including nonlinear drift.
On the polygon generated by n random points on a circle
joint work with Sigurd Assing (Warwick University)
On a singular degenerate stochastic system
joint work with Enkelejd Hashorva
Efficient simulation of ruin probabilities for sums of log-ellpitical risks
joint work with Krzysztof Lautszynski and Gareth O. Roberts (Warwick University)
Exact inference for a Markov switching diffusion model with discretely observed data
