Konstantin Borovkov

Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes

DP Nguyen, K Borovkov

Journal article  |  2023  |  Insurance: Mathematics and Economics

We consider an interesting natural extension to the Parisian ruin problem under the assumption that the risk reserve dynamics are ..

A note on recovering the Brownian motion component from a Lévy process

K Borovkov

Journal article  |  2022  |  Electronic Communications in Probability

González Cázares and Ivanovs (2021) suggested a new method for “recovering” the Brownian motion component from the trajectory of a..

GAUSSIAN PROCESS APPROXIMATIONS FOR MULTICOLOR POLYA URN MODELS

Konstantin Borovkov

Journal article  |  2021  |  JOURNAL OF APPLIED PROBABILITY

Motivated by mathematical tissue growth modelling, we consider the problem of approximating the dynamics of multicolor Pólya urn p..

Предельные теоремы для индикаторов рекордов в пороговых $F^{\alpha}$-схемах

Патрик Хе, Patrick He, Константин Александрович Боровков, Konstantin Aleksandrovich Borovkov

Journal article  |  2020  |  Teoriya Veroyatnostei i ee Primeneniya

В $F^\alpha$-схеме Невзорова рассматривается последовательность независимых случайных величин, чьи функции распределения с..

LIMIT THEOREMS FOR RECORD INDICATORS IN THRESHOLD F-alpha-SCHEMES

P He, KA Borovkov

Journal article  |  2020  |  THEORY OF PROBABILITY AND ITS APPLICATIONS

In Nevzorov’s Fα-scheme, one deals with a sequence of independent random variables with distribution functions that are powers of ..

THE EXACT ASYMPTOTICS OF THE LARGE DEVIATION PROBABILITIES IN THE MULTIVARIATE BOUNDARY CROSSING PROBLEM

Yuqing Pan, Konstantin A Borovkov

Journal article  |  2019  |  ADVANCES IN APPLIED PROBABILITY

For a multivariate random walk with independent and identically distributed jumps satisfying the Cramér moment condition and havin..

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

Konstantin 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

For the fractional Brownian motion BH with the Hurst parameter value H in (0,1∕2), we derive new upper and lower bounds for the di..

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

We show that the distribution of the maximum of the fractional Brownian motion BH with Hurst parameter H√→ 0 over an n-point set τ..

A refined version of the integro-local Stone theorem

Alexander A Borovkov, Konstantin A Borovkov

Journal article  |  2017  |  Statistics and Probability Letters

Let X, X1, X2, . . . be a sequence of non-lattice i.i.d. random variables with E X = 0, E X = 1, and let Sn := X1 + · · · +Xn, n ≥..