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Department of Pure Mathematics and Mathematical Statistics

Professor of Statistical Science

Research Interests: Financial mathematics, probability theory, stochastic analysis, statistics, mathematical economics

Publications

The correlation of the maxima of correlated Brownian motions
LCG Rogers, L Shepp
– Journal of Applied Probability
(2016)
43,
880
Stochastic ordering of order statistics
AD BARBOUR, T LINDVALL, LCG ROGERS
– Journal of Applied Probability
(2016)
28,
278
PROBABILITY THAT 2 SAMPLES IN THE PLANE WILL HAVE DISJOINT CONVEX HULLS
LCG ROGERS
– Journal of Applied Probability
(2016)
15,
790
Computing the invariant law of a fluid model
LCG ROGERS, Z SHI
– Journal of Applied Probability
(2016)
31,
885
Evaluating first-passage probabilities for spectrally one-sided Levy processes
LCG Rogers
– Journal of Applied Probability
(2016)
37,
1173
Optimal stopping and embedding
D Lamberton, LCG Rogers
– Journal of Applied Probability
(2016)
37,
1143
On coupling of random walks and renewal processes
T Lindvall, LCG Rogers
– Journal of Applied Probability
(2016)
33,
122
A Stochastic Volatility Alternative to SABR
LCG Rogers, LAM Veraart
– Journal of Applied Probability
(2016)
45,
1071
Ignatov's theorem: an abbreviation of the proof of Engelen, Tommassen and Vervaat
LCG ROGERS
– Advances in Applied Probability
(2016)
21,
933
The two-sided exit problem for spectrally positive Lévy processes
LCG Rogers
– Advances in Applied Probability
(2016)
22,
486
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