Publications
 On nonlocal ergodic Jacobi semigroups: spectral theory, convergencetoequilibrium and contractivity (with with P. Cheridito, A. Srapionyan, A. Vaidyanathan), submitted
 A spectral approach for hypocoercivity applied to some degenerate hypoelliptic, and nonlocal operators (with with A. Vaidyanathan), submitted
 On intertwining relations between Ehrenfest, Yule and OrnsteinUhlenbeck processes (with L. Miclo), submitted
 Selfsimilar Cauchy problems and generalized MittagLeffler functions (with A. Srapionyan ),
submitted
 First passage times over stochastic boundaries for subdiffusive processes (with C. Constantinescu and R.L. Loeffen),
submitted
 Spectral projections correlation structure for shorttolong range dependent processes (with A. Srapionyan ),
submitted
 Riskneutral pricing techniques and examples (with R. A. Jarrow, A. Srapionyan and Y. Zhao) ,
submitted
 Nonclassical Tauberian and Abelian type criteria for the moment problem (with A. Vaidyanathan), submitted
 Analysis of nonreversible Markov chains via similarity orbit (with M.C.H. Choi), submitted
 Absolute ruin
in the OrnsteinUhlenbeck type risk model (with R.L. Loeffen),
submitted
 The logLévy moment problem via BergUrbanik semigroups (with A. Vaidyanathan),
Studia Math., accepted, 26p., 2019
 Extinction time of nonMarkovian selfsimilar processes, persistence, annihilation of jumps and the Fréchet distribution (with R.L. Loeffen and M.
Savov),
J. Stat. Phys., accepted, 20p., 2019

Intertwining, excursion theory and Krein theory of strings for nonselfadjoint Markov semigroups
(with M.
Savov and with Y. Zhao),
Ann. Proba., accepted, 52p., 2019
 On a gateway between continuous
and discrete Bessel and Laguerre processes (with L. Miclo),
Annales Henri Lebesgue, accepted, 41p., 2019

Spectral expansions of nonselfadjoint generalized Laguerre semigroups
(with M.
Savov )
Mem. Amer. Math. Soc., accepted, 179pp., 2019
 Skipfree Markov chains (with M.C.H. Choi),
Trans. Amer. Math. Soc., 371(10), 73017342, 2019

Purely excessive functions and hitting times of continuoustime branching processes
(with F.
Avram and with J. Wang)
J. Methodol. Comput. Appl. Probab. 21:391399, 2019

Bernsteingamma functions and exponential functionals of Lévy Processes
(with M.
Savov )
Electron. J. Probab., 23(75), 101 pp., 2018
 Option pricing in a onedimensional affine term structure model via spectral representations (with M. Chazal, and R.L. Loeffen)
SIAM Journal on Financial Mathematics, 9(2), 634664, 2018
 Smoothness of continuous state branching with immigration semigroups (with M. Chazal and R.L. Loeffen)
J. Math. Anal. Appl. 459(2):619660, 2018
 Spectral decomposition of fractional operators and a reflected stable semigroup (with Y. Zhao)
J. Differ. Equations 262(3):16901719, 2017
 Cauchy problem of the nonselfadjoint GaussLaguerre semigroups and uniform
bounds of generalized Laguerre polynomials (with M.
Savov )
J. Spectr. Theory 7:797846, 2017
 Boundary crossing identities for Brownian motion
and some
nonlinear
ode's (with L.
Alili)
Proc. Amer. Math. Soc. 142, 38113824, 2014
 A
transformation for Lévy processes with onesided jumps with
applications (with M. Chazal and A.E. Kyprianou)
Adv. Appl. Prob., to appear, 2014

Exponential functionals of Lévy processes: generalized Weierstrass products and WienerHopf factorization
(with M.
Savov )
C. R. Math. Acad. Sci. Paris, 351, no. 910,
393396, 2013
 Asion options under onesided Lévy
models
J. of Appl. Prob. 50(2), 359373, 2013

Extended factorizations of exponential functionals of Lévy processes,
(with M.
Savov )
Electron. J. Probab., 17(38): 122, 2012
 Law of the
absorption time of positive selfsimilar Markov processes
Ann. Probab.,
40(2): 765787, 2012
 A WienerHopf
type factorization for the exponential functional of Lévy processes
(with J.C.
Pardo and M. Savov )
J. London Math. Soc., 86(3): 930956, 2012
 Optimal
stopping problems for some Markov processes (with M. Cissé
and E. Tanré)
Ann. Appl. Probab., 22(3): 1243–1265, 2012

Intertwining certain fractional operators (with T. Simon)
Potent. Anal., 36: 569587, 2012
 A
CiesielskiTaylor type identity for positive selfsimilar Markov
processes (with A.E. Kyprianou)
Ann. Inst. H. Poincaré Probab. Statist., 47(3):917–928,
2011
 A refined
factorization of the exponential law
Bernoulli, 17(2):814826, 2011

Boundary crossing identities for diffusions having the time inversion
property
(with L.
Alili)
J. Theoret. Probab., (23): 65–84, 2010

Exponential functional of a new family of Lévy processes and
selfsimilar continuous state
branching processes with immigration
Bull. Sci. Math., 133(4):355382, 2009
 Infinite
divisibility
of solutions to some selfsimilar integrodifferential equations and
exponential functionals of Lévy processes
Ann. Inst. H. Poincaré Probab. Statist., 45
(3):667684, 2009
 Law of the
exponential functional of onesided Lévy processes and Asian options
C. R. Acad. Sci. Paris, Ser. I ,347:407–411, 2009
 A few remarks
on the supremum of stable processes
Statist. Probab. Lett., 79:11251128, 2009
 qinvariant
functions for some generalizations of the OrnsteinUhlenbeck semigroup
ALEA Lat. Am. J. Probab. Math. Stat.,4:3143, 2008

First exit time
probabilities for multidimensional diffusion: A PDEbased approach
(with C. Winter)
J. Comput. Appl. Math., 222(1):4353, 2008
 On the joint
law of the L^{1} and L^{2} norms of a 3dimensional
Bessel bridge (with
L. Alili)
Séminaire de Probabilités XL:247264, Lecture Notes in
Math., 1899, Springer, Berlin, 2007

Twosided exit
problem for a spectrally negative αstable OrnsteinUhlenbeck process
and the Wright's generalized hypergeometric functions
Elect. Com. Prob.,12:146160, 2007
 Strategic
LongTerm Financial Risks: The one dimensional case (with P. Embrechts
and R. Kaufmann)
Comput. Optim. Appl.,
32(12):6190,2005
 Representations
of the first hitting time density of an OrnsteinUhlenbeck process
(with L.
Alili and J.L.
Pedersen )
Stochastic Models, 21(4):967980, 2005
 On a
martingale associated to generalized OrnsteinUhlenbeck processes and
an application to finance
Stochastic Process. Appl., 115(4):593607, 2005
 Sur les
premiers instants de croissement du mouvement brownien et d'une famille
de courbes continues (with L.
Alili)
C. R. Acad. Sci. Paris Sér. I Math., 340(3):225228,
2005
