Dr. rer. nat. (PhD), Leibniz Universität Hannover

Probability and Statistics, Lévy processes, fractional Brownian motions,empirical processes. Mathematical finance and statistics.

Boris Buchmann is an Associate Professor of Statistics.  He is a mathematician working in the general areas of probability theory, mathematical statistics and mathematical finance. 

Boris’ research, collaboration, and supervision focus on infinitely divisible distributions and Lévy processes. His ongoing research projects also include extremal processes and local behaviour of Lévy processes.  Previously, Boris worked on stochastic differential equations driven by fractional Brownian motion, and discovered a statistical convolution logarithm, i.e. decompounding. Boris discovered the notion of weak subordination, to improve on modelling dependence deficiency in an existing finance model but contribute to the notion of time change in high dimensions. He also discovered Le Cam deficiency limits of GARCH, and he derived limiting laws in terms of fractional Brownian motion of OLS estimators in nearly nonstationary models driven by long-range dependent noise. Boris’s research has featured in leading journals including Annals of Statistics, Probability Theory and Related Fields, Transactions of the American Mathematical Society, Bernoulli: A Journal of Mathematical Statistics and Probability, Annals of the Institute of Statistical Mathematics, Stochastic Processes and their Applications and Advances in Applied Probability. Boris is recipient of Australian Research Council Discovery Program funding, having been awarded a Discovery Project Grant for the project entited Frontiers of Risk Modelling: Dependence and Extremes of Levy Processes.