Prof Fima Klebaner

Director of Centre for Modelling of Stochastic Systems (CMSS)

T: +61 3 99054409
E: fima.klebaner@monash.edu

* Monash Centre for Modelling of Stochastic Systems
* Monash University Researcher Profile - including biography, publications and grants
* Google Scholar

Research Overview

Stochastic processes, probability; stochastic models, populations models, financial mathematics, volatility, market models, martingales, random perturbations, applied probability.

Selected Publications

[1] Klebaner, Fima C. Introduction to Stochastic Calculus with Applications. 3 ed. UK : Imperial College Press, 2012. 438 p.

[2] Baker, Jeremy ; Chigansky, P. ; Hamza, K. ; Klebaner, F. C. "Persistence of small noise and random initial conditions". In: Advances in Applied Probability. 2018 ; Vol. 50, No. A. pp. 67-81. https://doi.org/10.1017/apr.2018.71

[3] Klebaner, Fima C. "Option price when the stock is a semimartingale". In: Electronic Communications in Probability. 2002 ; Vol. 7, No. 1. pp. 79 - 83.

[4] Khasminskii, Rafail ; Klebaner, Fima C. "Long term behavior of solutions of the Lotka-Volterra system under small random perturbations". In: Annals of Applied Probability. 2001 ; Vol. 11, No. 3. pp. 952 - 963. https://doi.org/10.1214/aoap/1015345354

[5] Klebaner, Fima C. "Stochastic difference equations and generalized gamma distributions". In: Annals of Probability. 1989 ; Vol. 17, No. 1. pp. 178–188.