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Jevgenijs Ivanovs
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Year
Exit identities for LÚvy processes observed at Poisson arrival times
H Albrecher, J Ivanovs, X Zhou
1072016
Occupation densities in solving exit problems for Markov additive processes and their reflections
J Ivanovs, Z Palmowski
Stochastic Processes and their Applications 122 (9), 3342-3360, 2012
952012
Sparse structures for multivariate extremes
S Engelke, J Ivanovs
Annual Review of Statistics and Its Application 8 (1), 241-270, 2021
882021
First passage of a Markov additive process and generalized Jordan chains
DA Bernardo, J Ivanovs, O Kella, M Mandjes
Journal of Applied Probability 47 (4), 1048-1057, 2010
64*2010
One-sided Markov additive processes and related exit problems
J Ivanovs
452011
Strikingly simple identities relating exit problems for LÚvy processes under continuous and Poisson observations
H Albrecher, J Ivanovs
Stochastic Processes and their Applications 127 (2), 643-656, 2017
412017
Markov-modulated Brownian motion with two reflecting barriers
J Ivanovs
Journal of Applied Probability 47 (4), 1034-1047, 2010
402010
Singularities of the matrix exponent of a Markov additive process with one-sided jumps
J Ivanovs, O Boxma, M Mandjes
Stochastic processes and their applications 120 (9), 1776-1794, 2010
36*2010
LÚvy-driven polling systems and continuous-state branching processes
O Boxma, J Ivanovs, K Kosiński, M Mandjes
Stochastic Systems 1 (2), 411-436, 2011
302011
Potential measures of one-sided Markov additive processes with reflecting and terminating barriers
J Ivanovs
Journal of Applied Probability 51 (4), 1154-1170, 2014
282014
Power identities for LÚvy risk models under taxation and capital injections
H Albrecher, J Ivanovs
Stochastic Systems 4 (1), 157-172, 2014
282014
A risk model with an observer in a Markov environment
H Albrecher, J Ivanovs
Risks 1 (3), 148-161, 2013
282013
Zooming in on a LÚvy process at its supremum
J Ivanovs
272018
Two-sided reflection of Markov-modulated Brownian motion
B D'Auria, J Ivanovs, O Kella, M Mandjes
Stochastic Models 28 (2), 316-332, 2012
212012
Zooming-in on a LÚvy process: failure to observe threshold exceedance over a dense grid
K Bisewski, J Ivanovs
172020
A bivariate risk model with mutual deficit coverage
J Ivanovs, O Boxma
Insurance: Mathematics and Economics 64, 126-134, 2015
172015
First passage of time-reversible spectrally negative Markov additive processes
J Ivanovs, M Mandjes
Operations Research Letters 38 (2), 77-81, 2010
162010
The tax identity for Markov additive risk processes
H Albrecher, F Avram, C Constantinescu, J Ivanovs
Methodology and Computing in Applied Probability 16, 245-258, 2014
152014
On simple ruin expressions in dependent Sparre Andersen risk models
H Albrecher, OJ Boxma, J Ivanovs
Journal of Applied Probability 51 (1), 293-296, 2014
142014
Robust bounds in multivariate extremes
S Engelke, J Ivanovs
132017
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Articles 1–20