Konstantin Borovkov

The exact asymptotics for hitting probability of a remote orthant by a multivariate Lévy process

K Borovkov, Zbigniew Palmowski

Book Chapter  |  2019

This book is a scientific record of the eight programs held at MATRIX in its second year, 2017: - Hypergeometric Motives and Calab..

New and refined bounds for expected maxima of fractional Brownian motion

Konstantin Borovkov, Yuliya Mishura, Alexander Novikov, Mikhail Zhitlukhin

Journal article  |  2018  |  Statistics & Probability Letters

On the maximum of the discretely sampled fractional Brownian motion with small Hurst parameter

Konstantin Borovkov, Mikhail Zhitlukhin

Journal article  |  2018  |  Electronic Communications in Probability

A refined version of the integro-local Stone theorem

Alexander A Borovkov, Konstantin A Borovkov

Journal article  |  2017  |  Statistics & Probability Letters

Bounds for expected maxima of Gaussian processes and their discrete approximations

Konstantin Borovkov, Yuliya Mishura, Alexander Novikov, Mikhail Zhitlukhin

Journal article  |  2017  |  Stochastics

Approximating the equilibrium quantity traded and welfare in large markets

Ellen V Muir, Konstantin Borovkov

Journal article  |  2017  |  Stochastic Models

We consider the efficient outcome of a canonical economic market model involving buyers and sellers with independent and identical..

ON EXPLICIT FORM OF THE STATIONARY DISTRIBUTIONS FOR A CLASS OF BOUNDED MARKOV CHAINS

S Mckinlay, K Borovkov

Journal article  |  2016  |  Journal of Applied Probability

ON APPROXIMATION RATES FOR BOUNDARY CROSSING PROBABILITIES FOR THE MULTIVARIATE BROWNIAN MOTION PROCESS

K BOROVKOV, S MCKINLAY

Journal article  |  2015  |  Communications on Stochastic Analysis

ON STATIONARY DISTRIBUTIONS OF STOCHASTIC NEURAL NETWORKS

K Borovkov, G Decrouez, M Gilson

Journal article  |  2014  |  Journal of Applied Probability

Blackwell-type theorems for weighted renewal functions

AA Borovkov, KA Borovkov

Journal article  |  2014  |  Australian Mathematical Society Gazette

Elements of Stochastic Modelling

K BOROVKOV

Book  |  2014

ON THE ASYMPTOTIC BEHAVIOR OF A DYNAMIC VERSION OF THE NEYMAN CONTAGIOUS POINT PROCESS

K Borovkov

Journal article  |  2014  |  Stochastic Models

An extension of the concept of slowly varying function with applications to large deviation limit theorems

AA Borovkov, KA Borovkov

Book Chapter  |  2013  |  Springer Proceedings in Mathematics and Statistics

High host density favors greater virulence: a model of parasite-host dynamics based on multi-type branching processes

K Borovkov, R Day, T Rice

Journal article  |  2013  |  Journal of Mathematical Biology

High host density favors greater virulence: A model of parasite-host dynamics based on multi-type branching processes

K Borovkov, R Day, T Rice

Journal article  |  2013  |  Journal of Mathematical Biology

ORNSTEIN-UHLENBECK TYPE PROCESSES WITH HEAVY DISTRIBUTION TAILS

K Borovkov, G Decrouez

Journal article  |  2013  |  Theory of Probability and its Applications

The uniform law for sojourn measures of random fields

Konstantin Borovkov, Shaun McKinlay

Journal article  |  2012  |  Statistics and Probability Letters

ON RICE'S FORMULA FOR STATIONARY MULTIVARIATE PIECEWISE SMOOTH PROCESSES

K Borovkov, G Last

Journal article  |  2012  |  Journal of Applied Probability

JUMP-DIFFUSION MODELING IN EMISSION MARKETS

Konstantin Borovkov, Geoffrey Decrouez, Juri Hinz

Journal article  |  2011  |  Stochastic Models

On limiting cluster size distributions for processes of exceedances for stationary sequences

Konstantin Borovkov, Serguei Novak

Journal article  |  2010  |  Statistics and Probability Letters

ON THE DISTRIBUTION OF THE BROWNIAN MOTION PROCESS ON ITS WAY TO HITTING ZERO

Konstantin Borovkov

Journal article  |  2010  |  Electronic Communications in probability

On boundary crossing probabilities for diffusion processes

K Borovkov, AN Downes

Journal article  |  2010  |  Stochastic Processes and their Applications

Continuity Theorems in Boundary Crossing Problems for Diffusion Processes

Konstantin A Borovkov, Andrew N Downes, Alexander A Novikov

Book Chapter  |  2010

On the expectations of maxima of sets of independent random variables

Daniel V Tokarev, Konstantin A Borovkov

Journal article  |  2009  |  Statistics and Probability Letters

First passage densities and boundary crossing probabilities for diffusion processes

Andrew N Downes, Konstantin Borovkov

Journal article  |  2008  |  Methodology and Computing in Applied Probability

ON LEVEL CROSSINGS FOR A GENERAL CLASS OF PIECEWISE-DETERMINISTIC MARKOV PROCESSES

K Borovkov, G Last

Journal article  |  2008  |  Advances in Applied Probability

On exit times of Levy-driven Ornstein-Uhlenbeck processes

Konstantin Borovkov, Alexander Novikov

Journal article  |  2008  |  Statistics and Probability Letters

On the ruin time distribution for a Sparre Andersen process with exponential claim sizes

Konstantin A Borovkov, David CM Dickson

Journal article  |  2008  |  Insurance: Mathematics & Economics

Asymptotic Analysis of Random Walks: Heavy-Tailed Distributions

K Borovkov, Alexander Borovkov

Book  |  2008

Asymptotic Analysis of Random Walks. Vol I: Slowly Decaying Jump Distributions

A Borovkov, K BOROVKOV

Book  |  2008

On spatial thinning-replacement processes based on Voronoi cells

KA Borovkov, DA Odell

Journal article  |  2007  |  Advances in Applied Probability

Simulation studies of some Voronoi point processes

KA Borovkov, DA Odell

Journal article  |  2007  |  Acta Applicandae Mathematicae

On the asymptotic behaviour of random recursive trees in random environments

KA Borovkov, VA Vatutin

Journal article  |  2006  |  Advances in Applied Probability

Recursive random trees with product-form random weights

K BOROVKOV, V VATUTIN

Conference Proceedings  |  2006  |  Discrete Mathematics & Theoretical Computer Science

On probabilities of large deviations for random walks. II. Regular exponentially decaying distributions

AA Borovkov, KA Borovkov

Journal article  |  2005  |  Theory of Probability and its Applications

On the asymptotic behaviour of a simple growing point process model

K Borovkov, A Motyer

Journal article  |  2005  |  Statistics and Probability Letters

Explicit bounds for approximation rates of boundary crossing probabilities for the Wiener process

K Borovkov, A Novikov

Journal article  |  2005  |  Journal of Applied Probability

Large Deviation Probabilities for Generalized Renewal Processes with Regularly Varying Jump Distributions

A BOROVKOV, K BOROVKOV

Journal article  |  2005  |  Matematicheskie Trudy

On pair and tuple formation under independent Poisson or renewal arrival processes

K Borovkov

Journal article  |  2004  |  Journal of Applied Probability

On probabilities of large deviations for random walks. II. Regular exponentially decaying distributions

AA Borovkov, KA Borovkov

Journal article  |  2004  |  Theory of Probability & Its Applications

A stochastic two-node stress transfer model reproducing Omori's law

K Borovkov, MS Bebbington

Journal article  |  2003  |  Pure and Applied Geophysics

Elements of stochastic modelling

K BOROVKOV

Book  |  2003

Random step functions model for interest rates

K Borovkov, FC Klebaner, E Virag

Journal article  |  2003  |  Finance and Stochastics

On a new approach to calculating expectations for option pricing

K Borovkov, A Novikov

Journal article  |  2002  |  Journal of Applied Probability

A note on diffusion-type approximation to branching processes in random environments

K Borovkov

Journal article  |  2002  |  Theory of Probability and its Applications

Estimates for the Syracuse problem via a probabilistic model

KA Borovkov, D Pfeifer

Journal article  |  2001  |  Theory of Probability and its Applications

On a piece-wise deterministic Markov process model

K Borovkov, A Novikov

Journal article  |  2001  |  Statistics and Probability Letters

KENDALL'S IDENTITY FOR THE FIRST CROSSING TIME REVISITED

K Borovkov, Z Burq

Journal article  |  2001  |  Electronic Communications in probability

On probabilities of large deviations for random walks. I. Regularly varying distribution tails

AA Borovkov, KA Borovkov

Journal article  |  2001  |  THEORY OF PROBABILITY AND ITS APPLICATIONS

On large deviations probabilities for random walks. I. Regularly varying distribution tails

K BOROVKOV, A BOROVKOV

Journal article  |  2001  |  Theory of Probability and its Applications

On large deviations probabilities for generalized renewal processes

A BOROVKOV, K BOROVKOV

Conference Proceedings  |  2001  |  On large deviations probabilities for generalized renewal processes

On large deviations probabilities for random walks with regular distribution of jumps

AA Borovkov, KA Borovkov

Journal article  |  2000  |  Doklady Akademii Nauk

Probabilities of large deviations for random walks with a regular distribution of jumps

AA Borovkov, KA Borovkov

Journal article  |  2000  |  Doklady Mathematics

Explicit formulae for stationary distributions of stress release processes

K Borovkov, D Vere-Jones

Journal article  |  2000  |  Journal of Applied Probability

Stress release processes are special Markov models attempting to describe the behaviour of stress and occurrence of earthquakes in..

Stability of an adaptive regulator for partially known nonlinear stochastic systems

A Brockwell, K Borovkov, R Evans

Journal article  |  1999  |  SIAM Journal on Control and Optimization

On records and related processes for sequences with trends

K Borovkov

Journal article  |  1999  |  Journal of Applied Probability

We study the records and related variables for sequences with linear trends. We discuss the properties of the asymptotic rate func..

On records and related processes for sequences with trends

K Borovkov

Journal article  |  1999  |  Journal of Applied Probability

We study the records and related variables for sequences with linear trends. We discuss the properties of the asymptotic rate func..

Reduced critical branching processes in random environment

KA Borovkov, VA Vatutin

Journal article  |  1997  |  Stochastic Processes and their Applications

On random walks with jumps scaled by cumulative sums of random variables

K Borovkov

Journal article  |  1997  |  Statistics and Probability Letters

Propagation of chaos for queueing networks

KA Borovkov

Journal article  |  1997  |  Theory of Probability and its Applications

We consider propagation of chaos phenomena for closed Markovian queueing networks with increasing numbers of nodes. The queues at ..

Regulation of partially known nonlinear stochastic systems using fast identification

A Brockwell, K Borovkov, R Evans

Conference Proceedings  |  1997  |  Proceedings of the IEEE Conference on Decision and Control

Modeling dynamics and spatial aggregation of biological populations by stochastic networks

K Borovkov, D Pfeifer, HP Bäumer

Journal article  |  1996  |  Senckenbergiana Maritima

A mathematical model of an open stochastic network is presented which can be used to describe dynamics of a biological population,..

On improvements of the order of approximation in the poisson limit theorem

K Borovkov, D Pfeifer

Journal article  |  1996  |  Journal of Applied Probability

In this paper we consider improvements in the rate of approximation for the distribution of sums of independent Bernoulli random v..

Pseudo-Poisson approximation for Markov chains

KA Borovkov, D Pfeifer

Journal article  |  1996  |  Stochastic Processes and their Applications

On distribution tails and expectations of maxima in critical branching processes

KA Borovkov, VA Vatutin

Journal article  |  1996  |  Journal of Applied Probability

We derive the limit behaviour of the distribution tail of the global maximum of a critical Galton–Watson process and also of the e..

On Asymptotic Behavior of Weighted Sample Quantiles

K Borovkov, Dietmar Pfeifer, Herold Dehling

Journal article  |  1996  |  Mathematical Methods of Statistics

A bound for the distribution of a stopping time for a stochastic system

KA Borovkov

Journal article  |  1996  |  Siberian Mathematical Journal

On crossing times for multidimensional walks with skip-free components

KA Borovkov

Journal article  |  1995  |  Journal of Applied Probability

The paper deals with processes in (or ), one of whose components is skip-free. We obtain identities for distributions of hitting ..

On record indices and record times

K Borovkov, D Pfeifer

Journal article  |  1995  |  Journal of Statistical Planning and Inference

Russian-English/English-Russian Dictionary on Probability, Statistics, and Combinatorics

KA Borovkov

Book  |  1994

Contains current terminology from developments in the last 30 years in probability theory, mathematical statistics, combinatorics,..

On Simulation of Random Vectors with Given Densities in Regions and on Their Boundaries

K Borovkov

Journal article  |  1994  |  Journal of Applied Probability

Analysis of Transition Effects for Branching Processes.

K Borovkov

Journal article  |  1994  |  Theory of Probability and Its Applications c/c of Teoriia Veroiatnostei i Ee Primenenie

Approximation Rates and Asymptoitc Expansions for Some Random Processes.

K Borovkov

Thesis / Dissertation  |  1994

Dr. Sci. Thesis. Steklov Mathematical Institute

Convergence Rates in Transient Phenomena for Branching Processes.

K Borovkov

Book Chapter  |  1993

A Stochastic Search Algorithm with an Application to Multidimensional Integration

K Borovkov

Journal article  |  1992  |  Annales Academiæ Scientiarum Fennicæ Ser. A.1, Mathematica

On a New Variant of the Monte Carlo Method

KA Borovkov

Journal article  |  1992  |  Theory of Probability & Its Applications

Approximation of branching processes and random fields

KA Borovkov

Journal article  |  1991  |  Siberian Mathematical Journal

On the Convergence of Projections of Uniform Distributions on Balls

KA Borovkov

Journal article  |  1991  |  Theory of Probability & Its Applications

A Functional Form of the Erdos-Renyi Law of Large Numbers

KA Borovkov

Journal article  |  1991  |  Theory of Probability & Its Applications

A Method of Proving Limit Theorems for Branching Processes

KA Borovkov

Journal article  |  1989  |  Theory of Probability & Its Applications

Refinement of Poisson Approximation

KA Borovkov

Journal article  |  1989  |  Theory of Probability & Its Applications

On the Convergence of Branching Processes to a Diffusion Process

KA Borovkov

Journal article  |  1986  |  Theory of Probability & Its Applications

A Note on a Limit Theorem for Differentiable Mappings

KA Borovkov

Journal article  |  1985  |  The Annals of Probability

On the Invariance Principle in the Hilbert Space

K Borovkov

Journal article  |  1983  |  Теория вероятностей и её применения

On the Rate of Convergence in the Invariance Principle for Generalized Renewal Processes

KA Borovkov

Journal article  |  1983  |  Theory of Probability & Its Applications

Rate of Convergence in a Boundary Problem

KA Borokov

Journal article  |  1982  |  Theory of Probability & Its Applications

Rate of Convergence in Stability Theorems for Walks Defined on Markov Chains

K Borovkov

Journal article  |  1982  |  Sibirskiĭ Matematicheskiĭ Zhurnal

Stability Theorems and Estimates of the Rate of Convergence of the Components of Factorizations for Walks Defined on Markov Chains

KA Borovkov

Journal article  |  1981  |  Theory of Probability & Its Applications

Limit Theorems for Some Types of Random Walks

K Borovkov

Thesis / Dissertation  |  1981