Published and accepted articles:

  1. R. Feng, A. Kuznetsov and F. Yang "Exponential functionals of Levy processes and variable annuity guaranteed benefits", to appear in Stochastic Processes and their Applications

  2. A. Kuznetsov and M. Kwasnicki "Minimal Hermite-type eigenbasis of the discrete Fourier transform", to appear in The Journal of Fourier Analysis and Applications

  3. A. Kuznetsov "Using q-calculus to study LDL^T factorization of a certain Vandermonde matrix", to appear in Operators and Matrices

  4. E. Furman, A. Kuznetsov and R. Zitikis (2018) "Weighted risk capital allocations in the presence of systematic risk", Insurance: Mathematics and Economics, 79, 75-81

  5. A. Kuznetsov (2018) "A direct evaluation of an integral of Ismail and Valent", "Frontiers in Orthogonal Polynomials and q-Series", edited by M. Zuhair Nashed and Xin Li, World Scientific Publisher, 417-425

  6. A. Kuznetsov and M. Kwasnicki (2018) "Spectral analysis of stable processes on the positive half-line", Electron. J. Probab. , 23, no. 10, 1-29

  7. A. Kuznetsov (2017) "Constructing measures with identical moments", Proc. Amer. Math. Soc., 145, 4431-4441

  8. A. Kuznetsov (2017) "On Dirichlet series and functional equations", Journal of Number Theory, 180, 498-511.

  9. B. Dyda, A. Kuznetsov and M. Kwasnicki (2017) "Eigenvalues of the fractional Laplace operator in the unit ball", Journal of the London Mathematical Society, 95, 500-518.

  10. B. Dyda, A. Kuznetsov and M. Kwasnicki (2017) "Fractional Laplace operator and Meijer G-function", Constructive Approximation, 45 (3), 427-448.

  11. R.v.d. Hofstad, M. Holmes, A. Kuznetsov and W. Ruszel (2016) "Strongly reinforced Polya urns with graph-based competition", Ann. Appl. Probab., 26 (4), 2494-2539.

  12. E. Furman, A. Kuznetsov, J. Su and R. Zitikis (2016) "Tail dependence of the Gaussian copula revisited", Insurance: Mathematics and Economics, 69, 97-103.

  13. R. Feng, A. Kuznetsov and F. Yang (2016) "A short proof of duality relations for hypergeometric functions" , J. Math. Anal. Appl., 443(1), 116-122.

  14. D. Hackmann and A. Kuznetsov (2016) "Approximating Levy processes with completely monotone jumps", Ann. Appl. Probab., 26 (1), 328-359.

  15. A. Kuznetsov (2015) "Explicit Hermite-type eigenvectors of the discrete Fourier transform" SIAM J. Matrix Anal. Appl., 36(4), 1443-1464.

  16. A. Kuznetsov (2015) "Computing the truncated theta function via Mordell integral", Math. Comp., 84, 2911-2926.

  17. D. Hackmann and A. Kuznetsov (2014) "Asian options and meromorphic Levy processes", Finance and Stochastics, 18, 825-844.

  18. T. Hasebe and A. Kuznetsov (2014) "On free stable distributions", Elect. Comm. in Probab., 19, article 56, 1-12.

  19. J. Burridge, A. Kuznetsov, M. Kwasnicki and A. E. Kyprianou (2014) "New families of subordinators with explicit transition probability semigroup", Stoch. Proc. Appl., 124(10): 3480-3495.

  20. A. Kuznetsov and M. Morales (2014) "Computing the finite-time expected discounted penalty function for a family of Levy risk processes", Scandinavian Actuarial Journal, 2014(1), 1-31.

  21. A. Kuznetsov, A.E. Kyprianou, J.C. Pardo and A.R. Watson (2014) "The hitting time of zero for a stable process" Electron. J. Probab. , 19 (paper 30), 1-35.

  22. A. Kuznetsov (2013) "On the convergence of the Gaver-Stehfest algorithm", SIAM J. Numer. Anal., 51(6): 2984-2998.

  23. D. Hackmann and A. Kuznetsov (2013) "A note on the series representation for the density of the supremum of a stable process" Elect. Comm. in Probab., 18, article 42, 1-5.

  24. A. Kuznetsov (2013) "On the density of the supremum of a stable process", Stoch. Proc. Appl., 123(3): 986-1003.

  25. A. Kuznetsov and J.C. Pardo (2013) "Fluctuations of stable processes and exponential functionals of hypergeometric Levy processes", Acta Applicandae Mathematicae, 123(1):113-139.

  26. A. Kuznetsov (2013) "Asymptotic approximations to the Hardy-Littlewood function", J. Comput. Appl. Math., 237(1), 603-613.

  27. A. Kuznetsov, A.E. Kyprianou and V. Rivero (2013) "The theory of scale functions for spectrally negative Levy processes", Levy Matters II, Springer Lecture Notes in Mathematics, Vol. 2061, 97-186.

  28. A. Kuznetsov and X. Peng (2012) "On the Wiener-Hopf factorization for Levy processes with bounded positive jumps", Stoch. Proc. Appl., 122(7), 2610-2638

  29. A. Kuznetsov, A.E. Kyprianou and J.C. Pardo (2012) "Meromorphic Levy processes and their fluctuation identities", Ann. Appl. Probab. , 22(3), 1101-1135.

  30. A. Kuznetsov, J.C. Pardo and M. Savov (2012) "Distributional properties of exponential functionals of Levy processes", Electron. J. Probab. , 17(8), 1-35.

  31. A. Kuznetsov (2012) "On the distribution of exponential functionals for Levy processes with jumps of rational transform", Stoch. Proc. Appl., 122(2), 654-663.

  32. A. Kuznetsov, A.E. Kyprianou, J.C. Pardo and K. van Schaik (2011) "A Wiener-Hopf Monte-Carlo simulation technique for Levy processes", Ann. Appl. Probab. , 21(6), 2171-2190.

  33. F. Hubalek and A. Kuznetsov (2011) "A convergent series representation for the density of the supremum of a stable process", Elect. Comm. in Probab., 16, 84-95.

  34. A. Kuznetsov (2011) "On extrema of stable processes", Ann. Probab., 39(3), 1027-1060.

  35. A. Kuznetsov (2011) "Analytic proof of Pecherskii-Rogozin identity and Wiener-Hopf factorization", Theory Probab. Appl., 55(3), 432-443.

  36. A. Kuznetsov (2010) "Wiener-Hopf factorization for a family of Levy processes related to theta functions", J. Appl. Prob., 47(4), 1023-1033.

  37. A. Kuznetsov (2010) "Wiener-Hopf factorization and distribution of extrema for a family of Levy processes", Ann. Appl. Probab. , 20(5), 1801-1830.

  38. C. Albanese and A. Kuznetsov (2009) "Transformations of Markov processes and classification scheme for solvable driftless diffusions", Markov Process. Relat. Fields, 15, 563-574.

  39. T.R. Hurd and A. Kuznetsov (2009) "On the first passage time for Brownian motion subordinated by a Levy process", J. Appl. Probab., 46, 181-198.

  40. A. Kuznetsov (2008) "Expansion of the Riemann Xi function in Meixner-Pollaczek polynomials", Canad. Math. Bull., 51 (4), 561-569.

  41. T.R.Hurd and A. Kuznetsov (2008) "Explicit formulas for Laplace transforms of stochastic integrals", Markov Process. Relat. Fields, 14, 277-290.

  42. A. Kuznetsov (2008) "On the Lanczos limit formula", Integral Transforms and Special Functions, 19(11), 853-858.

  43. A. Kuznetsov (2007) "Integral representations for the Dirichlet L-functions and their expansions in Meixner-Pollaczek polynomials and rising factorials", Integral Transforms and Special Functions, 18(11), 827-835.

  44. A. Kuznetsov (2007) "On the Riemann-Siegel formula", Proc. R. Soc. A 463, 2557-2568.

  45. T.R.Hurd and A. Kuznetsov (2007) "Affine Markov chain model of multifirm credit migration", Journal of Credit Risk, 3(1), 3-29

  46. C. Albanese and A. Kuznetsov (2005) "Affine lattice models", International Journal of Theoretical and Applied Finance, 8(2), 223-238.

  47. C. Albanese and A. Kuznetsov (2004) "Unifying volatility models", Risk Magazine, 17(3) , 94-98.

Submitted articles:

  1. E. Furman, D. Hackmann and A. Kuznetsov "On log-normal convolutions: An analytical-numerical method with applications to economic capital determination"