Konstantin Borovkov

Konstantin Borovkov is a Professor in the School of Mathematics and Statistics at the University of Melbourne. He received his PhD, equivalent to Candidate of Sciences in probability theory and statistics, from the Steklov Institute of Mathematics, Russian Academy of Sciences, in 1982, and later earned a Doctor of Sciences degree. His career includes research positions at the Steklov Mathematical Institute in Moscow prior to his appointment at the University of Melbourne. Borovkov is a member of the Bernoulli Society for Mathematical Statistics and Probability, underscoring his contributions to the field.

Borovkov's research specializes in probability theory, statistics, and financial mathematics, focusing on stochastic processes, diffusion processes, boundary crossing probabilities, Markov chain approximations, large deviation probabilities, fractional Brownian motion, multivariate Lévy processes, ruin probabilities, and applications to risk management. He authored the book 'Asymptotic Analysis of Random Walks: Large Deviations and Local Limit Theorems' published by Cambridge University Press in 2008. Key publications include 'On Markov chain approximations for computing boundary crossing probabilities of diffusion processes' in the Journal of Applied Probability (2023), 'On Extension of the Markov Chain Approximation Method for Computing Feynman–Kac Type Expectations' (2024), 'First Passage Densities and Boundary Crossing Probabilities for Diffusion Processes' in Methodology and Computing in Applied Probability (2009), 'The exact asymptotics of the large deviation probabilities in the multivariate boundary crossing problem' (2017), and 'On the maximum of the discretely sampled fractional Brownian motion with small Hurst parameter' (2018). As principal investigator, he has led Australian Research Council Discovery Projects such as 'Boundary Crossing Analysis for Random Processes with Applications to Risk Management' and 'New Approaches to Modelling and Analysing Long-Memory Random Processes', and participated in the ARC Centre of Excellence for Mathematical and Statistical Modelling of Complex Systems. With over 110 publications cited more than 1,200 times, his work has advanced computational and asymptotic methods in applied probability.

Professional Email: borovkov@unimelb.edu.au