Publications
- 2013. Gudmundsson, T., Hult, H.:
Markov chain Monte Carlo for computing rare-event probabilities for a heavy-tailed random walk.
Accepted in J. Appl. Prob. arxiv version
- 2013. Hult, H., Lindskog, F., Nykvist, J.:
A simple time-consistent model for the forward density process.
Accepted in International Journal of Theoretical and Applied Finance, 2013.
- 2012. Hult, H., Nyquist, P.:
Large deviations for weighted empirical measures arising in importance sampling
Preprint arxiv version
- 2012. Blanchet, J., Hult, H., and Leder, K.:
Rare-event simulation for stochastic recurrence equations with heavy-tailed innovations
Accepted in ACM T. Model. Comput. S.
- 2012. Hult, H., Svensson, J.:
On importance sampling with mixtures for random walks with heavy tails
ACM T. Model. Comput. S. 22(2), Article 8.
- 2011. Hult, H., Lindskog, F.:
Ruin probabilities under general investments and heavy-tailed claims
Finance & Stochastics 15(2).
- 2010. Hult, H., Kiessling, J.:
Algorithmic trading with Markov chains
Preprint.
- 2010. Hult, H., Samorodnitsky, G.:
Large deviations for point processes based on stationary sequences with heavy tails
Journal of Applied Probability, 47(1), 1-40.
link
- 2009. Hult, H., Svensson, J.:
Efficient calculation of risk measures by importance sampling - the heavy tailed case
Preprint
arXiv:math/0909.3335v1 [math:PR]
- 2008. Hult, H., Samorodnitsky, G.:
Tail probabilities for infinite series of regularly varying random vectors
Bernoulli 14(3), 838-864.
arXiv:math/070211v2 [math.PR]
- 2007. Hargreaves, B., Hult, H., and Reda, S.:
Within-die process variations: How accurately can they be
statistically modeled?
in proceedings of IEEE Asian
South Pacific Design Automation Conference, 524Ð530, 2008. (Best paper
candidate).
- 2007. Hult, H, Lindskog, F.:
Extremal behavior of stochastic integrals driven by regularly
varying Lévy processes
The Annals of Probability 35(1), 309-339.
arXiv:math/0703802v1 [math.PR]
- 2006. Hult, H, Lindskog, F.:
Regular variation for measures on metric spaces
Publications de l'Institut Mathématique, Nouvelle Série 80, 121-140.
Preprint PDF
- 2006. Hult, H, Lindskog, F.:
Heavy-tailed insurance portfolios: buffer capital and ruin probabilities
PDF
Technical Report No. 1441, School of ORIE, Cornell University, 2006.
- 2006. Hult, H, Lindskog, F.:
On regular variation for infinitely divisible random vectors and additive processes
Advances in Applied Probability 38(1), 134-148.
- 2006. Hult, H, Lindskog, F.:
On Kesten's counterexample to the Cramér-Wold device for
regular variation
Bernoulli 12(1), 133-142.
- 2005. Hult, H, Lindskog, F, Mikosch, T, Samorodnitsky, G.:
Functional large deviations for multivariate regularly varying random walks
The Annals of Applied Probability 15(4), 2651-2680.
arXiv:math/0602460v1 [math.PR]
- 2005. Hult, H, Bjork, T.:
A note on Wick products and the fractional Black-Scholes model
Finance and Stochastics 9(2), 249-274.
- 2005. Hult, H, Lindskog, F.:
Extremal behavior of regularly varying stochastic processes
Stochastic Processes and their Applications 115(2), 249-274.
- 2003. Hult, H:
Approximating some Volterra type stochastic integrals with
applications to parameter estimation
Stochastic processes and their applications 105(1), 1-32.
- 2002. Hult, H, Lindskog, F.:
Multivariate extremes, aggregation and dependence in elliptical distributions
Advances in Applied Probability 34(3), 587-608.
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