Alexey Kuznetsov

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Andreas KyprianouProfessor of Probability Theory, University of WarwickVerified email at warwick.ac.uk
Juan Carlos PardoInvestigador titular C, CIMATVerified email at cimat.mx
Mateusz KwaśnickiWrocław University of Science and TechnologyVerified email at pwr.edu.pl
Edward (Ed) FurmanDepartment of Mathematics and Statistics, York University, Toronto, ON, CanadaVerified email at mathstat.yorku.ca
Thomas HurdProfessor of Mathematics, McMaster UniversityVerified email at mcmaster.ca
Víctor RiveroCentro de Investigacion en MatematicasVerified email at cimat.mx
Ricardas ZitikisSchool of Maths and Stats, Western University (London, Ontario)Verified email at stats.uwo.ca
Wlodek BrycProfessor of Mathematical Sciences, University of CincinnatiVerified email at uc.edu
Yizao Wang 王一早University of CincinnatiVerified email at uc.edu
Runhuan FengTsinghua University; University of Illinois at Urbana-ChampaignVerified email at sem.tsinghua.edu.cn
Mladen SavovSofia University "St. Kliment Ohridski", Faculty of Mathematics and InformaticsVerified email at math.bas.bg
Dmitrii KarpHolon Institute of Technology, Holon, IsraelVerified email at hit.ac.il
Manuel MoralesUniversité de MontréalVerified email at umontreal.ca
Jianxi SuAssociate Professor of Actuarial Science, Purdue UniversityVerified email at purdue.edu
Mark HolmesUniversity of MelbourneVerified email at unimelb.edu.au
Victor H. MollProfessor of Mathematics, Tulane UniversityVerified email at math.tulane.edu

Alexey Kuznetsov

Department of Mathematics and Statistics, York University

Verified email at yorku.ca - Homepage

stochastic processes special functions numerical analysis


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The theory of scale functions for spectrally negative Lévy processes A Kuznetsov, AE Kyprianou, V Rivero Lévy Matters II, 97-186, 2013	319*	2013
Wiener–Hopf factorization and distribution of extrema for a family of Lévy processes A Kuznetsov Annals of Applied Probability 20 (5), 1801-1830, 2010	134	2010
Meromorphic Lévy processes and their fluctuation identities A Kuznetsov, AE Kyprianou, JC Pardo Annals of Applied Probability 22 (3), 1101-1135, 2012	127	2012
Explicit formulas for Laplace transforms of stochastic integrals TR Hurd, A Kuznetsov Markov Processes and Related Fields 14 (2), 277-290, 2008	123	2008
On the Convergence of the Gaver--Stehfest Algorithm A Kuznetsov SIAM Journal on Numerical Analysis 51 (6), 2984-2998, 2013	118	2013
A Wiener–Hopf Monte Carlo simulation technique for Lévy processes A Kuznetsov, AE Kyprianou, JC Pardo, K van Schaik Annals of Applied Probability 21 (6), 2171-2190, 2011	116	2011
Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes A Kuznetsov, JC Pardo Acta Applicandae Mathematicae 123, 113-139, 2013	96	2013
Fractional Laplace operator and Meijer G-function B Dyda, A Kuznetsov, M Kwaśnicki Constructive Approximation 45, 427-448, 2017	86	2017
On extrema of stable processes A Kuznetsov Annals of Probability 39 (3), 1027-1060, 2011	78	2011
Eigenvalues of the fractional Laplace operator in the unit ball B Dyda, A Kuznetsov, M Kwaśnicki Journal of the London Mathematical Society 95 (2), 500-518, 2017	60	2017
The hitting time of zero for a stable process A Kuznetsov, AE Kyprianou, JC Pardo, AR Watson Electron. J. Probab. 19 (Paper 30), 1-35, 2014	56	2014
Affine Markov chain models of multifirm credit migration T Hurd, A Kuznetsov Journal of Credit Risk 3 (1), 3-29, 2007	55	2007
Wiener-Hopf factorization for a family of Lévy processes related to theta functions A Kuznetsov Journal of Applied Probability 47 (4), 1023-1033, 2010	45	2010
Transformations of Markov processes and classification scheme for solvable driftless diffusions C Albanese, A Kuznetsov Markov Process. Relat. Fields 15, 563-574, 2007	43	2007
On the first passage time for Brownian motion subordinated by a Lévy process TR Hurd, A Kuznetsov Journal of applied probability 46 (1), 181-198, 2009	38	2009
Distributional properties of exponential functionals of Lévy processes A Kuznetsov, JC Pardo, M Savov Electronic Journal of Probability 17, 1-35, 2012	36	2012
Computing the finite-time expected discounted penalty function for a family of Lévy risk processes A Kuznetsov, M Morales Scandinavian Actuarial Journal 2014 (1), 1-31, 2014	35	2014
Tail dependence of the Gaussian copula revisited E Furman, A Kuznetsov, J Su, R Zitikis Insurance: Mathematics and Economics 69, 97-103, 2016	34	2016
On the distribution of exponential functionals for Lévy processes with jumps of rational transform A Kuznetsov Stochastic Processes and their Applications 122 (2), 654-663, 2012	34	2012
Fast CDO computations in the affine Markov chain model TR Hurd, A Kuznetsov Preprint available at http://www. defaultrisk. com/pp_crdrv_65. htm, 2006	33	2006

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