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Dr. Boris Buchmann

Boris Buchmann Boris Buchmann is interested in the asymptotic properties of stochastic processes such as Lévy processes, fractional Brownian motions and empirical processes. Further he is interested in the applications in various areas as mathematical statistics and finance (download CV).

 
 

Contact

School of Mathematical Sciences
Building 28, Room 348
Monash University
Clayton, VIC 3800, Australia
PHONE: +61 3 9905 9760
FAX: +61 3 9905 9520
EMAIL: boris.buchmann@sci.monash.edu.au

Publications

  • Buchmann, B. and Maller, R. The Other Law of the Iterated Logarithm for Levy Processes at Small and Large Times Submitted for publication. - download
  • Buchmann, B. and Muller, G. On the limit experiments of randomly thinned GARCH(1,1) in deficiency. Submitted for publication. - download
  • Buchmann, B. and Chan, N.H. Integrated functionals of normal and fractional processes. The Annals of Applied Probability 19 (2009) 47-90. - download.
  • Buchmann, B. and Szimayer, A. Weighted supnorms in the nonparametric inference for Lévy Processes. Monash University and Fraunhofer ITWM (2008). Submitted for publication. - download.
  • Buchmann, B., Maller, R.A. and Szimayer, A. An almost sure functional fimit theorem at zero for a class of Lévy processes normed by the square root function, and applications. and their applications. Probability Theory and Related Fields 142 (2008), 219-247. - download.
  • Buchmann, B. and Chan, N.H. Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence. Annals of Statistics 35 No. 5, 2001-2017 (2007). - download.
  • Buchmann, B. and Weber, S. A continuous time approximation of an evolutionary stock price model. International Journal of Theoretical and Applied Finance 10, no. 7, 1229 - 1253 (2007). - download.
  • Buchmann, B. and Klüppelberg, C. Fractional integral equations and state space transforms. Bernoulli 12, no. 3, 431--456 (2006). - download.
  • Buchmann, B. and Klüppelberg, C. Maxima of stochastic processes driven by fractional Brownian motion. Advances in Applied Probability 37, no.~3, 743--764 (2005). - download.
  • Buchmann, B. and Grübel, R. Decompounding Poisson random sums: recursively truncated estimates in the discrete case. Ann. Inst. Statist. Math. 56, no. 4, 743--756 (2004). - download.
  • Buchmann, B. and Grübel, R. Decompounding: an estimation problem for Poisson random sums. Annals of Statistics 31, no. 4, 1054--1074 (2003). - download.
  • Buchmann, B. Decompounding: an estimation problem for the compound Poisson distribution Phd thesis. Leibniz University of Hannover, Germany, 2001. (English). download.