Jeffrey F. Collamore

Fastnet+4535320782
E-mailcollamoremath.kudk
Webstedhttp://www.math.ku.dk/~collamore/, https://www.math.ku.dk/~collamore/

Universitetsparken 5, 2100 København Ø, 04 Matematik E, 04-3-08
Danmark

Publikationer pr. år

10 Tidsskriftartikel
3 Konferenceartikel
2 Konferencebidrag i proceedings
1 Ph.d.-afhandling

16 resultater

2018
Large excursions and conditioned laws for recursive sequences generated by random matrices
Collamore, J. F. & Mentemeier, S., 2018, I: Annals of Probability. 46, 4, s. 2064-2120. 59 s.
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review
2 Citationer (Scopus)

60 Downloads (Pure)
2016
Large deviation estimates for exceedance times of perpetuity sequences and their dual processes
Buraczewski, D., Collamore, J. F., Damek, E. & Zienkiewicz, J., 2016, I: Annals of Probability. 44, 6, s. 3688-3739. 34 s.
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review
7 Citationer (Scopus)

67 Downloads (Pure)
2014
Rare event simulation for processes generated via stochastic fixed point equations
Collamore, J. F., Diao, G. & Vidyashankar, A. N., okt. 2014, I: Annals of Applied Probability. 24, 5, s. 2143-2175 33 s.
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review
6 Citationer (Scopus)

822 Downloads (Pure)
2013
Large deviation tail estimates and related limit laws for stochastic fixed point equations
Collamore, J. F. & Vidyashankar, A. N., 2013, Random Matrices and Iterated Random Functions. Lowe, M. & Alsmeyer, G. (red.). Heidelberg: Springer, Bind 63. s. 91-117 27 s.
Publikation: Bidrag til bog/antologi/rapport › Konferencebidrag i proceedings › Forskning › peer review
4 Citationer (Scopus)

969 Downloads (Pure)
Rare event simulation for stochastic fixed point equations related to the smoothing transform
Collamore, J. F., Vidyashankar, A. N. & Xu, J., 2013, I: Winter Simulation Conference. Proceedings. 9 s.
Publikation: Bidrag til tidsskrift › Konferenceartikel › Forskning › peer review
Tail estimates for stochastic fixed point equations via nonlinear renewal theory
Collamore, J. F. & Vidyashankar, A. N., 2013, I: Stochastic Processes and Their Applications. 123, 9, s. 3378-3429
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review
15 Citationer (Scopus)

971 Downloads (Pure)
2012
An importance sampling algorithm for estimating extremes of perpetuity sequences
Collamore, J. F., 2012, AIP Conference Proceedings. American Institute of Physics, Bind 1479. s. 1966-1969 4 s.
Publikation: Bidrag til bog/antologi/rapport › Konferencebidrag i proceedings › Forskning › peer review
2009
Random recurrence equations and ruin in a Markov-dependent stochastic economic environment
Collamore, J. F., 2009, I: Annals of Applied Probability. 19, 4, s. 1404-1458 55 s.
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review
30 Citationer (Scopus)

904 Downloads (Pure)
2007

Small-time ruin for a financial process modulated by a Harris recurrent Markov chain.
Collamore, J. F. & Hoeing, A., 2007, I: Finance and Stochastics. 11, 3, s. 299-322 24 s.
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

920 Downloads (Pure)
2004

Small-time ruin estimates for certain Markov-dependent processes arising in risk management
Collamore, J. F., 2004, I: Proceedings for the 3rd Conference in Actuarial Science and Finance, Samos (August 2004).
Publikation: Bidrag til tidsskrift › Konferenceartikel › Forskning › peer review
2002

Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors.
Collamore, J. F., 2002, I: Annals of Applied Probability. 12, 1, s. 382-421 40 s.
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

30 Citationer (Scopus)

1230 Downloads (Pure)
1999

Exact asymptotics for a large deviations problem for the GI/G/1 queue
Asmussen, S. & Collamore, J. F., 1999, I: Markov Processes and Related Fields. 5, 4, s. 451-476 26 s.
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

1195 Downloads (Pure)
Importance sampling techniques for the multidimensional ruin problem
Collamore, J. F., 1999, I: Probabilistic analysis of rare events: theory and problems of safety, insurance, and ruin. V. V. Kalashnikov and A. M. Andronov, editors. Jurmala, Latvia, June 1999. . 4 s.
Publikation: Bidrag til tidsskrift › Konferenceartikel › Forskning › peer review
1998

First passage times for general sequences of random vectors: a large deviations approach
Collamore, J. F., 1998, I: Stochastic Processes and Their Applications. 78, 1, s. 97-130 34 s.
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

21 Citationer (Scopus)

755 Downloads (Pure)
1996

Hitting probabilities and large deviations
Collamore, J. F., 1996, I: Annals of Probability. 24, 4, s. 2065-2078 14 s.
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

26 Citationer (Scopus)

862 Downloads (Pure)
Large Deviation Techniques for the Study of the Hitting Probabilities of Rare Sets
Collamore, J. F., 1996, Madison, WI, U.S.A.: University of Wisconsin. 114 s.
Publikation: Bog/antologi/afhandling/rapport › Ph.d.-afhandling

Jeffrey F. Collamore

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