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Find an ExpertProfiling the University of Melbourne's Researchers

PROF KONSTANTIN BOROVKOV



Contact Details

Organization: Mathematics and Statistics
Position: PROFESSOR
Email:
Homepage: http://www.ms.unimelb.edu.au/Personnel/profile.php?PC_id=11
Work: 8344 7992
Fax: 8344 4599
Room: 225
Level: 02
Building: Richard Berry Building
Campus: Parkville

Research Expertise and International Linkages

Research Expertise

Research Interest Key Words Country of Expertise
Random Processes applications, risk theory, financial mathematics Australia

International Linkages

Country Establishment Collaboration
Russian Federation Russian Academy of Sciences - Steklov Mathematical Institute Research
Germany University of Karlsruhe Research
Germany Albert-Ludwigs-Universitaet Freiburg im Breisgau Research
Australia University of Technology Sydney Research
Australia University of New South Wales Research
Russian Federation Sobolev Institute of Mathematics Research

Qualifications, Honours, Fellowships and Other Awards

Qualifications

Title Institution Date Awarded Abbreviation
Master of Science Novosibirsk State University 31-Dec-1978
Doctor of Philosophy Steklov Mathematical Institute 31-Dec-1982
Doctor of Sciences Russian Academy of Sciences - Steklov Mathematical Institute 25-Jun-1994

Memberships

Membership Type Membership Body Description Start Date End Date
Member Bernoulli Society Member 25-Jun-2000

Other Awards

Award Type Awarding Body Comments Date Awarded
Prize Lenin Komsomol Prize for Young Scientists 22-Apr-1987
Scholarship Alexander von Humboldt Foundation 28-Oct-1991

Government Research Classifications

Research Fields, Courses and Discipline Classifications

Socio-Economic Objective Classifications

Grants and Contracts

Research Grants, Contracts and Consultancies awarded to the University of Melbourne as the administering institution (since 2003) as recorded in Themis Agreements.

Grants

Title Role Funding Source Scheme Award Date
ARC centre of excellence for mathematical and statistical modelling of complex systems Chief Investigator AUST RESEARCH COUNCIL Centres of Excellence 01/01/2003
BOUNDARY CROSSING ANALYSIS FOR RANDOM PROCESSES WITH APPLICATIONS TO RISK MANAGEMENT Chief Investigator UNIVERSITY OF TECHNOLOGY SYDNEY Discovery Projects (AUST RESEARCH COUNCIL) 01/01/2008

Publications

Publications produced at the University of Melbourne and reported in the Annual Publications Collection and 'Research Report' since 2001. The Themis Publications module, released in November 2006, allows additional publications from previous institutions and publications from past years to be entered.

Publications in 2008

Books

Journal Articles

  • First passage densities and boundary crossing probabilities for diffusion processes.
    Year: 2008
    Journal: Methodology and Computing in Applied Probability
    Volume: 10
    Issue: 4
    Page numbers: 621-644
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  • On exit times of Levy-driven Ornstein-Uhlenbeck processes
    Year: 2008
    Journal: Statistics and Probability Letters
    Volume: 78
    Issue: 12
    Page numbers: 1517-1525
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  • On level crossings for a general class of piecewise-deterministic Markov processes
    Year: 2008
    Journal: Advances in Applied Probability
    Volume: 40
    Issue: 3
    Page numbers: 815-834
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  • On the ruin time distribution for a Sparre Andersen process with exponential claim sizes
    Year: 2008
    Journal: Insurance: Mathematics & Economics
    Volume: 42
    Issue: 3
    Page numbers: 1104-1108
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Publications in 2007

Journal Articles

  • On spatial thinning-replacement processes based on Voronoi cells
    Year: 2007
    Journal: Advances in Applied Probability
    Volume: 39
    Issue: 2
    Page numbers: 293-306
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  • Simulation Studies of Some Voronoi Point Processes
    Year: 2007
    Journal: Acta Applicandae Mathematicae
    Volume: 96
    Issue: 1-3
    Page numbers: 87-97
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Publications in 2006

Journal Articles

  • On the asymptotic behaviour of random recursive trees in random environments


    Year: 2006
    Journal: Advances in Applied Probability
    Volume: 38
    Issue: 4
    Page numbers: 1047-1070
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Conference Publications/Papers

  • Recursive random trees with product-form random weights
    Year: 2006
    Event name: Fourth Colloquium on Mathematics and Computer Science: Algorithms, Trees, Combinatorics and and Probabilities
    Conference Publication: Discrete Mathematics & Theoretical Computer Science
    Volume: DMTCS Proceedings AG
    Page numbers: 423-426
    Publisher: Thomas Land Publishers(St Louis)
    Author(s):

Publications in 2005

Journal Articles

  • Explicit bounds for approximation rates of boundary crossing probabilities for the Weiner Process
    Year: 2005
    Journal: Journal of Applied Probability
    Volume: 42
    Issue: 1
    Page numbers: 82-92
    Publisher: Applied Probability Trust(Sheffield)
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  • Large Deviation Probabilities for Generalized Renewal Processes with Regularly Varying Jump Distributions
    Year: 2005
    Journal: Matematicheskie Trudy
    Volume: 8
    Issue: 2
    Page numbers: 69-136
    Publisher: Rossiiskaya Akademiya Nauk, Sibirskoe Otdelenie, Institut Matematiki
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  • On the asymptotic behaviour of a simple growing point process model
    Year: 2005
    Journal: Statistics and Probability Letters
    Volume: 72
    Issue: 3
    Page numbers: 265-275
    Publisher: Elsevier Science(Amsterdam)
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Publications in 2004

Journal Articles

  • On Large Deviations Probabilities for Random Walks. II. Regular exponentially decaying distributions
    Year: 2004
    Journal: Theory of Probability and its Applications - Teoriya Veroyatnostei i ee Primeneniya
    Volume: 49
    Issue: 2
    Page numbers: 209-230
    Publisher: MAIK Nauka/Interperiodica(Moscow)
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  • On pair and tuple formation under independent Poisson or renewal arrival processes
    Year: 2004
    Journal: Journal of Applied Probability
    Volume: 41
    Issue: 4
    Page numbers: 1138-1144
    Publisher: Applied Probability Trust(Sheffield)
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Publications in 2003

Books

  • Elements of stochastic modelling
    Year: 2003
    Publisher: World Scientific Publishing Co
    Authors(s):

Journal Articles

  • A Stochastic Two-node Stress Transfer Model Reproducing Omori's Law
    Year: 2003
    Journal: Pure and Applied Geophysics
    Volume: 160
    Issue: 8
    Page numbers: 1429-1445
    Publisher: Birkhauser
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  • Random step functions model for interest rates
    Year: 2003
    Journal: Finance and Stochastics
    Volume: 7
    Issue: 1
    Page numbers: 123-143
    Publisher: Springer Verlag
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Publications in 2002

Journal Articles

  • A note on diffusion-type approximation to branching processes in random environments
    Year: 2002
    Journal: Theory of Probability and its Applications - Teoriya Veroyatnostei i ee Primeneniya
    Volume: 47
    Issue: 1
    Page numbers: 183-187
    Publisher: MAIK Nauka/Interperiodica(Moscow)
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  • On a new approach to calculating expectations for option pricing
    Year: 2002
    Journal: Journal of Applied Probability
    Volume: 39
    Issue: 4
    Page numbers: 889-895
    Publisher: Applied Probability Trust(Sheffield)
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Publications in 2001

Journal Articles

  • Kendall's identity for the first crossing time revisited
    Year: 2001
    Journal: Electronic Communications in probability
    Volume: 6
    Page numbers: 91-94
    Publisher: Institute of Mathematical Statistics
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  • On a piece-wise deterministic Markov process model
    Year: 2001
    Journal: Statistics and Probability Letters
    Volume: 53
    Issue: 4
    Page numbers: 421-428
    Publisher: Elsevier Science(Amsterdam)
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  • On large deviations probabilities for random walks.1. Regularly varying distribution tails
    Year: 2001
    Journal: Theory of Probability and its Applications - Teoriya Veroyatnostei i ee Primeneniya
    Volume: 46
    Issue: 2
    Page numbers: 209-233
    Publisher: MAIK Nauka/Interperiodica(Moscow)
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Conference Publications/Papers

  • On large deviations probabilities for generalized renewal processes
    Year: 2001
    Event name: 10th International Symposium on Applied Stochastic Models and Data Analysis
    Conference Publication: On large deviations probabilities for generalized renewal processes
    Volume: 1
    Page numbers: 248-253
    Publisher: Universite de Technologie de Compiegne(Compiegne)
    Author(s):
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