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Maller, Ross Arthur

Author ID: maller.ross-arthur Recent zbMATH articles by "Maller, Ross Arthur"
Published as: Maller, R. A.; Maller, Ross A.; Maller, Ross; Maller, R.; Maller, Ross Arthur
all top 5

Serials

16 Stochastic Processes and their Applications
10 The Annals of Probability
7 Advances in Applied Probability
6 Proceedings of the London Mathematical Society. Third Series
6 Journal of Theoretical Probability
5 Journal of Applied Probability
5 Bernoulli
4 Journal of Multivariate Analysis
4 Insurance Mathematics & Economics
4 Probability Theory and Related Fields
4 Journal of the Australian Mathematical Society. Series A
4 Electronic Journal of Probability
3 Bulletin of the Australian Mathematical Society
3 The Australian Journal of Statistics
3 Biometrika
3 Journal of the American Statistical Association
3 Statistics
3 The Annals of Applied Probability
3 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
3 Extremes
2 Theory of Probability and its Applications
2 Transactions of the American Mathematical Society
2 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
2 Markov Processes and Related Fields
1 The Canadian Journal of Statistics
1 Mathematical Proceedings of the Cambridge Philosophical Society
1 Acta Scientiarum Mathematicarum
1 Annals of the Institute of Statistical Mathematics
1 Biometrical Journal
1 Biometrics
1 Journal of Econometrics
1 Statistica Neerlandica
1 Studia Scientiarum Mathematicarum Hungarica
1 Mathematical Methods of Statistics
1 Statistica Sinica
1 Mathematical Finance
1 Mathematical Methods of Operations Research
1 Australian & New Zealand Journal of Statistics
1 The Econometrics Journal
1 Statistical Inference for Stochastic Processes
1 Theory of Stochastic Processes
1 Cambridge Studies in Mathematical Biology
1 Wiley Series in Probability and Mathematical Statistics

Publications by Year

Citations contained in zbMATH Open

117 Publications have been cited 1,362 times in 834 Documents Cited by Year
Survival analysis with long-term survivors. Zbl 1151.62350
Maller, Ross A.; Zhou, Xian
168
1996
Ruin probabilities and overshoots for general Lévy insurance risk processes. Zbl 1066.60049
Klüppelberg, Claudia; Kyprianou, Andreas E.; Maller, Ross A.
101
2004
A continuous-time GARCH process driven by a Lévy process: Stationarity and second-order behaviour. Zbl 1068.62093
Klüppelberg, Claudia; Lindner, Alexander; Maller, Ross
79
2004
Stability of perpetuities. Zbl 1023.60037
Goldie, Charles M.; Maller, Ross A.
74
2000
Stability and attraction to normality for Lévy processes at zero and at infinity. Zbl 1015.60043
Doney, R. A.; Maller, R. A.
42
2002
Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes. Zbl 1080.60056
Lindner, Alexander; Maller, Ross
35
2005
Estimating the proportion of immunes in a censored sample. Zbl 0764.62094
Maller, R. A.; Zhou, S.
31
1992
Generalised Ornstein-Uhlenbeck processes and the convergence of Lévy integrals. Zbl 1066.60053
Erickson, K. Bruce; Maller, Ross A.
29
2005
Testing for the presence of immune or cured individuals in censored survival data. Zbl 0875.62516
Maller, R. A.; Zhou, Sean
28
1995
On continuity properties of the law of integrals of Lévy processes. Zbl 1180.60042
Bertoin, Jean; Lindner, Alexander; Maller, Ross
27
2008
Exponential mixture models with long-term survivors and covariates. Zbl 0805.62028
Ghitany, M. E.; Maller, R. A.; Zhou, S.
26
1994
Passage of Lévy processes across power law boundaries at small times. Zbl 1140.60025
Bertoin, J.; Doney, R. A.; Maller, R. A.
23
2008
Stability of the overshoot for Lévy processes. Zbl 1016.60052
Doney, R. A.; Maller, R. A.
22
2002
Two renewal theorems for general random walks tending to infinity. Zbl 0855.60080
Kesten, Harry; Maller, R. A.
21
1996
A theorem on products of random variables, with application to regression. Zbl 0483.60016
Maller, R. A.
19
1981
Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models. Zbl 1124.60053
Klüppelberg, Claudia; Lindner, Alexander; Maller, Ross
19
2006
Relative stability and the strong law of large numbers. Zbl 0366.60035
Maller, R. A.
19
1978
Limiting behavior of sums and the term of maximum modulus. Zbl 0525.60036
Maller, R. A.; Resnick, S. I.
18
1984
Ornstein-Uhlenbeck processes and extensions. Zbl 1185.60036
Maller, Ross A.; Müller, Gernot; Szimayer, Alex
18
2009
Stationary solutions of the stochastic differential equation \(dV_t = V_t -dU_t + dL_t\) with Lévy noise. Zbl 1209.60033
Behme, Anita; Lindner, Alexander; Maller, Ross
17
2011
Infinite limits and infinite limit points of random walks and trimmed sums. Zbl 0816.60067
Kesten, Harry; Maller, R. A.
15
1994
Asymptotic results for exponential mixture models with long-term survivors. Zbl 0811.62034
Ghitany, M. E.; Maller, R. A.
15
1992
A multinomial approximation for American option prices in Lévy process models. Zbl 1130.91027
Maller, Ross A.; Solomon, David A.; Szimayer, Alex
14
2006
GARCH modelling in continuous time for irregularly spaced time series data. Zbl 1155.62067
Maller, Ross A.; Müller, Gernot; Szimayer, Alex
14
2008
Path decomposition of ruinous behavior for a general Lévy insurance risk process. Zbl 1259.60051
Griffin, Philip S.; Maller, Ross A.
13
2012
Quadratic negligibility and the asymptotic normality of operator normed sums. Zbl 0773.60016
Maller, R. A.
13
1993
Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing. Zbl 1370.60088
Buchmann, Boris; Kaehler, Benjamin; Maller, Ross; Szimayer, Alexander
13
2017
Distributional representations and dominance of a Lévy process over its maximal jump processes. Zbl 1352.60065
Buchmann, Boris; Fan, Yuguang; Maller, Ross A.
13
2016
Small-time compactness and convergence behavior of deterministically and self-normalised Lévy processes. Zbl 1202.60036
Maller, Ross; Mason, David M.
12
2010
Moments of passage times for Lévy processes. Zbl 1042.60025
Doney, R. A.; Maller, R. A.
12
2004
Testing for sufficient follow-up and outliers in survival data. Zbl 0810.62098
Maller, R. A.; Zhou, S.
12
1994
Ratios of trimmed sums and order statistics. Zbl 0764.60034
Kesten, Harry; Maller, R. A.
12
1992
Relative stability of trimmed sums. Zbl 0552.60025
Maller, R. A.
10
1984
On the rate of growth of the overshoot and the maximum partial sum. Zbl 0905.60064
Griffin, P. S.; Maller, R. A.
10
1998
Asymptotics of regressions with stationary and nonstationary residuals. Zbl 1075.60507
Maller, R. A.
10
2003
Cramér’s estimate for a reflected Lévy process. Zbl 1069.60045
Doney, R. A.; Maller, R. A.
10
2005
Mathematical ecology of plant species competition: a class of deterministic models for binary mixtures of plant genotypes. Zbl 0726.92027
Pakes, Anthony G.; Maller, Ross A.
10
1990
Convergence in distribution of Lévy processes at small times with self-normalization. Zbl 1164.60008
Maller, Ross; Mason, David M.
10
2008
Asymptotic normality of lightly trimmed means - a converse. Zbl 0534.60030
Maller, R. A.
9
1982
Some properties of stochastic compactness. Zbl 0468.60028
Maller, R. A.
9
1981
Small-time versions of Strassen’s law for Lévy processes. Zbl 1157.60044
Maller, R. A.
9
2009
The time at which a Lévy process creeps. Zbl 1244.60051
Griffin, Philip S.; Maller, Ross A.
9
2011
Analysis of parametric models for competing risks. Zbl 1002.62078
Maller, Ross A.; Zhou, Xian
9
2002
On the ruin probability of the generalised Ornstein-Uhlenbeck process in the Cramér case. Zbl 1238.60079
Bankovsky, Damien; Klüppelberg, Claudia; Maller, Ross
8
2011
New light on the portfolio allocation problem. Zbl 1058.91041
Maller, R. A.; Turkington, D. A.
8
2002
Moment and MGF convergence of overshoots and undershoots for Lévy insurance risk processes. Zbl 1149.60027
Park, Hyun Suk; Maller, Ross
8
2008
Asymptotic normality of trimmed means in higher dimensions. Zbl 0656.62022
Maller, R. A.
7
1988
The effect of trimming on the strong law of large numbers. Zbl 0835.60022
Kesten, Harry; Maller, R. A.
7
1995
Random walks crossing curved boundaries: A functional limit theorem, stability and asymptotic distributions for exit times and positions. Zbl 0976.60082
Doney, R. A.; Maller, R. A.
7
2000
Passage times of random walks and Lévy processes across power law boundaries. Zbl 1082.60037
Doney, R. A.; Maller, R. A.
7
2005
Relative stability, characteristic functions and stochastic compactness. Zbl 0396.60020
Maller, R. A.
7
1979
On the law of large numbers for stationary sequences. Zbl 0428.60038
Maller, R. A.
7
1980
Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases. Zbl 1284.62119
Griffin, Philip S.; Maller, Ross A.; van Schaik, Kees
7
2012
Convergence to stable limits for ratios of trimmed Lévy processes and their jumps. Zbl 1406.60070
Ipsen, Y. F.; Kevei, P.; Maller, R. A.
7
2018
Finite approximation schemes for Lévy processes, and their application to optimal stopping problems. Zbl 1125.60041
Szimayer, Alex; Maller, Ross A.
6
2007
Stability and other limit laws for exit times of random walks from a strip or a halfplane. Zbl 0940.60064
Kesten, Harry; Maller, R. A.
6
1999
Random walks crossing power law boundaries. Zbl 0916.60041
Kesten, H.; Maller, R. A.
6
1998
Testing for mean reversion in processes of Ornstein-Uhlenbeck type. Zbl 1056.62090
Szimayer, A.; Maller, R.
6
2004
Curve crossing for random walks reflected at their maximum. Zbl 1133.60022
Doney, Ron; Maller, Ross
5
2007
The COGARCH: a review, with news on option pricing and statistical inference. Zbl 1493.62585
Klüppelberg, Claudia; Maller, Ross; Szimayer, Alexander
5
2011
A local limit theorem for independent random variables. Zbl 0376.60053
Maller, R. A.
5
1978
Stochastic compactness of Lévy processes. Zbl 1243.60024
Maller, Ross; Mason, David M.
5
2009
An almost sure functional limit theorem at zero for a class of Lévy processes normed by the square root function, and applications. Zbl 1153.60025
Buchmann, Boris; Maller, Ross; Szimayer, Alex
5
2008
Finite time ruin probabilities for tempered stable insurance risk processes. Zbl 1304.91106
Griffin, Philip S.; Maller, Ross A.; Roberts, Dale
5
2013
Trimmed Lévy processes and their extremal components. Zbl 1452.60030
Ipsen, Yuguang; Maller, Ross; Resnick, Sidney
5
2020
Negative binomial construction of random discrete distributions on the infinite simplex. Zbl 1413.60039
Ipsen, Yuguang F.; Maller, Ross A.
5
2017
Processes of \(r^{th}\) largest. Zbl 1403.60025
Buchmann, Boris; Maller, Ross; Resnick, Sidney I.
5
2018
Ratios of ordered points of point processes with regularly varying intensity measures. Zbl 1403.60041
Ipsen, Yuguang; Maller, Ross; Resnick, Sidney
5
2019
Finiteness of integrals of functions of Lévy processes. Zbl 1121.60057
Erickson, K. Bruce; Maller, Ross A.
4
2007
Strong laws at zero for trimmed Lévy processes. Zbl 1328.60086
Maller, Ross A.
4
2015
Generalized densities of order statistics. Zbl 0929.62009
Goldie, Charles M.; Maller, Ross A.
4
1999
On the Studentisation of random vectors. Zbl 0863.62053
Vu, H. T. V.; Maller, R. A.; Klass, M. J.
4
1996
The small-time Chung-Wichura law for Lévy processes with non-vanishing Brownian component. Zbl 1232.60035
Buchmann, Boris; Maller, Ross
4
2011
Asymptotic properties of a class of mixture models for failure data: The interior and boundary cases. Zbl 0946.62088
Vu, H. T. V.; Maller, R. A.; Zhou, X.
4
1998
The likelihood ratio test for the presence of immunes in a censored sample. Zbl 0863.62015
Zhou, S.; Maller, R. A.
4
1995
Divergence of a random walk through deterministic and random subsequences. Zbl 0884.60067
Kesten, Harry; Maller, Ross A.
4
1997
A note on domains of partial attraction. Zbl 0447.60019
Maller, R. A.
4
1980
Passage time and fluctuation calculations for subexponential Lévy processes. Zbl 1338.60127
Doney, Ron; Klüppelberg, Claudia; Maller, Ross
4
2016
Functional laws for trimmed Lévy processes. Zbl 1400.60067
Buchmann, Boris; Ipsen, Yuguang F.; Maller, Ross
4
2017
Limiting distributions of generalised Poisson-Dirichlet distributions based on negative binomial processes. Zbl 1469.60148
Ipsen, Yuguang; Maller, Ross; Shemehsavar, Soudabeh
4
2020
On the exponential model for survival. Zbl 0651.62071
Maller, R. A.
3
1988
Regression with autoregressive errors - some asymptotic results. Zbl 0669.62053
Maller, R. A.
3
1989
Some consisteny results on projection pursuit estimators of location and scale. Zbl 0683.62030
Maller, R. A.
3
1989
On compactness properties of the exit position of a random walk from an interval. Zbl 1027.60041
Griffin, P. S.; Maller, R. A.
3
1999
Random walks crossing high level curved boundaries. Zbl 0919.60070
Kesten, Harry; Maller, R. A.
3
1998
Drift to infinity and the strong law for subordinated random walks and Lévy processes. Zbl 1075.60044
Erickson, K. B.; Maller, Ross A.
3
2005
Defining extremes and trimming by minimum covering sets. Zbl 0703.60015
Maller, R. A.
3
1990
On one-sided boundedness of normed partial sums. Zbl 0416.60035
Maller, R. A.
3
1980
On the law of the iterated logarithm in the infinite variance case. Zbl 0443.60028
Maller, R. A.
3
1980
The probability that the largest observation is censored. Zbl 0781.60023
Maller, R. A.; Zhou, S.
3
1993
A point-process approach to almost-sure behaviour of record values and order statistics. Zbl 0867.60028
Goldie, Charles M.; Maller, Ross A.
3
1996
Matrix normalized convergence of a Lévy process to normality at zero. Zbl 1316.60068
Maller, Ross A.; Mason, David M.
3
2015
The large-sample distribution of the maximum Sharpe ratio with and without short sales. Zbl 1431.62481
Maller, Ross; Roberts, Steven; Tourky, Rabee
3
2016
Testing for reduction to random walk in autoregressive conditional heteroskedasticity models. Zbl 1018.62071
Klüppelberg, Claudia; Maller, Ross A.; van de Vyver, Mark; Wee, Derick
3
2002
Estimation of the cure rate for distributions in the Gumbel maximum domain of attraction under insufficient follow-up. Zbl 07474113
Escobar-Bach, Mikael; Maller, Ross; Van Keilegom, Ingrid; Zhao, Muzhi
3
2022
Small and large time stability of the time taken for a Lévy process to cross curved boundaries. Zbl 1267.60053
Griffin, Philip S.; Maller, Ross A.
3
2013
A functional law of the iterated logarithm for distributions in the domain of partial attraction of the normal distribution. Zbl 0641.60036
Maller, R. A.
2
1988
Almost sure relative stability of the overshoot of power law boundaries. Zbl 1112.60036
Doney, R. A.; Maller, R. A.
2
2007
Stability of the exit time for Lévy processes. Zbl 1232.60037
Griffin, Philip S.; Maller, Ross A.
2
2011
A review of some asymptotic properties of trimmed sums of multivariate data. Zbl 0734.62033
Maller, R. A.
2
1991
Estimation of the cure rate for distributions in the Gumbel maximum domain of attraction under insufficient follow-up. Zbl 07474113
Escobar-Bach, Mikael; Maller, Ross; Van Keilegom, Ingrid; Zhao, Muzhi
3
2022
Extremes of censored and uncensored lifetimes in survival data. Zbl 1493.62560
Maller, Ross; Resnick, Sidney
2
2022
Splitting the sample at the largest uncensored observation. Zbl 07594058
Maller, Ross; Resnick, Sidney; Shemehsavar, Soudabeh
1
2022
A generalised Dickman distribution and the number of species in a negative binomial process model. Zbl 1490.60112
Ipsen, Yuguang; Maller, Ross A.; Shemehsavar, Soudabeh
1
2021
Trimmed Lévy processes and their extremal components. Zbl 1452.60030
Ipsen, Yuguang; Maller, Ross; Resnick, Sidney
5
2020
Limiting distributions of generalised Poisson-Dirichlet distributions based on negative binomial processes. Zbl 1469.60148
Ipsen, Yuguang; Maller, Ross; Shemehsavar, Soudabeh
4
2020
Modelling life tables with advanced ages: an extreme value theory approach. Zbl 1446.91062
Huang, Fei; Maller, Ross; Ning, Xu
2
2020
Size biased sampling from the Dickman subordinator. Zbl 1455.60067
Ipsen, Yuguang; Maller, Ross; Shemehsavar, Soudabeh
2
2020
Ratios of ordered points of point processes with regularly varying intensity measures. Zbl 1403.60041
Ipsen, Yuguang; Maller, Ross; Resnick, Sidney
5
2019
Small time convergence of subordinators with regularly or slowly varying canonical measure. Zbl 1422.60088
Maller, Ross; Schindler, Tanja
1
2019
Convergence to stable limits for ratios of trimmed Lévy processes and their jumps. Zbl 1406.60070
Ipsen, Y. F.; Kevei, P.; Maller, R. A.
7
2018
Processes of \(r^{th}\) largest. Zbl 1403.60025
Buchmann, Boris; Maller, Ross; Resnick, Sidney I.
5
2018
Matrix normalised stochastic compactness for a Lévy process at zero. Zbl 1395.60053
Maller, Ross A.; Mason, David M.
1
2018
Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing. Zbl 1370.60088
Buchmann, Boris; Kaehler, Benjamin; Maller, Ross; Szimayer, Alexander
13
2017
Negative binomial construction of random discrete distributions on the infinite simplex. Zbl 1413.60039
Ipsen, Yuguang F.; Maller, Ross A.
5
2017
Functional laws for trimmed Lévy processes. Zbl 1400.60067
Buchmann, Boris; Ipsen, Yuguang F.; Maller, Ross
4
2017
Small-time almost-sure behaviour of extremal processes. Zbl 1425.60046
Maller, Ross A.; Schmidli, Peter C.
2
2017
Distributional representations and dominance of a Lévy process over its maximal jump processes. Zbl 1352.60065
Buchmann, Boris; Fan, Yuguang; Maller, Ross A.
13
2016
Passage time and fluctuation calculations for subexponential Lévy processes. Zbl 1338.60127
Doney, Ron; Klüppelberg, Claudia; Maller, Ross
4
2016
The large-sample distribution of the maximum Sharpe ratio with and without short sales. Zbl 1431.62481
Maller, Ross; Roberts, Steven; Tourky, Rabee
3
2016
Small time almost sure comparisons between a Lévy process and its maximal jump processes. Zbl 1361.60032
Maller, R.
2
2016
Strong laws at zero for trimmed Lévy processes. Zbl 1328.60086
Maller, Ross A.
4
2015
Matrix normalized convergence of a Lévy process to normality at zero. Zbl 1316.60068
Maller, Ross A.; Mason, David M.
3
2015
Laws of the iterated logarithm for self-normalised Lévy processes at zero. Zbl 1309.60024
Buchmann, Boris; Maller, Ross A.; Mason, David M.
1
2015
Finite time ruin probabilities for tempered stable insurance risk processes. Zbl 1304.91106
Griffin, Philip S.; Maller, Ross A.; Roberts, Dale
5
2013
Small and large time stability of the time taken for a Lévy process to cross curved boundaries. Zbl 1267.60053
Griffin, Philip S.; Maller, Ross A.
3
2013
A characterization of small and large time limit laws for self-normalized Lévy processes. Zbl 1277.60083
Maller, Ross; Mason, David M.
2
2013
Path decomposition of ruinous behavior for a general Lévy insurance risk process. Zbl 1259.60051
Griffin, Philip S.; Maller, Ross A.
13
2012
Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases. Zbl 1284.62119
Griffin, Philip S.; Maller, Ross A.; van Schaik, Kees
7
2012
Stationary solutions of the stochastic differential equation \(dV_t = V_t -dU_t + dL_t\) with Lévy noise. Zbl 1209.60033
Behme, Anita; Lindner, Alexander; Maller, Ross
17
2011
The time at which a Lévy process creeps. Zbl 1244.60051
Griffin, Philip S.; Maller, Ross A.
9
2011
On the ruin probability of the generalised Ornstein-Uhlenbeck process in the Cramér case. Zbl 1238.60079
Bankovsky, Damien; Klüppelberg, Claudia; Maller, Ross
8
2011
The COGARCH: a review, with news on option pricing and statistical inference. Zbl 1493.62585
Klüppelberg, Claudia; Maller, Ross; Szimayer, Alexander
5
2011
The small-time Chung-Wichura law for Lévy processes with non-vanishing Brownian component. Zbl 1232.60035
Buchmann, Boris; Maller, Ross
4
2011
Stability of the exit time for Lévy processes. Zbl 1232.60037
Griffin, Philip S.; Maller, Ross A.
2
2011
Small-time compactness and convergence behavior of deterministically and self-normalised Lévy processes. Zbl 1202.60036
Maller, Ross; Mason, David M.
12
2010
Ornstein-Uhlenbeck processes and extensions. Zbl 1185.60036
Maller, Ross A.; Müller, Gernot; Szimayer, Alex
18
2009
Small-time versions of Strassen’s law for Lévy processes. Zbl 1157.60044
Maller, R. A.
9
2009
Stochastic compactness of Lévy processes. Zbl 1243.60024
Maller, Ross; Mason, David M.
5
2009
Renewal theorems and stability for the reflected process. Zbl 1163.60308
Doney, Ron; Maller, Ross; Savov, Mladen
1
2009
On continuity properties of the law of integrals of Lévy processes. Zbl 1180.60042
Bertoin, Jean; Lindner, Alexander; Maller, Ross
27
2008
Passage of Lévy processes across power law boundaries at small times. Zbl 1140.60025
Bertoin, J.; Doney, R. A.; Maller, R. A.
23
2008
GARCH modelling in continuous time for irregularly spaced time series data. Zbl 1155.62067
Maller, Ross A.; Müller, Gernot; Szimayer, Alex
14
2008
Convergence in distribution of Lévy processes at small times with self-normalization. Zbl 1164.60008
Maller, Ross; Mason, David M.
10
2008
Moment and MGF convergence of overshoots and undershoots for Lévy insurance risk processes. Zbl 1149.60027
Park, Hyun Suk; Maller, Ross
8
2008
An almost sure functional limit theorem at zero for a class of Lévy processes normed by the square root function, and applications. Zbl 1153.60025
Buchmann, Boris; Maller, Ross; Szimayer, Alex
5
2008
Finite approximation schemes for Lévy processes, and their application to optimal stopping problems. Zbl 1125.60041
Szimayer, Alex; Maller, Ross A.
6
2007
Curve crossing for random walks reflected at their maximum. Zbl 1133.60022
Doney, Ron; Maller, Ross
5
2007
Finiteness of integrals of functions of Lévy processes. Zbl 1121.60057
Erickson, K. Bruce; Maller, Ross A.
4
2007
Almost sure relative stability of the overshoot of power law boundaries. Zbl 1112.60036
Doney, R. A.; Maller, R. A.
2
2007
Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models. Zbl 1124.60053
Klüppelberg, Claudia; Lindner, Alexander; Maller, Ross
19
2006
A multinomial approximation for American option prices in Lévy process models. Zbl 1130.91027
Maller, Ross A.; Solomon, David A.; Szimayer, Alex
14
2006
Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes. Zbl 1080.60056
Lindner, Alexander; Maller, Ross
35
2005
Generalised Ornstein-Uhlenbeck processes and the convergence of Lévy integrals. Zbl 1066.60053
Erickson, K. Bruce; Maller, Ross A.
29
2005
Cramér’s estimate for a reflected Lévy process. Zbl 1069.60045
Doney, R. A.; Maller, R. A.
10
2005
Passage times of random walks and Lévy processes across power law boundaries. Zbl 1082.60037
Doney, R. A.; Maller, R. A.
7
2005
Drift to infinity and the strong law for subordinated random walks and Lévy processes. Zbl 1075.60044
Erickson, K. B.; Maller, Ross A.
3
2005
Ruin probabilities and overshoots for general Lévy insurance risk processes. Zbl 1066.60049
Klüppelberg, Claudia; Kyprianou, Andreas E.; Maller, Ross A.
101
2004
A continuous-time GARCH process driven by a Lévy process: Stationarity and second-order behaviour. Zbl 1068.62093
Klüppelberg, Claudia; Lindner, Alexander; Maller, Ross
79
2004
Moments of passage times for Lévy processes. Zbl 1042.60025
Doney, R. A.; Maller, R. A.
12
2004
Testing for mean reversion in processes of Ornstein-Uhlenbeck type. Zbl 1056.62090
Szimayer, A.; Maller, R.
6
2004
Asymptotics of regressions with stationary and nonstationary residuals. Zbl 1075.60507
Maller, R. A.
10
2003
Stability and attraction to normality for Lévy processes at zero and at infinity. Zbl 1015.60043
Doney, R. A.; Maller, R. A.
42
2002
Stability of the overshoot for Lévy processes. Zbl 1016.60052
Doney, R. A.; Maller, R. A.
22
2002
Analysis of parametric models for competing risks. Zbl 1002.62078
Maller, Ross A.; Zhou, Xian
9
2002
New light on the portfolio allocation problem. Zbl 1058.91041
Maller, R. A.; Turkington, D. A.
8
2002
Testing for reduction to random walk in autoregressive conditional heteroskedasticity models. Zbl 1018.62071
Klüppelberg, Claudia; Maller, Ross A.; van de Vyver, Mark; Wee, Derick
3
2002
Estimating the expected total number of events in a process. Zbl 1073.62565
Maller, Ross A.; Sun, Liuquan; Zhou, Xian
1
2002
Stability of perpetuities. Zbl 1023.60037
Goldie, Charles M.; Maller, Ross A.
74
2000
Random walks crossing curved boundaries: A functional limit theorem, stability and asymptotic distributions for exit times and positions. Zbl 0976.60082
Doney, R. A.; Maller, R. A.
7
2000
Stability and other limit laws for exit times of random walks from a strip or a halfplane. Zbl 0940.60064
Kesten, Harry; Maller, R. A.
6
1999
Generalized densities of order statistics. Zbl 0929.62009
Goldie, Charles M.; Maller, Ross A.
4
1999
On compactness properties of the exit position of a random walk from an interval. Zbl 1027.60041
Griffin, P. S.; Maller, R. A.
3
1999
Dominance of the sum over the maximum and some new classes of stochastic compactness. Zbl 0947.60024
Griffin, P. S.; Maller, R. A.
1
1999
On the rate of growth of the overshoot and the maximum partial sum. Zbl 0905.60064
Griffin, P. S.; Maller, R. A.
10
1998
Random walks crossing power law boundaries. Zbl 0916.60041
Kesten, H.; Maller, R. A.
6
1998
Asymptotic properties of a class of mixture models for failure data: The interior and boundary cases. Zbl 0946.62088
Vu, H. T. V.; Maller, R. A.; Zhou, X.
4
1998
Random walks crossing high level curved boundaries. Zbl 0919.60070
Kesten, Harry; Maller, R. A.
3
1998
Divergence of a random walk through deterministic and random subsequences. Zbl 0884.60067
Kesten, Harry; Maller, Ross A.
4
1997
Survival analysis with long-term survivors. Zbl 1151.62350
Maller, Ross A.; Zhou, Xian
168
1996
Two renewal theorems for general random walks tending to infinity. Zbl 0855.60080
Kesten, Harry; Maller, R. A.
21
1996
On the Studentisation of random vectors. Zbl 0863.62053
Vu, H. T. V.; Maller, R. A.; Klass, M. J.
4
1996
A point-process approach to almost-sure behaviour of record values and order statistics. Zbl 0867.60028
Goldie, Charles M.; Maller, Ross A.
3
1996
The likelihood ratio test for Poisson versus binomial distributions. Zbl 0869.62019
Vu, H. T. V.; Maller, R. A.
2
1996
Testing for the presence of immune or cured individuals in censored survival data. Zbl 0875.62516
Maller, R. A.; Zhou, Sean
28
1995
The effect of trimming on the strong law of large numbers. Zbl 0835.60022
Kesten, Harry; Maller, R. A.
7
1995
The likelihood ratio test for the presence of immunes in a censored sample. Zbl 0863.62015
Zhou, S.; Maller, R. A.
4
1995
Exponential mixture models with long-term survivors and covariates. Zbl 0805.62028
Ghitany, M. E.; Maller, R. A.; Zhou, S.
26
1994
Infinite limits and infinite limit points of random walks and trimmed sums. Zbl 0816.60067
Kesten, Harry; Maller, R. A.
15
1994
Testing for sufficient follow-up and outliers in survival data. Zbl 0810.62098
Maller, R. A.; Zhou, S.
12
1994
Quadratic negligibility and the asymptotic normality of operator normed sums. Zbl 0773.60016
Maller, R. A.
13
1993
The probability that the largest observation is censored. Zbl 0781.60023
Maller, R. A.; Zhou, S.
3
1993
Estimating the proportion of immunes in a censored sample. Zbl 0764.62094
Maller, R. A.; Zhou, S.
31
1992
Asymptotic results for exponential mixture models with long-term survivors. Zbl 0811.62034
Ghitany, M. E.; Maller, R. A.
15
1992
Ratios of trimmed sums and order statistics. Zbl 0764.60034
Kesten, Harry; Maller, R. A.
12
1992
A review of some asymptotic properties of trimmed sums of multivariate data. Zbl 0734.62033
Maller, R. A.
2
1991
Mathematical ecology of plant species competition: a class of deterministic models for binary mixtures of plant genotypes. Zbl 0726.92027
Pakes, Anthony G.; Maller, Ross A.
10
1990
Defining extremes and trimming by minimum covering sets. Zbl 0703.60015
Maller, R. A.
3
1990
Regression with autoregressive errors - some asymptotic results. Zbl 0669.62053
Maller, R. A.
3
1989
Some consisteny results on projection pursuit estimators of location and scale. Zbl 0683.62030
Maller, R. A.
3
1989
...and 17 more Documents
all top 5

Cited by 1,027 Authors

59 Maller, Ross Arthur
28 Cancho, Vicente Garibay
23 Louzada, Francisco
19 Klüppelberg, Claudia
19 Ortega, Edwin Moises Marcos
16 Griffin, Philip S.
16 Mason, David M.
15 Cordeiro, Gauss Moutinho
15 Kyprianou, Andreas E.
15 Lindner, Alexander M.
14 Behme, Anita Diana
14 Doney, Ronald Arthur
13 Buchmann, Boris
12 Iksanov, Aleksander M.
12 Pal, Suvra
12 Zhou, Xian
11 Alsmeyer, Gerold
11 Zhao, Xiaobing
10 Balakrishnan, Narayanaswamy
9 Resnick, Sidney Ira
9 Rivero, Víctor Manuel
8 Pardo, Juan Carlos
8 Savov, Mladen Svetoslavov
8 Todorov, Viktor
7 Dey, Dipak Kumar
7 Hu, Hongchang
7 Ipsen, Yuguang F.
7 Kapica, Rafał
7 Peng, Yingwei
6 Barriga, Gladys Dorotea Cacsire
6 Bolfarine, Heleno
6 Chaumont, Loïc
6 Jácome, Maria Amalía
6 Kevei, Péter
6 Rodrigues, Josemar
6 Rosalsky, Andrew
6 Suzuki, Adriano Kamimura
6 Tomazella, Vera Lúcia Damasceno
6 Van Keilegom, Ingrid
6 Yin, Chuancun
5 Adler, André Bruce
5 Berkes, István
5 Bibi, Abdelouahab
5 Chen, Minghui
5 Cline, Daren B. H.
5 Horváth, Lajos
5 Ibrahim, Joseph George
5 Lu, Kevin W.
5 Mazucheli, Josmar
5 Mijatović, Aleksandar
5 Palmowski, Zbigniew
5 Patie, Pierre
5 Pergamenshchikov, Sergeĭ Markovich
5 Schindler, Tanja I.
5 Shemehsavar, Soudabeh
5 Shen, Pao-Sheng
5 Stelzer, Robert
5 Van Schaik, Kees
4 Achcar, Jorge Alberto
4 Allen, Linda J. S.
4 Asmussen, Søren
4 Aurzada, Frank
4 Buraczewski, Dariusz
4 Calsavara, Vinicius Fernando
4 Csörgő, Sándor
4 Damek, Ewa
4 Hashorva, Enkelejd
4 Ji, Lanpeng
4 Kołodziejek, Bartosz
4 Kundu, Debasis
4 Lemonte, Artur José
4 López-Cheda, Ana
4 Madan, Dilip B.
4 Marynych, Alexander V.
4 Merahi, Fateh
4 Morawiec, Janusz
4 Müller, Gernot J.
4 Pescim, Rodrigo R.
4 Pistorius, Martijn R.
4 Song, Renming
4 Tang, Qihe
4 Tauchen, George E.
4 Vostrikova, Lioudmila
4 Wang, Yuebao
4 Yin, Guosheng
4 Zhang, Jiajia
4 Zhou, Xiaowen
3 Aknouche, Abdelhakim
3 Baurdoux, Erik Jan
3 Dębicki, Krzysztof
3 Döring, Leif
3 Dyszewski, Piotr
3 Fan, Yuguang
3 Francq, Christian
3 Gallardo, Diego I.
3 Gatto, Riccardo
3 Götze, Friedrich
3 Grabchak, Michael
3 Häusler, Erich
3 Kesseböhmer, Marc
...and 927 more Authors
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Cited in 175 Serials

67 Stochastic Processes and their Applications
34 Journal of Applied Probability
33 Journal of Theoretical Probability
30 Statistics & Probability Letters
26 Bernoulli
24 Journal of Applied Statistics
21 The Annals of Applied Probability
20 Advances in Applied Probability
20 Insurance Mathematics & Economics
20 Communications in Statistics. Theory and Methods
19 Communications in Statistics. Simulation and Computation
19 Computational Statistics and Data Analysis
17 The Annals of Probability
17 Lifetime Data Analysis
14 Electronic Journal of Probability
13 Probability Theory and Related Fields
13 Journal of Statistical Computation and Simulation
12 Biometrics
11 Journal of Multivariate Analysis
11 Methodology and Computing in Applied Probability
10 Biometrical Journal
10 Journal of Statistical Planning and Inference
9 Brazilian Journal of Probability and Statistics
8 Journal of Econometrics
8 Test
7 Journal of Computational and Applied Mathematics
7 Transactions of the American Mathematical Society
7 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
7 Journal of Difference Equations and Applications
7 Extremes
7 Stochastics
6 Lithuanian Mathematical Journal
6 Theory of Probability and its Applications
6 Applied Mathematics and Computation
6 Statistics
6 European Journal of Operational Research
6 Quantitative Finance
6 ALEA. Latin American Journal of Probability and Mathematical Statistics
6 Journal of Statistical Theory and Practice
5 The Canadian Journal of Statistics
5 Annals of the Institute of Statistical Mathematics
5 The Annals of Statistics
5 Journal of Time Series Analysis
5 Stochastic Analysis and Applications
5 Computational Statistics
5 Statistical Papers
5 Finance and Stochastics
5 Statistical Inference for Stochastic Processes
5 Econometric Theory
5 Scandinavian Actuarial Journal
5 Statistical Methods and Applications
4 Journal of Mathematical Analysis and Applications
4 Scandinavian Journal of Statistics
4 Acta Mathematicae Applicatae Sinica. English Series
4 Mathematical Methods of Statistics
4 Journal of Inequalities and Applications
4 The Econometrics Journal
3 Journal of Mathematical Biology
3 Probability and Mathematical Statistics
3 Electronic Communications in Probability
3 Discrete and Continuous Dynamical Systems
3 Journal of the Royal Statistical Society. Series B. Statistical Methodology
3 Statistical Methodology
3 Electronic Journal of Statistics
2 Journal of Statistical Physics
2 Metrika
2 Bulletin of Mathematical Biology
2 Journal of the American Statistical Association
2 Mathematische Nachrichten
2 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
2 Advances in Applied Mathematics
2 Acta Mathematica Hungarica
2 Acta Applicandae Mathematicae
2 Applied Mathematical Finance
2 Mathematical Problems in Engineering
2 Mathematical Finance
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 Australian & New Zealand Journal of Statistics
2 International Journal of Theoretical and Applied Finance
2 Acta Mathematica Sinica. English Series
2 Stochastic Models
2 Journal of Industrial and Management Optimization
2 Journal of Physics A: Mathematical and Theoretical
2 The Annals of Applied Statistics
2 Chilean Journal of Statistics
2 Advances in Data Science and Adaptive Analysis
2 AIMS Mathematics
1 Bulletin of the Australian Mathematical Society
1 Journal d’Analyse Mathématique
1 Mathematical Notes
1 Mathematical Proceedings of the Cambridge Philosophical Society
1 Nonlinearity
1 Periodica Mathematica Hungarica
1 Physica A
1 Bulletin of the London Mathematical Society
1 Dissertationes Mathematicae
1 International Statistical Review
1 Journal of Economic Theory
1 Mathematics and Computers in Simulation
1 Mathematics of Operations Research
...and 75 more Serials
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Cited in 37 Fields

509 Probability theory and stochastic processes (60-XX)
401 Statistics (62-XX)
157 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
51 Numerical analysis (65-XX)
23 Dynamical systems and ergodic theory (37-XX)
20 Biology and other natural sciences (92-XX)
15 Operations research, mathematical programming (90-XX)
13 Systems theory; control (93-XX)
11 Difference and functional equations (39-XX)
7 Real functions (26-XX)
5 Integral equations (45-XX)
5 Operator theory (47-XX)
4 Number theory (11-XX)
4 Special functions (33-XX)
4 Ordinary differential equations (34-XX)
4 Computer science (68-XX)
3 Linear and multilinear algebra; matrix theory (15-XX)
3 Harmonic analysis on Euclidean spaces (42-XX)
3 Statistical mechanics, structure of matter (82-XX)
2 General and overarching topics; collections (00-XX)
2 History and biography (01-XX)
2 Combinatorics (05-XX)
2 Topological groups, Lie groups (22-XX)
2 Functions of a complex variable (30-XX)
2 Partial differential equations (35-XX)
2 Sequences, series, summability (40-XX)
2 Integral transforms, operational calculus (44-XX)
2 Differential geometry (53-XX)
1 Field theory and polynomials (12-XX)
1 Potential theory (31-XX)
1 Approximations and expansions (41-XX)
1 Abstract harmonic analysis (43-XX)
1 Functional analysis (46-XX)
1 Calculus of variations and optimal control; optimization (49-XX)
1 Convex and discrete geometry (52-XX)
1 Global analysis, analysis on manifolds (58-XX)
1 Information and communication theory, circuits (94-XX)

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