Jevgenijs Ivanovs
Jevgenijs Ivanovs is Associate Professor at the Department of Mathematics at Aarhus University.
His research interests are applied probability in a broad sense: queueing theory, risk theory, Lévy processes, matrix analytic methods, scaling limits, max-stable processes, distribution model risk, particle systems, and Bayesian networks.
Ivanovs, J. (2016). Zooming in on a Lévy process at its supremum. Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet. Thiele Research Reports Vol. 5, 2016 http://math.au.dk/forskning/publikationer/instituttets-serier/publication/publid/1086/
Jevgenijs Ivanovs, B. Y. (2018). Zooming in on a lévy process at its supremum. Annals of Applied Probability, 28(2), 912-940. https://doi.org/10.1214/17-AAP1320
Bisewski, K. & Ivanovs, J. (2020). Zooming-in on a lévy process: Failure to observe threshold exceedance over a dense grid. Electronic Journal of Probability, 25, Article 113. https://doi.org/10.1214/20-EJP513
D'Auria, B., Ivanovs, J., Kella, O. & Mandjes, M. (2012). Two-sided reflection of Markov-modulated brownian motion. Stochastic Models, 28(2), 316-332.
Boxma, O. & Ivanovs, J. (2013). Two coupled Lévy queues with independent input. Stochastic Systems, 3(2), 574-590. https://doi.org/10.1214/13-SSY116
Ivanovs, J. & Mandjes, M. (2015). Transient analysis of a stationary Lévy-driven queue. Statistics & Probability Letters, 107, 341-347.
Asmussen, S., Ivanovs, J. & Rønn-Nielsen, A. (2017). Time inhomogeneity in longest gap and longest run problems. Stochastic Processes and Their Applications, 127(2), 574-589. https://doi.org/10.1016/j.spa.2016.06.018
Albrecher, H., Avram, F., Constantinescu, C. & Ivanovs, J. (2014). The tax identity for Markov additive risk processes. Methodology and Computing in Applied Probability, 16(1), 245-258.
Albrecher, H. & Ivanovs, J. (2017). Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations. Stochastic Processes and Their Applications, 127(2), 643-656. https://doi.org/10.1016/j.spa.2016.06.021
Ivanovs, J. (2021). Stochastic decompositions in bivariate risk and queueing models with mutual assistance. Stochastic Models, 37(1), 5-22. https://doi.org/10.1080/15326349.2020.1760888
