Prof Kostya BOROVKOV

Professor

School of Mathematics and Statistics

  • Room: 225
  • Building: Peter Hall Building
  • Campus: Parkville

Research Groups

Recent Publications

  • K. Borovkov, Zbigniew Palmowski. The exact asymptotics for hitting probability of a remote orthant by a multivariate Lévy process. Springer, 2019.

  • K. Borovkov, Yuliya Mishura, Alexander Novikov, Mikhail Zhitlukhin. New and refined bounds for expected maxima of fractional Brownian motion. Statistics and Probability Letters, 137, 142-147, 2018. doi: 10.1016/j.spl.2018.01.025.

  • K. Borovkov, Mikhail Zhitlukhin. On the maximum of the discretely sampled fractional Brownian motion with small hurst parameter. Electronic Communications in Probability, 23, 2018. doi: 10.1214/18-ECP167.

  • E. Muir, K. Borovkov. Approximating the equilibrium quantity traded and welfare in large markets. Stochastic Models, 411-429, 2017. doi: 10.1080/15326349.2017.1304823.

  • K. Borovkov. A refined version of the integro-local Stone theorem. Statistics & Probability Letters, 123, 153-159, 2017. doi: 10.1016/j.spl.2016.12.004.

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Current Postgraduate Supervision

Name Thesis title
Aaron CHONG
Vincent LIANG
Manling QIAN

Past Postgraduate Supervision

Name Thesis title
Geoffrey DECROUEZ "Generation of multifractal signals with underlying branching structure"
Andrew DOWNES "Boundary Crossing Probabilities for Diffusion Processes and Related Problems"
Matthieu GILSON "Learning in biological-like neural networks"
Shaun MCKINLAY "On Limiting Distributions, Sojourn Measures and Boundary Crossings for Random Processes. "
Yuqing PAN "The exact asymptotics of large deviation probabilities in the multivariate boundary crossing problem"

Current MSc Students

Name Project title
Liam PORTER
Duy Phat NGUYEN
Luke THORBURN

Past MSc Students

Name Project title
Jonathan BRAILEY "No-Arbitrage Positive Interest Rate Models "
Yunshun CHEN
David EAGLE "Partial Hedges of Options: Estimation of Price and Default Risk under Stochastic Volatility"
Patrick HE
Gary KATSELAS
Jason LEUNG
Vincent LIANG
Sheng LIN
Shaun MCKINLAY
Stephen MUIRHEAD
Quang Tuyen PHAM
Stefan RAMPERTSHAMMER "An Ornstein-Uhlenbeck Framework for Pairs Trading"
Timothy RICE "Branching Processes in Epidemiology"
Ajay SINGH
Justin SMALLWOOD
Jakub STOKLOSA "Barrier Options and their Sensitivities"

Recent Grant History

Year(s) Source Type Title
2015 - 2017 ARC Discovery New Approaches to Modelling and Analysing Long-Memory Random Processes
2012 - 2014 ARC Discovery Random network models with applications in biology
2008 - 2010 ARC Discovery Boundary crossing analysis for random processes with applications to risk project management
2003 - 2010 ARC Centre Of Excellence ARC Centre of Excellence for Mathematics and Statistics of Complex Systems

Responsibilities

  • Academic Board member
  • Course advisors - Upper Undergraduate
  • MSc and Pgrad Diploma Course advisor
  • University Handbook Entries

Committees

  • Academic Staff Advisory Group
  • Bachelor of BCom Standing Committee
  • Bachelor of Commerce Course Standing Committee
  • Postgraduate Programs Committee
  • Strategic Planning Committee