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.
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