Research

Research interests

Mathematical aspects of machine learning, stochastic processes, extremes, high-frequency statistics, risk and insurance mathematics, queueing theory,  model risk, stochastic simulation, ...

Publications by topic

Extremes, distributional robustness, model risk

• S. Engelke, J. Ivanovs and K. Strokorb (2023+). Graphical models for infinite measures with applications to extremes and Levy processes. (submitted for publications). arxiv:2211.15769 

• J. Ivanovs and P. Mozharovskyi (2023+). Distributionally robust halfspace depth. (submitted for publication) arxiv:2101.00726 

• V. Fomichov and J. Ivanovs (2022). Spherical clustering in detection of groups of concomitant extremes. Biometrika 110(1), p. 135-153 . arxiv:2010.12372

• S. Engelke and J. Ivanovs (2021). Sparse structures in multivariate extremes. Annual Review of Statistics and Its Application 8, p. 241-270.   arxiv:2004.12182 

• S. Asmussen, J. Ivanovs, and J. Segers (2019). On the longest gap between power-rate arrivals. Bernoulli 25(1), p. 375-394. arxiv:1703.09424

• S. Engelke and J. Ivanovs (2017). Robust bounds in multivariate extremes. Annals of Applied Probability 27(6), p. 3706-3734. arxiv:1608.04214

• S. Engelke and J. Ivanovs (2016). A Lévy-derived process seen from its maximum and max-stable processes. Electronic Journal of Probability 21, no. 14, p. 1-19. arxiv:1405.3443

Small-time behavior, high-frequency, discretization

• J. Ivanovs and J. D. Thøstesen (2023). Lévy process conditioned to stay in a half-space with applications to directional extremes. Modern Stochastics: Theory and Applications 10(1), p. 59-75 arxiv:2105.12539 

• V. Fomichov, J. González Cázares and J. Ivanovs (2021). Implementable coupling of Lévy process and Brownian motion. Stochastic Processes and their Applications 142, p. 407-431. arxiv:2103.11475 

• J. Ivanovs and J. D. Thøstesen (2021). Discretization of the Lamperti representation of a positive self-similar Markov process. Stochastic Processes and their Applications 137, p. 200-221. arxiv:2006.09115

• J. González Cázares and J. Ivanovs (2021). Recovering Brownian and jump parts from high-frequency observations of a Lévy process. Bernoulli 27(4), p. 2413-2436. arxiv:2003.05363      10min video presentation 

• J. Ivanovs and M. Podolskij (2022). Optimal estimation of the supremum and occupation times of a self-similar Lévy process. Electronic Journal of Statistics 16(1), p. 892-934. arxiv:2001.02517

• K. Bisewski and J. Ivanovs (2020). Zooming-in on a Lévy process: Failure to observe threshold exceedance over a dense grid. Electronic Journal of Probability (25), #113. arxiv:1904.06162    

• S. Asmussen and J. Ivanovs (2018). Discretization error for a two-sided reflected Lévy process. Queueing Systems 89(1) (special issue dedicated to Ward Whitt), p. 199-212. arxiv:1708.03948

• J. Ivanovs (2018). Zooming in on a  Lévy process at its supremum. Annals of Applied Probability 28(2), p. 912-940. arxiv:1610.04471 (mistakes corrected in arxiv:1904.06162)

Fluctuations of Lévy processes, insurance risk

• M. Bladt and J. Ivanovs (2021). Fluctuation theory for one-sided  Lévy processes with a matrix-exponential time horizon. Stochastic Processes and their Applications 142, p. 105-123. arxiv:2101.08076 

• J. Ivanovs (2021). On scale functions for Lévy processes with negative phase-type jumps. Queueing Systems 98, p. 3-20. arxiv:2012.08380 

• S. Asmussen and J. Ivanovs (2018). A factorization of a Lévy process over a phase-type horizon. Stochastic Models 34(4), p. 397-408. arxiv:1803.00273

• H. Albrecher and J. Ivanovs (2018). Linking dividends and capital injections - a probabilistic approach. Scandinavian Actuarial Journal 2018(1), p. 76-83.

• H. Albrecher and J. Ivanovs (2017). On the joint distribution of tax payments and capital injections for a Lévy risk model. Probability and Mathematical Statistics 37.2 (special issue to honor Tomasz Rolski), p. 219-227.

• H. Albrecher and J. Ivanovs (2017). Strikingly simple identities relating exit problems for Lévy processes under continuous and Poisson observations. Stochastic Processes and their Applications 127(2), p. 643–656. arxiv:1507.03848

• J. Ivanovs (2016). Sparre-Andersen identity and the last passage time. Journal of Applied Probability 53(2), p. 600-605. arxiv:1501.04542

• H. Albrecher, J. Ivanovs, and X. Zhou (2015). Exit identities for Lévy processes observed at Poisson arrival times. Bernoulli 22(3), p. 1364-1382 arxiv:1403.2854

• H. Albrecher and J. Ivanovs (2014). Power identities for Lévy risk models under taxation and capital injections. Stochastic Systems 4(1), p. 157-172. arxiv:1310.3052v2

• H. Albrecher, O. Boxma, and J. Ivanovs (2014). On simple ruin expressions in dependent Sparre Andersen risk models. Journal of Applied Probability 51(1), p. 293–296.

• J. Ivanovs (2013). A note on killing with applications in risk theory. Insurance: Mathematics and Economics 52(1), p. 29–34. 

Bivariate models with special boundary behavior, queueing, asymptotics

• V. Fomichov, S. Franceschi and J. Ivanovs (2022). Probability of total domination for transient reflecting processes in a quadrant. Advances in Applied Probability 54(4), p.1094 --1138. arxiv:2006.11826 

• J. Ivanovs (2021). Stochastic decompositions in bivariate risk and queueing models with mutual assistance. Stochastic Models 37(1) (special issue dedicated to Peter Taylor), p. 5-22. arxiv:1911.06867

• S. Asmussen, J. Ivanovs, and A. Rønn-Nielsen (2017). Time inhomogeneity in longest gap and longest run problems. Stochastic Processes and their Applications 127(2), p. 574–589. arxiv:1510.00579

• J. Ivanovs and O. Boxma (2015). A bivariate risk model with mutual deficit coverage. Insurance: Mathematics and Economics 64, p. 126-134. arxiv:1501.02927

• J. Ivanovs and M. Mandjes (2015). Transient analysis of a stationary Lévy-driven queue. Statistics and Probability Letters 107, p. 341-347. arxiv:1506.05341

• O. Boxma and J. Ivanovs (2013). Two coupled Lévy queues with independent input. Stochastic Systems 3(2), p. 574-590. arxiv:1306.2229

• J. Ivanovs and O. Kella (2013). Another look into decomposition results. Queueing Systems 75(1), p. 19-28.

• O. Boxma, J. Ivanovs, K. Kosinski and M. Mandjes (2011). Lévy-driven polling systems and continuous-state branching processes. Stochastic Systems 1(2), p. 411–436.

Markov additive processes, modulation

• J. Ivanovs and K. Yamazaki (2024).  On the CUSUM procedure for phase-type distributions: a Lévy fluctuation theory approach. Stochastic Processes and their Applications (to appear). arxiv:2109.03361

• J. Ivanovs (2017). Splitting and time reversal for Markov additive processes. Stochastic Processes and their Applications 127(8), p. 2699-2724. arxiv:1510.03580

• J. Ivanovs (2014). Potential measures of one-sided Markov additive processes with reflecting and terminating barriers. Journal of Applied Probability 51(4), p. 1154-1170. arxiv:1309.4987

• H. Albrecher, P. Asadi, and J. Ivanovs (2014). Exact boundaries in sequential testing for phase-type distributions. Journal of Applied Probability 51A, p. 347-358. arxiv:1306.2783

• H. Albrecher and J. Ivanovs (2013). A risk model with an observer in a Markov environment. Risks 1(3), p. 148-161. arxiv:1310.3054

• H. Albrecher, F. Avram, C. Constantinescu, and J. Ivanovs (2014). The tax identity for Markov additive risk processes. Methodology and Computing in Applied Probability 16(1), p. 245–258.

• J. Ivanovs and Z. Palmowski (2012). Occupation densities in solving exit problems for Markov additive processes and their reflections. Stochastic Processes and their Applications 122(9), p. 3342–3360. arxiv:1110.3811

• B. D’Auria, J. Ivanovs, O. Kella, and M. Mandjes (2012). Two-sided reflection of Markov-modulated Brownian motion. Stochastic Models, 28(2), p. 316–332.

• B. D’Auria, J. Ivanovs, O. Kella, and M. Mandjes (2010). First passage of a Markov additive process and generalized Jordan chains. Journal of Applied Probability 47(4), p. 1048–1057. arxiv:1006.2965

• J. Ivanovs (2010). Markov-modulated Brownian motion with two reflecting barriers. Journal of Applied Probability 47(4), p. 1034–1047.

• J. Ivanovs, O. Boxma, and M. Mandjes (2010). Singularities of the matrix exponent of a Markov additive process with one-sided jumps. Stochastic Processes and their Applications 120(9), p. 1776–1794.

• J. Ivanovs and M. Mandjes (2010). First passage of time-reversible spectrally negative Markov additive processes. Operations Research Letters 38(2), p. 77-81.

Other writings

Theses

• J. Ivanovs (2011). One-sided Markov additive processes and related exit problems. PhD dissertation, University of Amsterdam. Uitgeverij BOXPress, Oisterwijk. ISBN: 978-90-8891-311-2. DOWNLOAD

• J. Ivanovs (2007). Recognition of human poses using pictorial structures. MSc thesis supervised by D. Gavrila and A. Feelders.

• J. Ivanovs (2005). Bounds on quantum query algorithms. BSc thesis supervised by R. Freivalds.

Proceedings

• A. Feelders and J. Ivanovs (2006). Discriminative scoring of Bayesian network classifiers: a comparative study. Proceedings PGM 2006, p. 75–82.

• R. Ozols, R. Freivalds, J. Ivanovs, E. Kalnina, L. Lace, M. Miyakawa, H. Tatsumi, and D. Taimina (2005). Boolean functions with a low polynomial degree and quantum query algorithms. Proceedings SOFSEM 2005, p. 408–412.