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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 2-SIDED EXIT PROBLEM FOR SPECTRALLY POSITIVE LEVY PROCESSES
LCG ROGERS
– Advances in Applied Probability
(2016)
22,
486
Pitman's 2M – X property for one-dimensional diffusions
LCG ROGERS
– Advances in Applied Probability
(2016)
12,
293
The Joint Law of the Extrema, Final Value and Signature of a Stopped Random Walk
M Duembgen, LCG Rogers
(2015)
2137,
321
Trading to Stops
N Imkeller, LCG Rogers
– SIAM Journal on Financial Mathematics
(2014)
5,
753
Estimate nothing
M Duembgen, LCG Rogers
– Quantitative Finance
(2014)
14,
2065
EVOLUTION OF FIRM SIZE
L GONON, LCG ROGERS
– International Journal of Theoretical and Applied Finance
(2014)
17,
1450031
The k-record processes are i.i.d.
CM GOLDIE, LCG ROGERS
– Zeitschrift f�r Wahrscheinlichkeitstheorie und Verwandte Gebiete
(2013)
67,
197
Addendum to “itô excursion theory via resolvents”
LCG ROGERS
– Probability Theory and Related Fields
(2013)
67,
473
Failure and Rescue in an Interbank Network
LCG Rogers, LAM Veraart
– Management Science
(2013)
59,
882
Diverse beliefs
AA Brown, LCG Rogers
– Stochastics
(2012)
84,
683
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