KTH Mathematics  


  • 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
  • 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, 524530, 2008. (Best paper candidate).
  • 2007. Hult, H, Lindskog, F.:
    Extremal behavior of stochastic integrals driven by regularly varying Lvy 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 Mathmatique, Nouvelle Srie 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 Cramr-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.

To home page
Published by: Henrik Hult
Updated: September 24, 2008