Publikacje/Publications




Books Theses Research papers Research reports



Books:

  1. J.Szwabiński, A.Weron (2022) "Recent Advances in Single-Particle Tracking: Experiment and Analysis", MDPI.
  2. F.Chaari, J.Leskow, A.Wyłomańska, R.Zimroz, A.Napolitano (2021) "Applied Condition Monitoring. Nonstationary Systems: Theory and Applications", Springer International Publishing.
  3. F.Chaari, J. Leskow, R.Zimroz, A.Wylomanska, A.Dudek (2020) "Applied Condition Monitoring. Cyclostationarity: Theory and Methods - IV", Springer International Publishing.
  4. F.Chaari, J. Leskow, A. Napolitano, R.Zimroz, A.Wylomanska (2017) "Applied Condition Monitoring. Cyclostationarity: Theory and Methods - III", Springer International Publishing.
  5. R.G.Burns, I.Szymaniec, A.Weron (2016) " Hugo Steinhaus Mathematician for All Seasons. Recollections and Notes Vol.2 (1945-1968)", Birkhauser.
  6. R.G.Burns, I.Szymaniec, A.Weron (2015) " Hugo Steinhaus Mathematician for All Seasons. Recollections and Notes Vol.1 (1887-1945)", Birkhauser.
  7. F.Chaari, J. Leskow, A. Napolitano, R.Zimroz, A.Wylomanska, A.Dudek (2015) "Applied Condition Monitoring. Cyclostationarity: Theory and Methods - II", Springer International Publishing.
  8. K.Burnecki (2012) "Identification, validation and prediction of fractional dynamical systems", Oficyna Wydawnicza Politechniki Wrocławskiej, Wroclaw.
  9. P.Cizek, W.Härdle, R.Weron (2011) "Statistical Tools for Finance and Insurance (2 Edition)", Springer, Berlin.
  10. R.Weron (2006) "Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach", Wiley, Chichester.
  11. P.Cizek, W.Härdle, R.Weron (2005) "Statistical Tools for Finance and Insurance", Springer, Berlin.
  12. A. Izydorczyk, A.Janicki (2001) "Computer Simulations of Stochastic Differential Equations", Warsaw .
  13. A.Weron, R.Weron (2000) "POWER EXCHANGE: Risk management strategies", Wroclaw.
  14. A.Weron, R.Weron (1998, 1999) "FINANCIAL ENGINEERING: Derivatives pricing, Computer simulations, Market statistics", WNT, Warszawa.
  15. A.Janicki (1996) "Numerical and Statistical Approximation of Stochastic Differential Equations with Non-Gaussian Measures", HSC Monograph, Wroclaw.
  16. A.Janicki, A.Weron (1994) "Simulation and Chaotic Behavior of Stable Stochastic Processes", Marcel Dekker, New York.

Theses:

  1. Ł.Bielak (2023) "Application of stochastic processes for modelling market risk factors in a mining company", Ph.D. thesis, supervisors: A. Wyłomańska, J. Janczura.
  2. J.Hebda-Sobkowicz (2023) "Modeling processes in mining and geology using stochastic processes", Ph.D. thesis, supervisors: R. Zimroz, A. Wyłomańska.
  3. P.Kruczek (2022) "Cyclostationary random sequences with stable noise and their applications", Ph.D. thesis, supervisors: A. Wyłomańska, R. Zimroz.
  4. G.Krzyżanowski (2022) "Modele ułamkowe i ich zastosowania w finansach", Ph.D. thesis, supervisors: M. Magdziarz, Ł. Płociniczak.
  5. M.Świtała (2022) "Nieliniowe równanie różniczkowe opisujące dynamikę podsiąku kapilarnego", Ph.D. thesis, supervisors: Ł. Płociniczak, J. Ślęzak.
  6. A.Grzesiek (2022) " Dependence structure analysis for two-dimensional autoregressive model with α-stable noise ", Ph.D. thesis, supervisors: A. Wyłomańska, M. Teuerle.
  7. P.Giri (2021) "Estimation of multidimensional autoregressive (AR) and periodic autoregressive (PAR) time series models with alpha-stable distribution", Ph.D. thesis, supervisors: S. Sundar (IIT, Madras, India), A. Wyłomańska.
  8. H.Olszewska-Loch (2021) "Analysis of behaviour of the dynamical functional for the fractional anomalous diffusion", Ph.D. thesis, supervisors: J.Szwabiński, J.Janczura. Full text PDF (3336 KB)
  9. G.Żak (2018) "Local damage detection methods in mining machines in presence of non-Gaussian noise", Ph.D. thesis, supervisors: R.Zimroz, A.Wyłomańska.
  10. M.Giuricich (2018) "Index-linked catastrophe instrument valuation", Ph.D. thesis, supervisors: K.Burnecki, P.Ouwehand & E.Platen.
  11. D.Kucharczyk (2018) "Change point detection problem in time series data", Ph.D. thesis, supervisor: A.Wyłomańska.
  12. J.Ślęzak (2018) "Langevin equation and fractional dynamics", Ph.D. thesis, supervisor: M.Magdziarz. Full text PDF (3045 KB)
  13. M.Balcerek (2018) "Modelowanie stochastyczne i numeryczne sygnałów mających charakter anomalnej dyfuzji", Ph.D. thesis, supervisor: K.Burnecki.
  14. T.Zórawik (2018) "Asymptotyczne własności skorelowanych błądzeń losowych z czasem ciągłym", Ph.D. thesis, supervisor: M.Magdziarz.
  15. R.Połoczański (2018) "The processes of anomalous diffusion in the application to description of the indoor air quality", Ph.D. thesis, supervisor: A.Wyłomańska.
  16. G.Sikora (2014) "Analysis of stochastic models with long range dependence", Ph.D. thesis, supervisor: K.Burnecki.
  17. S.Orzeł (2013) "Stochastic modelling of accelerating anomalous diffusion", Ph.D. thesis, supervisor: W.Mydlarczyk.
  18. J.Gajda (2013) "Modeling of anomalous diffusion processes using tempered alpha stable processes", Ph.D. thesis, supervisor: M.Magdziarz.
  19. Ł.Płociniczak (2012) "Mathematical analysis of a new corneal topography model", Ph.D. thesis, supervisor: W. Okrasiński.
  20. M.Teuerle (2012) "Uogólnienia procesu błądzenia losowego z czasem ciągłym (CTRW) i ich własności", Ph.D. thesis, supervisor: A. Jurlewicz.
  21. J.Janczura (2011) "Stochastic modeling of prices in the energy market", Ph.D. thesis, supervisor: R. Weron.
  22. E. Broszkiewicz-Suwaj (2007) "Modele dyfuzyjne dla wyceny instrumentów pochodnych na rynku energii elektrycznej", Ph.D. thesis, supervisor: A. Jurlewicz. Full text PS (643 KB)
  23. M.Magdziarz (2006) "The dependence structure of the solutions of the fractional equations with α-stable noise", Ph.D. thesis, supervisor: A. Weron. Full text PDF (542 KB)
  24. P. Miśta (2006) "Analytical and numerical approach to corporate operational risk modelling", Ph.D. thesis, supervisor: A. Weron. Full text PDF (712 KB)
  25. J. Iwanik (2006) "Financial engineering methods in insurance", Ph.D. thesis, supervisor: A. Weron. Full text PDF (719 KB)
  26. M. Borgosz-Koczwara (2006) "Modelling optimal strategies in the electricity market", Ph.D. thesis, supervisor: A. Weron.
  27. A. Wyłomańska (2006) "Analiza modeli ARMA ze zmiennymi współczynnikami", Ph.D. thesis, supervisor: A. Weron.
  28. P.Sztuba (2002) "Stochastic approach to derivative pricing in the HJM framework", Ph.D. thesis, supervisor: A. Weron.
  29. R.Weron (1998) "Modelling volatility of financial time series", Ph.D. thesis, supervisor: K. Szajowski. Full text PS ZIP (306 KB)
  30. J. Nowicka (1998) "Analysis of measures of dependence for time series with stable innovations", Ph.D. thesis, supervisor: A. Weron.
  31. K. Burnecki (1998) "Self-similar models in risk theory", Ph.D. thesis, supervisor: A. Weron. Full text PS ZIP (584 KB)
  32. A.Rejman (1997) "Stochastic modelling and simulations of the stock market using stable processes", Ph.D. thesis, supervisor: A. Weron.
  33. Z.Michna (1996) "Stable difussion aproximation in collective risk theory", Ph.D. thesis, supervisor: A. Weron.
  34. K.Podgórski (1991) "Ergodic properties of stable stationary processes", Ph.D. thesis, supervisor: A. Weron.
  35. P.Kokoszka (1990) "Sample path properties of infinitely–divisible processes", Ph.D. thesis, supervisor: A. Weron.

Research papers:

2023, 2022, 2021, 2020, 2019, 2018, 2017, 2016, 2015, 2014, 2013, 2012, 2011, 2010, 2009, 2008, 2007, 2006, 2005, 2004, 2003, 2002, 2001, 2000, 1999, 1998, 1997, 1996, 1995

2023

  1. M.Balcerek, A.Wyłomańska, K.Burnecki, R.Metzler, D.Krapf (2023) "Modelling intermittent anomalous diffusion with switching fractional Brownian motion", New Journal of Physics, 25 103031.
  2. M.Dhull, A.Kumar, A.Wyłomańska (2023) "The expectation-maximization algorithm for autoregressive models with normal inverse Gaussian innovations", Communications in Statistics - Simulation and Computation, 1-21, 2023.
  3. M.Gabor, R.Zdunek, R.Zimroz, J.Wodecki, A.Wyłomańska (2023) "Non-negative tensor factorization for vibration-based local damage detection", Mechanical Systems and Signal Processing 198, 110430, 2023.
  4. M.Gabor, R.Zdunek, R.Zimroz, A.Wyłomańska (2023) "Bearing damage detection with orthogonal and non-negative low-rank feature extraction", IEEE Transactions on Industrial Informatics, doi: 10.1109/TII.2023.3300455, 2023.
  5. J.Gajda, A.Grzesiek, A.Wyłomanska (2023) "Ornstein - Uhlenbeck process driven by alpha-stable process and its Gamma subordination", Methodology and Computing in Applied Probability 25,9, 2023.
  6. J.Gruszka, J.Szwabiński (2023) "Parameter Estimation of the Heston Volatility Model with Jumps in the Asset Prices", Econometric 2023, 11, 15.
  7. J.Janczura, A.Puć, Ł.Bielak, A.Wyłomańska (2023) "Product of bi-dimensional VAR(1) model components. An application to the cost of electricity load prediction errors", Statistics & Risk Modeling, 2023.
  8. A.Kwiatkowski, O.Sobolewski, A.Wyłomańska, M.Sawicki, P.Zieleń, A.Druszcz, M.Ptak (2023) "Development of Artificial Intelligence Algorithms to Analyse Weather Conditions for the Prediction of Cerebrovascular Accidents", In: H. Podbielska and M. Kapalla (eds) Predictive, Preventive, and Personalised Medicine: From Bench to Bedside, pp. 283-304, Springer, Cham, 2023.
  9. K.Pączek, D.Jelito, M.Pitera, A.Wyłomańska (2023) "Estimation of stability index for symmetric a-stable distribution using quantile conditional variance ratios", TEST, 2023.
  10. H.Shiri, P.Zimroz, J.Wodecki, A.Wyłomańska, R.Zimroz (2023) "Data-driven segmentation of long term condition monitoring data in the presence of heavy-tailed distributed noise with finite-variance", Mechanical Systems and Signal Processing Volume 205, 15 December 2023, 110833.
  11. J.Janczura, T.Barszcz, R.Zimroz, A.Wyłomańska (2023) "Machine condition change detection based on data segmentation using a three-regime, a-stable Hidden Markov Model, Measurement", Measurement Volume 220, October 2023, 113399.
  12. J.Janczura, M.Magdziarz, R.Metzler (2023) "Parameter estimation of the fractional Ornstein-Uhlenbeck process based on quadratic variation", Chaos 33, 103125.
  13. J.Janczura, A.Puć (2023) "ARX-GARCH probabilistic price forecasts for diversification of trade in electricity markets - variance stabilizing transformation and financial risk-minimizing portfolio allocation", Energies 2023, 16(2), 807.
  14. D.Kuzio, R.Zimroz, A.Wyłomańska (2023) "Identification of fault frequency variation in the envelope spectrum in the vibration-based local damage detection in possible changing load/speed conditions", Measurement 218(15), 113148, 2023.
  15. K.Maraj-Zygmąt, A.Grzesiek, G.Sikora, J.Gajda, A.Wyłomańska (2023) "Testing of two-dimensional Gaussian processes by sample cross-covariance function", Chaos 33, 073135, 2023.
  16. K.Maraj-Zygmąt, G.Sikora, M.Pitera, A.Wyłomańska (2023) "Goodness-of-fit test for stochastic processes using even empirical moments statistic", Chaos 33, 013128, 2023.
  17. K.Maraj-Zygmąt, W.Żuławiński, T.Barszcz, R.Zimroz, A.Wyłomańska (2023) "Threshold lines identification for non-Gaussian distributed diagnostic features", Measurement, Volume 221, 15 November 2023, 113495.
  18. M.Muszkieta, J.Janczura (2023) "A compressed sensing approach to interpolation of fractional Brownian trajectories for a single particle tracking", Applied Mathematics and Computation 446, 127900.
  19. A.M.Sathe, N.S.Upadhye, A.Wyłomańska (2023) "Forecasting of symmetric a-stable autoregressive models by time series approach supported by artificial neural networks", Journal of Computational and Applied Mathematics 425, 115051.
  20. H.Seckler, J.Szwabiński, R.Metzler (2023) "Machine-learning Solutions for the Analysis of Single-Particle Diffusion Trajectories", J. Phys. Chem. Lett. 2023, 14 35, 7910-7923.
  21. H.Shiri, P.Zimroz, J.Wodecki, A.Wyłomańska, R.Zimroz, K.Szabat (2023) "Using long-term condition monitoring data with non-Gaussian noise for online diagnostics", Mechanical Systems and Signal Processing 200(1), 110472, 2023.
  22. K.Skowronek, T.Barszcz, J.Antoni, R.Zimroz, A.Wyłomańska (2023) "Assessment of background noise properties in time and time–frequency domains in the context of vibration-based local damage detection in real environment", Mechanical Systems and Signal Processing 199(15), 110465, 2023.
  23. D.Szarek, I.Jabłoński, R.Zimroz, A.Wyłomańska (2023) "Non-Gaussian feature distribution forecasting based on ConvLSTM neural network and its application to robust machine condition prognosis", Expert Systems with Applications 230(15), 120588, 2023.
  24. W.Wang, M.Balcerek, K.Burnecki, A.Chechkin, S.Janušonis, J.Ślęzak, T.Vojta, A.Wyłomańska, R.Metzler (2023) "Memory-multi-fractional Brownian motion with continuous correlations", Phys. Rev. Research 5, L032025.
  25. H.Woszczek, A.Wyłomańska (2023) "Autoregressive model with double Pareto distributed noise", Mathematica Applicanda 51(1), 121-141, 2023.
  26. W.Żuławiński, K.Maraj-Zygmąt, H.Shiri, R.Zimroz, A.Wyłomańska (2023) "Framework for stochastic modelling of long-term non-homogenous data with non-Gaussian characteristics for machine condition prognosis", Mechanical Systems and Signal Processing 184, 109677, 2023.
  27. W.Żuławiński, A.Grzesiek, R.Zimroz, A.Wyłomańska (2023) "Identification and validation of periodic autoregressive model with additive noise: finite-variance case", Journal of Computational and Applied Mathematics 427, 115131.

2022

  1. J.Adamska, Ł.Bielak, J.Janczura, A.Wyłomańska (2022) " From Multi- to Univariate: A Product Random Variable with an Application to Electricity Market Transactions: Pareto and Student’s t-Distribution Case", Mathematics 2022, 10(18), 3371.
  2. M.Balcerek, K.Burnecki, S.Thapa, A.Wyłomańska, A.Chechkin (2022) "Fractional Brownian motion with random Hurst exponent: Accelerating diffusion and persistence transitions", Chaos 32, 093114 (2022).
  3. K.Burnecki, M.Teuerle, A.Wilkowska (2022) "Diffusion Approximations of the Ruin Probability for the Insurer–Reinsurer Model Driven by a Renewal Process", Risks 2022, 10(6), 129.
  4. P.Giri, A.Grzesiek, W.Żuławiński, S.Sundar, A.Wyłomańska (2022) "The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1", Journal of the Korean Statistical Society.
  5. A.Grzesiek, M.Mrozinska, P.Giri, S.Sundar, A.Wyłomańska (2022) "The covariation-based Yule–Walker method for multidimensional autoregressive time series with α-stable distributed noise", Int J Adv Eng Sci Appl Math 2022, https://doi.org/10.1007/s12572-022-00315-2.
  6. J.Hebda-Sobkowicz, R.Zimroz, A.Wyłomańska, J.Antoni (2022) "Infogram performance analysis and its enhancement for bearings diagnostics in presence of non-Gaussian noise", Mechanical Systems and Signal Processing 170, 108764, 2022.
  7. J.Janczura, E.Wójcik (2022) "Dynamic short-term risk management strategies for the choice of electricity market based on probabilistic forecasts of profit and risk measures. The German and the Polish market case study", Energy Economics 110, 106015.
  8. P.Kowalek, H.Loch-Olszewska, Ł.Łaszczuk, J.Opała, J.Szwabiński (2022) "Boosting the performance of anomalous diffusion classifiers with the proper choice of features", Journal of Physics A 55, 244005 (2022).
  9. B. Łydżba-Kopczyńska, J. Szwabiński (2022) "Attribution Markers and Data Mining in Art Authentication", Molecules 27 (2022) 70.
  10. F.Moosavi, H.Shiri, J.Wodecki, A.Wylomanska, R.Zimroz (2022) "Application of machine learning tools for long-term diagnostic feature data segmentation", Appl. Sci. 2022, 12(13), 6766.
  11. F.Sabzikar, J.Kabala, K.Burnecki (2022) "Tempered fractionally integrated process with stable noise as a transient anomalous diffusion model", Journal of Physics A: Mathematical and Theoretical, Volume 55, Number 17.
  12. D.Szarek, I.Jabłoński, D.Krapf, A.Wyłomańska (2022) "Multifractional Brownian motion characterization based on Hurst exponent estimation and statistical learning", Chaos 32, 083148 (2022).
  13. D.Szarek, K.Maraj-Zygmąt, G.Sikora, D.Krapf, A.Wyłomańska (2022) "Statistical test for anomalous diffusion based on empirical anomaly measure for Gaussian processes", Computational Statistics & Data Analysis 168, 107401, 2022 .
  14. T.Weron, J.Szwabiński (2022) "Opinion Evolution in Divided Community", Entropy 2022, 24(2), 185.
  15. A.Wyłomańska (2022) "Statistical tools for anomaly detection as a part of predictive maintenance in the mining industry", Eur. Math. Soc. Mag. 124, 4–15.
  16. W.Żuławiński, P.Kruczek, A.Wyłomańska (2022) "Alternative dependency measures-based approach for estimation of the alpha-stable periodic autoregressive model", Communications in Statistics - Simulation and Computation, 1-28, 2022, https://doi.org/10.1080/03610918.2022.2037640.
  17. J.Witulska, A.Wyłomańska (2022) "Identification of the structure break point for independent data with changing variance", Mathematica Applicanda 50(1), 65-106, 2022.

2021

  1. M.Balcerek, K.Burnecki, G.Sikora, A.Wyłomańska (2021) "Discriminating Gaussian processes via quadratic form statistics", Chaos 31, 063101 (2021).
  2. Ł.Bielak, A.Grzesiek, J.Janczura, A.Wyłomańska (2021) "Market risk factors analysis for an international mining company. Multi-dimensional, heavy-tailed-based modelling", Resources Policy 74, 102308, 2021.
  3. K.Burnecki, M.Teuerle, A.Wilkowska (2021) "Ruin Probability for the Insurer–Reinsurer Model for Exponential Claims: A Probabilistic Approach", Risks 9(5), 86.
  4. M.Gajowczyk, J.Szwabiński (2021) "Detection of Anomalous Diffusion with Deep Residual Networks", Entropy 23(6), 649.
  5. J.Gruszka, J.Szwabiński (2021) "Advanced strategies of portfolio management in the Heston market model", Physica A 574,125978.
  6. A.Grzesiek, A.Michalak, A.Wyłomańska (2021) "How to describe the linear dependence for heavy-tailed distributed data", Chaari F. et al. (eds) Nonstationary Systems: Theory and Applications. WNSTA 2021. Applied Condition Monitoring, vol 18, 69-92, Springer, Cham.
  7. A.Grzesiek, K.Gąsior, A.Wyłomańska, R.Zimroz (2021) "Divergence-Based Segmentation Algorithm for Heavy-Tailed Acoustic Signals with Time-Varying Characteristics", Sensors 2021, 21(24), 8487.
  8. A.Grzesiek, R.Połoczański, A.Kumar, A.Wyłomańska (2021) "Moment-based estimation technique for parameters of general inverse subordinator", Physica A 575, 126042.
  9. A.Grzesiek, A.Wyłomańska (2021) "Asymptotics of alternative dependence measures for two-dimensional alpha−stable AR(1) model", Chaari F. et al. (eds) Nonstationary Systems: Theory and Applications. WNSTA 2021. Applied Condition Monitoring, vol 18., 41-68, Springer, Cham.
  10. A.Grzesiek, R.Zimroz, P.Śliwiński, N.Gomolla, A.Wyłomańska (2021) "A Method for Structure Breaking Point Detection in Engine Oil Pressure Data", Energies 2021, 14(17), 5496.
  11. J.Hebda-Sobkowicz, J.Nowicki, R.Zimroz, A.Wyłomańska (2021) "Alternative Measures of Dependence for Cyclic Behaviour Identification in the Signal with Impulsive Noise—Application to the Local Damage Detection", Electronics 2021, 10(15), 1863.
  12. J.Janczura, M.Balcerek, K.Burnecki, A.Sabri, M.Weiss, D.Krapf (2021) "Identifying heterogeneous diffusion states in the cytoplasm by a hidden Markov model", New J. Phys. 23 053018.
  13. J.Janczura, K.Burnecki, M.Muszkieta, A.Stanislavsky, A.Weron (2021) "Classification of random trajectories based on the fractional Lévy stable motion", Chaos, Solitons & Fractals Available online 1 December 2021, 111606.
  14. J.S.Kabala, K.Burnecki, F.Sabzikar (2021) "Tempered linear and non-linear time series models and their application to heavy-tailed solar flare data", Chaos 31, 113124 (2021).
  15. P.Kruczek, R.Zimroz, J.Antoni, A.Wyłomańska (2021) "Generalized Spectral Coherence for cyclostationary signals with alpha−stable distribution", Mechanical Systems and Signal Processing 159, 107737.
  16. G.Krzyżanowski, M.Magdziarz (2021) "A computational weighted finite difference method for American and barrier options in subdiffusive Black–Scholes model", Communications in Nonlinear Science and Numerical Simulation 96: 105676.
  17. K.Maraj, D.Szarek, G.Sikora, A.Wyłomańska (2021) "Empirical anomaly measure for finite-variance processes", J. Phys. A: Math. Theor. 54, 024001.
  18. K.Maraj, D.Szarek, G.Sikora, A.Wyłomańska (2021) "Time averaged mean squared displacements ratio test for Gaussian processes with unknown diffusion coefficient", Chaos 31, 073120, 2021.
  19. K.Maraj, A.Wyłomańska (2021) "Time-averaged statistics-based methods for anomalous diffusive exponent estimation", Chaari F. et al. (eds) Nonstationary Systems: Theory and Applications. WNSTA 2021. Applied Condition Monitoring, vol 18., 1-18, Springer, Cham.
  20. M.Markiewicz, A.Wyłomańska (2021) "Time series forecasting: problem of heavy-tailed distributed noise", International Journal of Advances in Engineering Sciences and Applied Mathematics volume 13, pages 248–256 (2021).
  21. A.Michalak, J.Wodecki, M.Drozda, A.Wyłomańska, R.Zimroz (2021) "Model of the Vibration Signal of the Vibrating Sieving Screen Suspension for Condition Monitoring Purpose", Sensors 21(1), 213.
  22. G. Muñoz-Gil, G. Volpe, M. A. Garcia-March, E. Aghion, A. Argun, C. Beom Hong, T. Bland, S. Bo, J. Alberto Conejero, N. Firbas, Ò. Garibo i Orts, A. Gentili, Z. Huang, J.-H. Jeon, H. Kabbech, Y. Kim, P. Kowalek, D. Krapf, H. Loch-Olszewska, M. A. Lomholt, J.-B. Masson, P. G. Meyer, S. Park, B. Requena, I. Smal, T. Song, J. Szwabiński, S. Thapa, H. Verdier, G. Volpe, A. Widera, M. Lewenstein, R. Metzler, C. Manzo (2021) "Objective comparison of methods to decode anomalous diffusion", Nature Communications 12, 6253.
  23. M.Muszkieta, J.Janczura, A.Weron (2021) "Simulation and tracking of fractional particles motion. From microscopy video to statistical analysis. A Brownian bridge approach", Applied Mathematics and Computation 396, 125902.
  24. J.Nowicki, J.Hebda-Sobkowicz, R.Zimroz, A.Wylomanska (2021) " The application of dependency measures for the selection of the informative frequency band and detection of cyclic impulsive behavior in a vibration signal with heavy-tailed noise", Applied Acoustics 178, 107974.
  25. M.Pitera, A.Chechkin, A.Wyłomańska"Goodness-of-fit test for alpha-stable distribution based on the quantile conditional variance statistics", Statistical Methods & Applications 2021, https://doi.org/10.1007/s10260-021-00571-9 .
  26. A.Stanislavsky, A.Weron (2021) "Confined random motion with Laplace and Linnik statistics", Journal of Physics A: Mathematical and Theoretical 54, 055009.
  27. A.Stanislavsky, A.Weron (2021) "Duality of fractional systems", Communications in Nonlinear Science and Numerical Simulation 101, 105861.
  28. A.Stanislavsky, A.Weron (2021) "Optimal non-Gaussian search with stochastic resetting", Physical Review E 104, 014125.
  29. D.Szarek, Ł.Bielak, A.Wyłomańska (2021) "Non-Gaussian regime-switching model in application to the commodity price description", Chaari F.et al. (eds) Nonstationary Systems: Theory and Applications. WNSTA 2021. Applied Condition Monitoring, vol 18., 108-126, Springer, Cham.
  30. S.Thapa, A.Wyłomańska, G.Sikora, C.E.Wagner, D.Krapf, H.Kantz, A.V.Chechkin, R.Metzler (2021) "Leveraging large-deviation statistics to decipher the stochastic properties of measured trajectories", New J. Phys. 23, 013008.
  31. J.Wodecki, A.Michalak, A.Wyłomańska, R.Zimroz (2021) "Influence of non-Gaussian noise on the effectiveness of cyclostationary analysis-simulations and real data case study analysis", Measurement 171, 108814.
  32. W.Żuławiński, A.Wyłomańska (2021) "New estimation method for periodic autoregressive time series of order 1 with additive noise", International Journal of Advances in Engineering Sciences and Applied Mathematics volume 13, pages 163–176 (2021).

2020

  1. M.Balcerek, K.Burnecki (2020) "Testing of multifractional Brownian motion", Entropy 2020, 22(12), 1403; https://doi.org/10.3390/e22121403.
  2. M.Balcerek, K.Burnecki (2020) "Testing of fractional Brownian motion in a noisy environment", Chaos, Solitons & Fractals Volume 140, November 2020, 110097.
  3. K.Gąsior, H.Urbańska, A.Grzesiek, A.Wylomanska, R.Zimroz (2020) "Identification, decomposition and segmentation of impulsive vibration signals with deterministic components", Sensors 20(19), 5648.
  4. J.Gruszka, J.Szwabiński (2020) "Best Portfolio Management Strategies For Synthetic and Real Assets", Physica A 539, 122938.
  5. A.Grzesiek, P.Giri, S.Sundar, A.Wyłomańska (2020) "Measures of cross-dependence for bidimensional periodic AR(1) model with alpha−stable distribution", Journal of Time Series Analysis 41, 785-807.
  6. A.Grzesiek, G.Sikora, M.Teuerle, A.Wyłomańska (2020) "Spatial-temporal dependence measures for α-stable bivariate AR(1) models", Journal of Time Series Analysis 41, 454–475 .
  7. A.Grzesiek, M.Teuerle, A.Wyłomańska (2020) "Cross-codifference for bidimensional VAR(1) time series with infinite variance", Communications in Statistics - Simulation and Computation, on-line first, doi:10.1080/03610918.2019.1670840.
  8. A.Grzesiek, A.Wyłomańska (2020) "Asymptotic behavior of cross-dependence measures for bidimensional AR(1) model with alpha−stable noise", Banach Center Publications 122, 133-157.
  9. A.Grzesiek, A.Wyłomańska (2020) "Subordinated Processes with Infinite Variance", In: Chaari F., Leskow J., Zimroz R., Wyłomańska A., Dudek A. (eds) Cyclostationarity: Theory and Methods – IV. CSTA 2017. Applied Condition Monitoring, vol 16, 111-135, Springer, Cham.
  10. A.Grzesiek, R.Zimroz, P.Śliwiński, N.Gomolla, A.Wyłomańska (2020) " A long term belt conveyor temperature data analysis - statistical tests for anomaly detection", Measurement 165, 108124.
  11. J.Hebda-Sobkowicz, R.Zimroz, M. Pitera, A.Wyłomańska (2020) "Informative frequency band selection in the presence of non-Gaussian noise - a novel approach based on the conditional variance statistic", Mechnical Systems and Signal processing 145, 106971.
  12. J.Hebda-Sobkowicz, R.Zimroz, A.Wyłomańska (2020) "Selection of the informative frequency band ina bearing fault diagnosis in the presence of the non-Gaussian noise - comparison of recently developed methods", Applied Science 10, 2657.
  13. K.Hubicka, J.Janczura (2020) "Time-dependent classification of protein diffusion types: A statistical detection of mean-squared-displacement exponent transitions", Physical Review E 101, 022107.
  14. J.Janczura, P.Kowalek, H.Loch-Olszewska, J.Szwabiński, A.Weron (2020) "Classification of particle trajectories in living cells: Machine learning versus statistical testing hypothesis for fractional anomalous diffusion", Physical Review E 102, 032402.
  15. J.Janczura, A.Michalak (2020) "Optimization of an electric energy sales strategy based on probabilistic forecasts", Energies 13(5), 1045, doi: 10.3390/en13051045.
  16. P.Kruczek, A.Wyłomańska, R.Zimroz (2020) "How to detect the cyclostationarity in heavy-tailed distributed signals", Signal Processing 172, 107514.
  17. G.Krzyżanowski, M.Magdziarz, Ł.Płociniczak (2020) "A weighted finite difference method for subdiffusive Black–Scholes model", Computers and Mathematics with Applications 80(5), 653-670.
  18. H.Loch-Olszewska, J.Szwabiński (2020) "Impact of Feature Choice on Machine Learning Classification of Fractional Anomalous Diffusion", Entropy 2020, 22(12), 1436; https://doi.org/10.3390/e22121436.
  19. K.Maraj, D.Szarek, G.Sikora, M.Balcerek, A.Wyłomanska, I.Jabłoński (2020) "Measurement instrumentation and selected signal processing techniques for anomalous diffusion analysis", Measurement: Sensors 6-7, 100017.
  20. A.Michalak, J.Wodecki, A.Wyłomańska, R.Zimroz (2020) "Influence of Signal to Noise Ratio on the Effectiveness of Cointegration Analysis for Vibration Signal", In: Chaari F., Leskow J., Zimroz R., Wyłomańska A., Dudek A. (eds) Cyclostationarity: Theory and Methods – IV. CSTA 2017. Applied Condition Monitoring, vol 16, 136-146, Springer, Cham.
  21. J.Nowicki, J.Hebda-Sobkowicz, R.Zimroz, A.Wylomanska (2020) "Local Defect Detection in Bearings in the Presence of Heavy-Tailed Noise and Spectral Overlapping of Informative and Non-Informative Impulses", Sensors 20(22), 6444.
  22. P.Poczynek, P.Kruczek, A.Wyłomańska (2020) "Ornstein-Uhlenbeck Process Delayed by Gamma Subordinator", In: Chaari F., Leskow J., Zimroz R., Wyłomańska A., Dudek A. (eds) Cyclostationarity: Theory and Methods – IV. CSTA 2017. Applied Condition Monitoring, vol 16, 147-165, Springer, Cham.
  23. T.Serafin, A.Michalak, Ł.Bielak, A.Wyłomańska (2020) "Averaged calibration length prediction for currency exchange rates by a time-dependent Vasicek model", Theor. Econ. Lett. 10(3), 579-599.
  24. G.Sikora, M.Hoell, J.Gajda, H.Kantz, A.Chechkin, A.Wyłomańska (2020) "Probabilistic properties of detrended fluctuation analysis for Gaussian processes", Phys. Rev. E 101, 032114.
  25. A.Stanislavsky, W.Nitka, M.Małek, K.Burnecki, J.Janczura (2020) "Prediction performance of Hidden Markov modelling for solar flares", Journal of Atmospheric and Solar-Terrestrial Physics Volume 208, 15 October 2020, 105407.
  26. A.Stanislavsky, A.Weron (2020) "Accelerating and retarding anomalous diffusion: A Bernstein function approach", Physical Review E 101, 052119.
  27. A.Stanislavsky, A.Weron (2020) "Control of the transient subdiffusion exponent at short and long times", Physical Review Research 1, 023006.
  28. A.Stanislavsky, A.Weron (2020) "Look at tempered subdiffusion in a conjugate map: Desire for the confinement", Entropy 2020, 22, 1317; doi:10.3390/e22111317..
  29. P.Stępniak, A.Wyłomańska (2020) "The maximum likelihood method for Student's t-distributed autoregressive model with infinite variance", Mathematica Applicanda 48(2) 133–156.
  30. D.Szarek, Ł.Bielak, A.Wyłomańska (2020) "Long-term prediction of the metals’ prices using non-Gaussian time-inhomogeneous stochastic process", Physica A 555, 124659.
  31. D.Szarek, G.Sikora, M.Balcerek, I.Jabłoński, A.Wyłomańska (2020) "Fractional dynamics identification via intelligent unpacking of the sample autocovariance function by neural networks", Entropy 22(11), 1322.
  32. J.Wodecki, A.Michalak, P.Stefaniak, A.Wyłomańska, R.Zimroz (2020) "Combination of Kolmogorov-Smirnov Statistic and Time-Frequency Representation for P-Wave Arrival Detection in Seismic Signal", In: Chaari F., Leskow J., Zimroz R., Wyłomańska A., Dudek A. (eds) Cyclostationarity: Theory and Methods – IV. CSTA 2017. Applied Condition Monitoring, vol 16, 166-174, Springer, Cham.
  33. J.Wodecki, A.Michalak, R.Zimroz, A.Wyłomańska (2020) "Separation of multiple local-damage-related components from vibration data using Nonnegative Matrix Factorization and multichannel data fusion", Mechanical Systems and Signal Processing 145, 106954.
  34. M.Worsa-Kozak, R.Zimroz, A.Michalak, C.Wolkersdorfer, A.Wyłomańska, M.Kowalczyk (2020) "Groundwater Level Fluctuation Analysis in a Semi-Urban Area Using Statistical Methods and Data Mining Techniques—A Case Study in Wrocław, Poland", Applied Science 10(10), 3553.
  35. A.Wyłomańska, D.R.Iskander, K.Burnecki (2020) "Omnibus test for normality based on the Edgeworth expansion", PLoS ONE 15(6): e0233901.
  36. M.Zdeb, M.Teuerle (2020) "Parisian ruin probability - De Vylder type approximation", Mathematica Applicanda 48(2), 157-171.

2019

  1. P.Azcue, N.Muler, Z.Palmowski (2019) "Optimal dividend payments for a two-dimensional insurance risk process", European Actuarial Journal 9(1), 241-272.
  2. M.Balcerek, H.Loch-Olszewska, J.A.Torreno-Pina, M.F.Garcia-Parajo, A.Weron, C.Manzo, K.Burnecki (2019) "Inhomogeneous membrane receptor diffusion explained by a fractional heteroscedastic time series model", Physical Chemistry Chemical Physics 21, 3114 - 3121.
  3. A.Bhattacharya, K.Maulik, Z.Palmowski, P.Roy (2019) "Extremes of Multi-type Branching Random Walks: Heaviest Tail Wins", Advances in Applied Probability 51(2), 514-540.
  4. K.Borovkov, Z.Palmowski (2019) "Exact asymptotics for hitting a remote orthant by a multivariate Lévy process: the Cramér case", 2017 MATRIX Annals, Editors: David R. Wood, Jan de Gier, Cheryl E. Praeger, Terence Tao. MATRIX Book Series, Volume 2, Springer, 303-309.
  5. K.Burnecki, M.Giuricich, Z.Palmowski (2019) "Valuation of contingent convertible catastrophe bonds — The case for equity conversion", Insurance: Mathematics and Economics Vol. 88, September 2019, 238-254.
  6. K.Burnecki, G.Sikora, A.Weron, M.M.Tamkun, D.Krapf (2019) "Identifying diffusive motions in single-particle trajectories on the plasma membrane via fractional time-series models", Physical Review E 99, 012101.
  7. K.Burnecki, M.Teuerle, A.Wilkowska (2019) "De Vylder type approximation of the ruin probability for the insurer-reinsurer model", Mathematica Applicanda 47(1), 5–24.
  8. G.Chodak, A.Kowalska-Pyzalska, K.Maciejowska, J.Szwabiński (2019) "Impact of digital piracy on pricing strategies on the e-book market: insights from an agent-based model", Acta Physica Polonica B Proceedings Supplement 12, 49.
  9. J.Gajda, A.Wylomanska, A.Kumar (2019) "Stable Levy Process Delayed by Tempered Stable Subordinator", Statistics and Probability Letters 145, 284-292.
  10. M.N.Giuricich, K.Burnecki (2019) "Modelling of left-truncated heavy-tailed data with application to catastrophe bond pricing ", Physica A: Statistical Mechanics and its Applications 525, 498-513.
  11. A.Grzesiek, A.Wyłomańska (2019) "Fractional lower order covariance-based estimator for bidimensional AR(1) model with stable distribution", International Journal of Advances in Engineering Sciences and Applied Mathematics 11(3), 217-229.
  12. J.Hebda-Sobkowicz, S.Gola, R.Zimroz, A.Wyłomańska (2019) "Pattern of H2S concentration in a deep copper mine and its correlation with ventilation schedule", Measurement 140, 373-381.
  13. J.Hebda-Sobkowicz, R.Zimroz, S.Gola, A.Wyłomańska (2019) "Identification and Statistical Analysis of Impulse-Like Patterns of Carbon Monoxide Variation in Deep Underground Mines Associated with the Blasting Procedure, ", Sensors 19(12), 2757.
  14. P.Kowalek, H.Loch-Olszewska , J.Szwabiński (2019) "Classification of diffusion modes in single-particle tracking data: Feature-based versus deep-learning approach", Phys. Rev. E 100, 032410.
  15. P.Kruczek, J.Obuchowski, A.Wylomanska, R.Zimroz (2019) "Multiple local damage detection in gearbox by novel coherent bi-frequency map and its spatial, cycle oriented enhancement", Applied Acoustics 144, 23-30.
  16. P.Kruczek, W.Żuławiński, P.Pagacz, A.Wyłomańska (2019) "Fractional lower order covariance based-estimator forOrnstein-Uhlenbeck process with stable distribution", Mathematica Applicanda 47, 259-292.
  17. A.Kumar, A.Maheshwari, A.Wyłomańska (2019) "Linnik Levy Process and Its Generalization", Physica A 529, 121539.
  18. A.Kumar, A.Wyłomańska, R.Połoczański, J.Gajda (2019) "Fractional Brownian motion delayed by tempered and inverse tempered stable subordinators", Methodology and Computing in Applied Probability 21(1), 185-202.
  19. Y.Li, Z.Palmowski, C.Zhao, C.Zhang (2019) "Number of claims and ruin time for a refracted risk process", 2017 MATRIX Annals, Editors: David R. Wood, Jan de Gier, Cheryl E. Praeger, Terence Tao. MATRIX Book Series, Volume 2, Springer, 559-578.
  20. H.Loch-Olszewska (2019) "Properties and distribution of the dynamical functional for the fractional Gaussian noise", Applied Mathematics and Computation 356, 252-271.
  21. A.Maćkała, M.Magdziarz (2019) "Statistical analysis of superstatistical fractional Brownian motion and applications", Phys. Rev. E 99, 012143.
  22. M.Magdziarz, T.Zórawik (2019) "Lamperti transformation - Cure for ergodicity breaking", Communications in Nonlinear Science and Numerical Simulation 71, 202-211.
  23. A.Michalak, J.Wodecki, A.Wylomanska, R.Zimroz (2019) "Application of cointegration to vibration signal for local damage detection in gearboxes", Applied Acoustics 144, 4-10.
  24. W.Nitka, K.Burnecki (2019) "Impact of solar activity on precipitation in the United States", Physica A: Statistical Mechanics and its Applications Volume 527, 1 August 2019, 121387.
  25. Z.Palmowski, Ł.Stettner, A.Sulima (2019) "Optimal portfolio selection in an Itô-Markov additive market", Risks 7(1), 34.
  26. Z.Palmowski, J.Tumilewicz (2019) "Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functions", Applied Mathematics & Optimization, on-line first, doi:10.1007/s00245-018-9492-y.
  27. G.Sikora, Ł.Bielak, A.Michalak, P.Miśta, A.Wyłomańska (2019) "Stochastic modelling of currency exchange rates with novel validation techniques", Physica A 523, 1202-1215.
  28. A.A.Stanislavsky, K.Burnecki , J.Janczura, K.Niczyj , A.Weron (2019) "Solar X-ray variability in terms of a fractional heteroskedastic time series model", Monthly Notices of the Royal Astronomical Society 485(3), 3970–3980.
  29. M.Szmigiel, A.Grzesiek, A.Wyłomańska, H.Kasprzak (2019) "Stable distribution in application to fixational eye movement description", Optica Applicata 49 (2), 365-377.
  30. J.Ślęzak, K.Burnecki, R.Metzler (2019) "Random coefficient autoregressive processes describe Brownian yet non-Gaussian diffusion in heterogeneous systems", New J. Phys. 21, 073056.
  31. J.Ślęzak, R.Metzler, M.Magdziarz (2019) "Codifference can detect ergodicity breaking and non-Gaussianity", New J. Phys. 21, 053008.
  32. A.Weron, J.Janczura, E.Boryczka, T.Sungkaworn, D.Calebiro (2019) "Statistical testing approach for fractional anomalous diffusion classification", Physical Review E 99, 042149.
  33. J.Wodecki, J.Hebda-Sobkowicz, A.Mirek, R.Zimroz, A.Wyłomańska (2019) "Combination of principal component analysis and time-frequency representation for P-wave arrival detection", Shock and Vibration Volume 2019, Article ID 5961073.
  34. J.Wodecki, P.Kruczek, A.Bartkowiak, R.Zimroz, A.Wyłomańska (2019) "Novel method of informative frequency band selection for vibration signal using Nonnegative Matrix Factorization of spectrogram matrix", Mechanical Systems and Signal Processing 130, 585-596.
  35. J.Wodecki, A.Michalak, R.Zimroz, T.Barszcz, A.Wyłomańska (2019) "Impulsive source separation using combination of Nonnegative Matrix Factorization of bi-frequency map, spatial denoising and Monte Carlo simulation", Mechanical Systems and Signal Processing 127, 89-101.
  36. G.Żak, A.Wylomanska, R.Zimroz (2019) "Periodically impulsive behaviour detection in noisy observation based on generalised fractional order dependency map", Applied Acoustics 144, 31-39.

2018

  1. K.Bogdan, Z.Palmowski, L.Wang (2018) "Yaglom limit for stable processes in cones", Electronic Journal of Probability 23(11), 1–19.
  2. J. Gajda, G. Bartnicki, K. Burnecki (2018) "Modeling of water usage by means of ARFIMA–GARCH processes", Physica A 512, 644-657.
  3. J. Gajda, A.Wylomanska, A.Kumar (2018) "Fractional Lévy stable motion time-changed by gamma subordinator", Communications in Statistics - Theory and Methods.
  4. J. Gajda, A.Wylomanska, H.Kantz, A.Chechkin, G.Sikora (2018) "Large deviations of time-averaged statistics for Gaussian processes", Statistics & Probability Letters 143, 47-55.
  5. A.Grzesiek, J.Gajda, A.Wylomanska, S.Sundar (2018) "Discriminating between scaled and fractional Brownian motion via p-variation statistics", International Journal of Advances in Engineering Sciences and Applied Mathematics 10(1), 9-14.
  6. P.Kruczek, M.Polak, A.Wylomanska, W.Kawalec, R.Zimroz (2018) "Application of compound Poisson process for modelling of ore flow in a belt conveyor system with cyclic loading", Journal International Journal of Mining, Reclamation and Environment 32(6), 376-391.
  7. D.Kucharczyk, A.Wyłomańska, G.Sikora (2018) "Variance change point detection for fractional Brownian motion based on the likelihood ratio test", Physica A 490, 439-450.
  8. G.Krzyżanowski (2018) "Selected applications of differential equations in Vanilla Options valuation", Mathematica Applicanda 46(2), 273--291.
  9. H.Loch-Olszewska , J.Szwabiński (2018) "Detection of ε-ergodicity breaking in experimental data - a study of the dynamical functional sensibility", Journal of Chemical Physics 148, 204105 .
  10. M.Krawiec, Z.Palmowski, Ł.Płociniczak (2018) "Quickest drift change detection in Lévy-type force of mortality model", Applied Mathematics and Computation 338, 432-450.
  11. Y.Lanoiselee, D.S.Grebenkov, G.Sikora, A.Grzesiek, A.Wyłomańska (2018) "Optimal parameters for anomalous diffusion exponent estimation from noisy data , ", Phys. Rev. E 98, 062139.
  12. B.Li, Z.Palmowski (2018) "Fluctuations of Omega-killed spectrally negative Lévy processes", Stochastic Processes and their Applications 128, 3273-3299.
  13. Z.Liang (2018) "A note on optimal expected utility of dividend payments with proportional reinsurance", Scandinavian Actuarial Journal 4, 275-293.
  14. R.Loeffen, Z.Palmowski, B.Surya (2018) "Discounted Penalty Function at Parisian Ruin for Lévy Insurance Risk Process", Insurance: Mathematics and Economics 83, 190-197.
  15. M.Magdziarz, W.Szczotka (2018) "Coupled continuous time-random walks in quenched random environment", Journal of Statistical Mechanics: Theory and Experiment 023207.
  16. M.Magdziarz, W.Szczotka (2018) "Diffusion limit of Lévy-Lorentz gas is Brownian motion", Communications in Nonlinear Science and Numerical Simulation 60, 100-106.
  17. M.Magdziarz, (2018) "Ergodic properties of Lévy flights coexisting with subdiffusion and related models", Journal of Mathematical Analysis and Applications 458(2), 1373-1389.
  18. E.Marciniak, Z.Palmowski (2018) "On the Optimal Dividend Problem in the Dual Models with Surplus-Dependent Premiums", Journal of Optimization Theory and Applications 179(2), 533-552.
  19. Z.Palmowski, L.Ramsden, A.D.Papaioannou (2018) "Parisian ruin for the dual risk process in discrete-time", European Actuarial Journal 8(1), 197-214.
  20. Z.Palmowski, , (2018) "A note on chaotic and predictable representations for Itô-Markov additive processes", Stochastic Analysis and Applications 36(4), 622-638.
  21. Z.Palmowski, (2018) "Pricing insurance drawdowns-type contracts with underlying Lévy assets", Insurance: Mathematics and Economics 79, 1-14.
  22. Z.Palmowski, (2018) "Zabezpieczenie przed spadkiem wartości aktywa w modelu typu Lévy’ego z fazowymi skokami i dowolną funkcją wynagrodzenia", The Collegium of Economic Analysis Annals 51, 255-270.
  23. E.Ropuszyńska-Surma, M.Węglarz, J.Szwabiński (2018) "Energy prosumers: profiling the energy microgeneration market in Lower Silesia, Poland.", Operations Research and Decisions 28, 75-94.
  24. G.Sikora (2018) "Statistical test for fractional Brownian motion based on detrending moving average algorithm", Chaos, Solitons & Fractals 116, 54-62.
  25. G.Sikora, A.Wylomanska, D.Krapf (2018) "Recurrence statistics for anomalous diffusion regime change detection", Computational Statistics & Data Analysis 128, 380-394.
  26. A.Szczurek, M.Maciejewska, A.Wyłomańska, G.Sikora, M.Teuerle (2018) "Normal and anomalous diffusion in fluctuations of dust concentration nearby emission source", Physica A 491, 619-631.
  27. J.Ślęzak, R.Metzler, M.Magdziarz (2018) "Superstatistical generalised Langevin equation: non-Gaussian viscoelastic anomalous diffusion", New J. Phys. 20(2), 023026.
  28. G.Żak, A.Wyłomańska, R.Zimroz (2018) "Local damage detection method based on distribution distances applied to time-frequency map of vibration signal", IEEE Transactions on Industry Applications 54(5), 4091- 4103.

2017

  1. S.Baran, Z.Palmowski (2017) "Optimizing expected utility of dividend payments for a Cramér-Lundberg risk proces", Applicationes Mathematicae 44, 247-265.
  2. E.Baurdoux, Z.Palmowski, M. Pistorius (2017) "On future drawdowns of Lévy processes", Stochastic Processes and their Applications 127, 2679-2698..
  3. K.Burnecki, M.N.Giuricich (2017) "Stable Weak Approximation at Work in Index-Linked Catastrophe Bond Pricing ", Risks 5(4), 64.
  4. K.Burnecki, G.Sikora (2017) "Identification and validation of stable ARFIMA processes with application to UMTS data", Chaos, Solitons & Fractals 102, 456–466. Full text PDF (1685 KB)
  5. I.Czarna, Z.Palmowski (2017) "Parisian quasi-stationary distributions for asymmetric Lévy processes", Statistics and Probability Letters 127, 75-84.
  6. I.Czarna, Y.Li, Z.Palmowski, C.Zhao (2017) "The joint distribution of the Parisian ruin time and the number of claims until Parisian ruin in the classical risk model", Journal of Computational and Applied Mathematics 313, 499-514.
  7. I.Czarna, Z.Palmowski, P.Świątek (2017) "Discrete time ruin probability with Parisian delay", Scandinavian Actuarial Journal 10, 854-869.
  8. S.Foss, D.Korshunov, Z.Palmowski, T.Rolski (2017) "Two-dimensional ruin probability for subexponential claim size", Probability and Mathematical Statistics 37(2), 319-335.
  9. A.Fuliński (2017) "Fractional Brownian motions: memory, diffusion velocity, and correlation functions", J. Phys. A: Math. Theor. 50, 054002. Full text PDF (1800 KB)
  10. M.Jabłońska-Sabuka, M.Teuerle, A.Wyłomańska (2017) "Bivariate sub-Gaussian model for stock index returns", Physica A 486, 628–637.
  11. S.Kapodistria, Z.Palmowski (2017) "Matrix geometric approach for random walks: stability condition and equilibrium distribution", Stochastic Models 33(4), 572-597.
  12. G.Karipova, M.Magdziarz (2017) "Pricing of basket options in subdiffusive fractional Black-Scholes model", Chaos, Solitons and Fractals 102, 245–253 .
  13. M.Krawiec, Z.Palmowski (2017) "Detekcja zmiany dryfu w modelowaniu natężenia śmiertelności", Silesian Statistical Review 15(21), 147-168.
  14. P.Kruczek, M.Polak, A.Wyłomańska, W.Kawelec, R.Zimroz (2017) "Application of compound Poisson process for modelling of ore flow in a belt conveyor system with cyclic loading,", Journal International Journal of Mining, Reclamation and Environment, DOI: 10.1080/17480930.2017.1388335, 2017.
  15. P.Kruczek, J.Obuchowski, A.Wyłomańska, R.Zimroz (2017) "Multiple local damage detection in gearbox by novel coherent bi-frequency map and its spatial, cycle oriented enhancement, ", Applied Acoustics, DOI: 10.1016/j.apacoust.2017.10.006, 2017.
  16. P.Kruczek, A.Wyłomańska, M.Teuerle, J.Gajda (2017) "The modified Yule-Walker method for alpha-stable time series models", Physica A 469, 588-603.
  17. T.Krueger, J.Szwabiński, T.Weron (2017) "Conformity, anticonformity and polarization of opinions: insights from a mathematical model of opinion dynamics", Entropy 19(7), 371.
  18. A.Kumar, R.Połoczański, A.Wyłomańska, S.Sundar (2017) "Fractional Brownian motion time-changed by gamma and inverse gamma process", Physica A 468, 648–667.
  19. A.Kumar, J.Gajda, A.Wyłomańska (2017) "Generalized fractional Laplace motion", Statistics and Probability Letters 124, 101-109.
  20. A.Kumar, A.Wyłomańska, J.Gajda (2017) "Stable Levy motion with inverse Gaussian subordinator", Physica A 482, 486–500.
  21. A.Kumar, N.S.Upadhye, A.Wyłomańska, J.Gajda (2017) "Tempered Mittag-Leffler Levy Process", Communications in Statistics - Theory and Methods, DOI: 10.1080/03610926.2017.1410719.
  22. M.Magdziarz, M.Teuerle (2017) "Fractional diffusion equation with distributed-order material derivative. Stochastic foundations", J. Phys. A: Math. Theor. 50, 184005.
  23. M.Magdziarz, T.Żórawik (2017) "Aging ballistic Lévy walks", Phys. Rev. E., 95, 022126.
  24. A.Michalak, J.Wodecki, A.Wyłomańska, R.Zimroz (2017) "Application of cointegration to vibration signal for local damage detection in gearboxes", Applied Acoustics, DOI: 10.1016/j.apacoust.2017.08.024, 2017.
  25. Z.Palmowski (2017) "A note on VaR for the winner's curse", Economics of the 21st Century 3(15), 124-134.
  26. Z.Palmowski, P.Świątek (2017) "A note on first passage probabilities of a Lévy process reflected at a general barrier", Probability and Mathematical Statistics 37(2), 455-469.
  27. Z.Palmowski, J.Tumilewicz (2017) "Insurance drawdowns-type contracts for a phase-type risk process perturbed by Brownian motion", Silesian Statistical Review 15(21), 201-226.
  28. R.Połoczański, A.Wyłomańska, J.Gajda, M.Maciejewska, A.Szczurek (2017) "Modified cumulative distribution function in application to waiting times analysis in CTRW scenario", J. Phys. A: Math. Theor. 50, 034002.
  29. G.Sikora, K.Burnecki, A.Wylomanska (2017) "Mean-squared-displacement statistical test for fractional Brownian motion", Physical Review E 95, 032110.
  30. G.Sikora, E.Kepten, A.Weron, M.Balcerek, K.Burnecki (2017) "An efficient algorithm for extracting the magnitude of the measurement error for fractional dynamics", Physical Chemistry Chemical Physics, 2017, 19, 26566-26581.
  31. G.Sikora, M.Teuerle, A.Wylomanska, D.S.Grebenkov (2017) "Statistical properties of the anomalous scaling exponent estimator based on time-averaged mean-square displacement", Physical Review E 96, 022132.
  32. G.Sikora, A.Wylomanska, J.Gajda, L.Sole, E.J.Akin, M.M.Tamkun, D.Krapf (2017) "Elucidating distinct ion channel populations on the surface of hippocampal neurons via single-particle tracking recurrence analysis", Physical Review E 96, 062404.
  33. J.Sokołowski, P.Kruczek, A.Wyłomańska, R.Zimroz (2017) "Multiple local damage detection method based on time-frequency representation and agglomerative hierarchical clustering of temporary spectral content", Applied Acoustics, DOI:10.1016/j.apacoust.2018.04.025, 2017.
  34. T.Sungkaworn, M-L.Jobin, K.Burnecki, A.Weron, M.J.Lohse, D.Calebiro (2017) "Single-molecule imaging reveals receptor–G protein interactions at cell surface hot spots", Nature 550, 543–547.
  35. J.Ślęzak (2017) "Asymptotic behaviour of time averages for non-ergodic Gaussian processes", Annals of Physics 383, 285–311. Full text PDF (736 KB)
  36. K.Weron, A.Stanislavsky (2017) "Stochastic tools hidden behind the empirical dielectric relaxation laws", Rep. Prog. Phys. 80, 036001. Full text PDF (3056 KB)
  37. A.Weron, K.Burnecki, E.J.Akin, L.Sole, M.Balcerek, M.M.Tamkun, D.Krapf (2017) "Ergodicity breaking on the neuronal surface emerges from random switching between diffusive states", Scientific Reports 7, 5404. Full text PDF (4976 KB)
  38. A.Wylomanska, G.Żak, P.Kruczek, R.Zimroz (2017) "Application of tempered stable distribution for selection of optimal frequency band in gearbox local damage detection", Applied Acoustics 128, 14-22.
  39. G.Żak, M.Teuerle, A.Wylomanska, R.Zimroz (2017) "Measures of dependence for α-stable distributed processes and its application to diagnostics of local damage in presence of impulsive noise", Shock & Vibration vol. 2017, Article ID 1963769, doi:10.1155/2017/1963769.

2016

  1. J.Gajda, A.Wyłomańska, R.Zimroz (2016) "Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system", Physica A 464(15), 123-137.
  2. B.H.Gilding, J.Goncerzewicz (2016) "The porous media equation in an infinite cylinder, between two infinite parallel plates, and like spatial domains", Interfaces and Free Boundaries, 18, 45-73.
  3. G.Griffiths, Ł.Płociniczak, W. Schiesser (2016) "Analysis of cornea curvature using radial basis functions - Part I: Methodology", Computers in Biology and Medicine 77, 274-284.
  4. G.Griffiths, Ł.Płociniczak, W. Schiesser (2016) "Analysis of cornea curvature using radial basis functions - Part II: Fitting to data-set", Computers in Biology and Medicine 77, 285-296.
  5. H.Loch, J.Janczura, A.Weron (2016) "Ergodicity testing using an analytical formula for a dynamical functional of alpha-stable autoregressive fractionally integrated moving average processes", Physical Review E 93, 043317. Full text PDF (935 KB)
  6. H.Loch-Olszewska, G.Sikora, J.Janczura, A.Weron (2016) "Identifying ergodicity breaking for fractional anomalous diffusion: Criteria for minimal trajectory length", Physical Review E 94, 052136. Full text PDF (329 KB)
  7. D.Kucharczyk, A.Wylomanska, J.Obuchowski, R.Zimroz, M.Madziarz (2016) "Stochastic modelling as a tool for seismic signals segmentation", Shock and Vibration, Article ID 8453426, doi:10.1155/2016/8453426. Full text PDF (3200 KB)
  8. M.Magdziarz, W.Szczotka (2016) "Quenched trap model for Levy flights", Communications in Nonlinear Science and Numerical Simulations 30, 5–14.
  9. M.Magdziarz, T.Zórawik (2016) "Comment on "Fokker-Planck equations for nonlinear dynamical systems driven by non-Gaussian Lévy processes", J. Math. Phys. 57, 034101.
  10. M.Magdziarz, T.Zórawik (2016) "Densities of scaling limits of coupled continuous time random walks", Fract. Calc. Appl. Anal. 19, 1488–1506.
  11. M.Magdziarz, T.Zórawik (2016) "Explicit densities of multidimensional ballistic Levy walks", Phys. Rev. E., 94, 022130.
  12. M.Magdziarz, T.Zórawik (2016) "Method of calculating densities for isotropic ballistic Lévy walks", Comm. Nonlinear Sci. Num. Sim. 48, 462–473.
  13. M.Magdziarz, T.Zórawik (2016) "Stochastic representation of fractional subdiffusion equation. The case of infinitely divisible waiting times, Levy noise and space-time-dependent coefficients", Proc. Amer. Math. Soc. 144, 1767-1778.
  14. J.Obuchowski, A.Wyłomańska, R.Zimroz (2016) "Blind equalization using combined skewness-kurtosis criterion for gearbox vibration enhancement", Measurement 88, 34-44. Full text PDF (6300 KB)
  15. J.Sokolowski, J.Obuchowski, A.Wylomanska, R.Zimroz, E.Koziarz (2016) "Algorithm indicating moment of P-wave arrival based on second-moment characteristic", Shock and Vibration , Article ID 4051701, http://dx.doi.org/10.1155/2016/4051701.
  16. F.Shokrollahi, A.Kilicman, M.Magdziarz (2016) "Pricing European options and currency options by time changed mixed fractional Brownian motion with transaction costs", Int. J. Financial Eng. 3, 1650003.
  17. Ł.Płociniczak (2016) "Diffusivity identification in a nonlinear time-fractional diffusion equation", Fractional Calculus and Applied Analysis 19(4), 883-866.
  18. Ł.Płociniczak, A.Popiołek-Masajada, J.Masajada, M.Szatkowski (2016) "Analytical model of the optical vortex microscope", Applied Optics 55(12), B20-B27.
  19. Ł.Płociniczak, A.Popiołek-Masajada, M.Szatkowski, D.Wojnowski (2016) "Transformation of the vortex beam in the optical vortex scanning microscope", Optics & Laser Technology 81, 127–136.
  20. M.Polak, J.Obuchowski, M.Madziarz, A.Wyłomańska, R.Zimroz (2016) "Time-varying group delay as a basis for clustering and segmentation of seismic signals", Journal of Vibroengineering 18(1), 267-275. Full text PDF (2404 KB)
  21. P.Siedlecki, J.Szwabiński, T.Weron (2016) "The interplay between conformity and anticonformity and its polarizing effect on society", JASSS 19 (4) 9.
  22. J.Sokolowski, J.Obuchowski, M.Madziarz, A.Wylomanska, R.Zimroz (2016) "Features based on Instantaneous Frequency for seismic signals clustering", Journal of Vibroengineering 18(3), 1654-1667.
  23. A.Stanislavsky, K.Weron (2016) "Atypical case of the dielectric relaxation responses and its fractional kinetic equation", Fract. Calc. Appl. Anal., Vol. 19, No 1, pp. 212–228. Full text PDF (838 KB)
  24. A.Szczurek, M.Maciejewska, A.Wylomanska, G.Sikora, M.Balcerek, M.Teuerle (2016) "Discrimination of particulate matter emission sources using stochastic methods", Physica A 463, 452–466.
  25. A.Szczurek, M.Maciejewska, A.Wylomanska, R.Zimroz, G.Zak, A.Dolega (2016) "Detection of occupancy profile based on carbon dioxide concentration pattern matching", Measurement 93, 265-271.
  26. A.Wyłomańska, J.Gajda (2016) "Stable continuous-time autoregressive process driven by stable subordinator", Physica A 444, 1012-1026.
  27. A.Wyłomańska, A.Kumar, R.Połoczański, P.Vellaisamy (2016) "Inverse Gaussian and its inverse process as the subordinators of fractional Brownian motion", Phys. Rev. E 94, 042128.
  28. A.Wyłomańska, R.Zimroz, J.Janczura, J.Obuchowski (2016) "Impulsive noise cancellation method for copper ore crusher vibration signals enhancement", IEEE Transactions on Industrial Electronics 63(9), 5612-5621.
  29. G.Żak, A.Wyłomańska, R.Zimroz (2016) "Data-driven vibration signal filtering procedure based on the alpha-stable distribution", Journal of Vibroengineering 18(2), 826-837.

2015

  1. M.Annunziato, A.Borzi, M.Magdziarz, A.Weron (2015) "A fractional Fokker–Planck control framework for subdiffusion processes", Optimal Control Applications and Methods, DOI: 10.1002/oca.2168. Full text PDF (256 KB)
  2. K.Burnecki, E.Kepten, Y.Garini, G.Sikora, A.Weron (2015) "Estimating the anomalous diffusion exponent for single particle tracking data with measurement errors - An alternative approach", Scientific Reports 5:11306, DOI: 10.1038/srep11306. Full text PDF (213 KB)
  3. K.Burnecki, A.Wyłomańska, A.Chechkin (2015) "Discriminating between Light- and Heavy-Tailed Distributions with Limit Theorem", PLoS ONE 10(12): e0145604. doi:10.1371/journal. pone.0145604. Full text PDF (490 KB)
  4. J.Gajda, A.Wyłomańska (2015) "Time-changed Ornstein-Uhlenbeck process", J. Phys. A: Math. Theor. 48 135004.
  5. J.Janczura, A.Weron (2015) "Ergodicity testing for anomalous diffusion: Small sample statistics", The Journal of Chemical Physics 142, 144103. Full text PDF (1305 KB)
  6. E.Kepten, A.Weron, I.Bronstein, K.Burnecki, Y.Garini (2015) "Uniform Contraction-Expansion Description of Relative Centromere and Telomere Motion", Biophysical Journal 109, 1454–1462. Full text PDF (1709 KB)
  7. E.Kepten, A.Weron, K.Burnecki, G.Sikora, Y.Garini (2015) "Guidelines for the Fitting of Anomalous Diffusion Mean Square Displacement Graphs from Single Particle Tracking Experiments", PLOS ONE (DOI:10.1371/journal.pone.0117722). Full text PDF (1205 KB)
  8. M.Magdziarz, M.Teuerle (2015) "Asymptotic properties and numerical simulation of multidimensional Lévy walks", Communications in Nonlinear Science and Numerical Simulations 20(2), 489–505.
  9. M.Magdziarz, R.L. Schilling (2015) "Asymptotic properties of Brownian motion delayed by inverse subordinators", Proc. Amer. Math. Soc., 143, 4485–4501.
  10. M.Magdziarz, H.P. Scheffler, P. Straka, P. Zebrowski (2015) "Limit theorems and governing equations for Levy walks", Stoch. Proc. Appl., 125, 4021–4038.
  11. J.Obuchowski, A.Wyłomańska, R.Zimroz (2015) " Identification of cyclic components in presence of non-Gaussian noise – application to crusher bearings damage detection", Journal of Vibroengineering 17, 1242-1252.
  12. J.Obuchowski, A.Wyłomańska, R.Zimroz (2015) "Two-stage data driven filtering for local damage detection in presence of time varying signal to noise ratio", in Vibration Engineering and Technology of Machinery, Mechanisms and Machine Science, Volume 23, 401-410. Full text PDF (9221 KB)
  13. Ł.Płociniczak (2015) "Analytical studies of a time-fractional porous medium equation. Derivation, approximation and applications", Communications in Nonlinear Science and Numerical Simulation 24 (1–3), 169-183.
  14. Ł.Płociniczak, W.Okrasiński (2015) "Nonlinear parameter identification in a corneal geometry model", Inverse Problems in Science and Engineering 23(3), 443-456.
  15. Ł.Płociniczak, A.Popiołek-Masajada, M.Szatkowski, J.Masajada (2015) "High order vortex beam in the optical vortex microscope", SPIE Optical Engineering+ Applications, International Society for Optics and Photonics (2015) p. 95810N-95810N-8.
  16. T.Przylibski, A.Wyłomańska, R.Zimroz, L.Fijalkowska-Lichwa (2015) "Application of spectral decomposition of 222RN activity concentration signal series measured in Niedzwiedzia Cave to identification of mechanism responsible for different time-period variations,", Applied Radiation and Isotopes 104, 74-86.
  17. A.Stanislavsky, K.Weron, A.Weron (2015) "Anomalous diffusion approach to non-exponential relaxation in complex physical systems", Communications in Nonlinear Science and Numerical Simulation.
  18. A.Szczurek, M.Maciejewska, R.Połoczański, M.Teuerle, A.Wyłomańska (2015) "Dynamics of carbon dioxide concentration in indoor air", Stochastic Environmental Research and Risk Assessment 29, 2193–2199.
  19. A.Szczurek, M.Maciejewska, M.Teuerle, A.Wyłomańska (2015) "Method to characterize collective impact of factors on indoor air", Physica A 420, 190–199.
  20. J.Ślęzak, A.Weron (2015) "From physical linear systems to discrete-time series. A guide for analysis of the sampled experimental data", Phys Rev E 91, 053302. Full text PDF (282 KB)
  21. A.Wyłomańska, A.Chechkin, I.Sokolov, J.Gajda (2015) "Codifference as a practical tool to measure interdependence", Physica A 421, 412-429.
  22. R.Zimroz, M.Madziarz, G.Żak, A.Wyłomańska, J.Obuchowski (2015) "Seismic signal segmentation procedure using time-frequency decomposition and statistical modelling", Journal of Vibroengineering 17(6), 3111-3121.
  23. G.Żak, A.Wyłomańska, R.Zimroz (2015) "Application of alpha-stable distribution approach for local damage detection in rotating machines", Journal of Vibroengineering 17(6), 2987-3002.

2014

  1. E.Beretta, M.Grasmair, M.Muszkieta, O.Scherzer (2014) "A variational algorithm for the detection of line segments", Inverse Problems and Imaging, 8(2), 389-408.
  2. K.Burnecki, A.Weron (2014) "Algorithms for testing of fractional dynamics: a practical guide to ARFIMA modelling", J. Stat. Mech. P10036. Full text PDF (577 KB)
  3. J.Gajda, M.Magdziarz (2014) "Large deviations for subordinated Brownian motion and applications", Statistics & Probability Letters 88, 149–156.
  4. J.Gajda, A.Wyłomańska (2014) "Fokker–Planck type equations associated with fractional Brownian motion controlled by infinitely divisible processes", Physica A 405, 104–113.
  5. M.Magdziarz, J.Gajda, T.Żórawik (2014) "Comment on Fractional Fokker–Planck Equation with Space and Time Dependent Drift and Diffusion", Journal of Statistical Physics 154, 1241-1250.
  6. J.Obuchowski, A.Wyłomańska, R.Zimroz (2014) "Recent developments in vibration based diagnostics of gear and bearings used in belt conveyors", Applied Mechanics and Materials 683, 171-176. Full text PDF ( KB)
  7. J.Obuchowski, A.Wyłomańska, R.Zimroz (2014) "Selection of informative frequency band in local damage detection in rotating machinery", Mechanical Systems and Signal Processing 48, 138--152, 2014. Full text PDF (2951 KB)
  8. J.Obuchowski, A.Wyłomańska, R.Zimroz (2014) "The Local Maxima Method for Enhancement of Time-Frequency Map", Advances in Condition Monitoring of Machinery in Non-Stationary Operations, Lecture Notes in Mechanical Engineering, G. Dalpiaz et al. (eds.), 325-334, 2014. Full text PDF (601 KB)
  9. J.Obuchowski, A.Wyłomańska, R.Zimroz (2014) " The local maxima method for enhancement of time-frequency map and its application to local damage detection in rotating machines", Mechanical Systems and Signal Processing 46, 389-405.
  10. Ł.Płociniczak (2014) "Approximation of the Erdelyi-Kober fractional operator with application to the time-fractional porous medium equation", Applied Mathematics and Computation 241, 125-128.
  11. Ł.Płociniczak (2014) "Eigenvalue asymptotics of a fractional boundary-value problem", SIAM Journal of Applied Mathematics 74(4), 1219–1237.
  12. Ł.Płociniczak, G.W.Griffiths, W.E.Schiesser (2014) "ODE/PDE Analysis of Corneal Curvature", Computers in Biology and Medicine 53, 30-41.
  13. Ł.Płociniczak, W.Okrasiński, J.J.Nieto, O.Dominguez (2014) "On a nonlinear boundary value problem modeling corneal shape", Journal of Mathematical Analysis and Applications 414 (1), 461-471.
  14. A.Stanislavsky, K.Weron, A.Weron (2014) "Anomalous diffusion with transient subordinators: A link to compound relaxation laws", Journal of Chemical Physics 140, 054113. Full text PDF (235 KB)
  15. J.Ślęzak, S.Drobczyński, K.Weron, J.Masajda (2014) "Moving average process underlying the holographic-optical-tweezers experiments", Applied Optics, Vol. 53, Issue 10, pp. B254-B258, doi: 10.1364/AO.53.00B254. Full text PDF (407 KB)
  16. J.Ślęzak, M.Magdziarz (2014) "Rotational invariance of stochastic processes with application to fractional dynamics", J. Stat. Mech. P10028.
  17. A.Wyłomańska, J.Obuchowski, R.Zimroz, H.Hurd (2014) "Periodic autoregressive modeling of vibration time series from planetary gearbox used in bucket wheel excavator", in "Cyclostationarity: Theory and Methods Lecture Notes in Mechanical Engineering", Fakher Chaari et al. (eds.), Springer, Berilin, 2014, 171-186.
  18. A.Wyłomańska, R.Zimroz (2014) "Signal segmentation for operational regimes detection of heavy duty mining mobile machines- a statistical approach", Diagnostyka 15(2), 33-42. Full text PDF (1135 KB)
  19. G.Żak, J.Obuchowski, A.Wyłomańska, R.Zimroz (2014) "Application of ARMA modelling and alpha-stable distribution for local damage detection in bearings", Diagnostyka 15(3), 3-11. Full text PDF (515 KB)
  20. G.Żak, J.Obuchowski, A.Wyłomańska, R.Zimroz (2014) "Novel 2D representation of vibration for local damage detection", Mining Science 21, 105-113.

2013

  1. K.Burnecki, G.Sikora (2013) "Estimation of FARIMA Parameters in the Case of Negative Memory and Stable Noise", IEEE Transactions On Signal Processing, Vol. 61, No. 11. Full text PDF (3283 KB)
  2. J.Gajda, G.Sikora, A.Wyłomańska (2013) " Regime variance testing - a quantile approach", Acta Phys. Polon B 44(5), 1015-1035. Full text PDF (1115 KB)
  3. J.Gajda, A.Wyłomańska (2013) "Tempered stable Lévy motion driven by stable subordinator", Physica A 392, 3168–3176. Full text PDF (815 KB)
  4. M.Grasmair, M.Muszkieta, O.Scherzer (2013) "An approach to the minimization of the Mumford-Shah functional using Γ-convergence and topological asymptotic expansion", Interfaces and Free Boundaries, 15(2), 141-166.
  5. J.Janczura, M.Maciejewska, A.Szczurek, A.Wyłomańska (2013) " Stochastic modeling of indoor air temperature", J. Stat. Phys. 152, 979-994. Full text PDF (687 KB)
  6. J.Janczura (2013) "Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach", Mathematical Methods of Operations Research, Online First, doi:10.1007/s00186-013-0451-8.
  7. J.Janczura, R.Weron (2013) "Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices", AStA - Advances in Statistical Analysis 97(3), 239-279 (doi:10.1007/s10182-011-0181-2).
  8. J.Janczura, S.Trück, R.Weron, R.Wolff (2013) "Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling", Energy Economics 38, 96-110 (doi:10.1016/j.eneco.2013.03.013). Full text PDF (1010 KB)
  9. M.Magdziarz, W.Szczotka, P.Żebrowski (2013) "Asymptotic behavior of random walks with correlated temporal structure", Proc. Royal Soc. A, 469, 20130419.
  10. M.Magdziarz, J.Wójcik, J.Ślęzak (2013) "Estimation and testing of Hurst parameter using p-variation", J. Phys. A: Math. Theor., 46, 325003.
  11. J.Obuchowski, A.Wyłomańska (2013) " The Ornstein-Uhlenbeck process with non-Gaussian structure", Acta Phys. Polon B 44(5), 1123-1136. Full text PDF (949 KB)
  12. J.Obuchowski, A.Wyłomańska, R.Zimroz (2013) " Stochastic modeling of time series with application to local damage detection in rotating machinery", Damage Assessment of Structures in: Key Engineering Materials 569, 441-449. Full text PDF (319 KB)
  13. W.Okrasiński, Ł.Płociniczak (2013) "A note on fractional Bessel function and its asymptotics", Fractional Calculus and Applied Analysis 16 (3), 559-572.
  14. W.Okrasiński, Ł.Płociniczak (2013) "Bessel function model of corneal topography", Applied Mathematics and Computation 223, 436-443.
  15. S.Orzel, W.Mydlarczyk, A.Jurlewicz (2013) "Accelerating subdiffusions governed by multiple-order time-fractional diffusion equations: Stochastic representation by a subordinated Brownian motion and computer simulations", Phys. Rev. E 87, 032110. Full text PDF (300 KB)
  16. Ł.Płociniczak (2013) "On asymptotics of some fractional differential equations", Mathematical Modelling and Analysis 18 (3), 358-373.
  17. Ł.Płociniczak, H.Okrasińska (2013) "Approximate self-similar solutions to a nonlinear diffusion equation with time-fractional derivative", Physica D 261, 85-91.
  18. Ł.Płociniczak, W.Okrasiński (2013) "Regularization of an ill-posed problem in corneal topography", Inverse Problems in Science and Engineering 21 (6), 1090–1097.
  19. M.Teuerle, A.Wyłomańska, G.Sikora (2013) "Modeling anomalous diffusion by a subordinated fractional Lévy-stable process", J. Stat. Mech. P05016. Full text PDF (589 KB)
  20. A.Wyłomańska (2013) "The tempered stable process with infinitely divisible inverse subordinators", J. Stat. Mech. P10011. Full text PDF (604 KB)

2012

  1. P.Bieńkowski, K. Burnecki, J.Janczura, R.Weron, B.Zubrzak (2012) "A new method for automated noise cancellation in electromagnetic field measurement ", J. of Electromagn. Waves and Appl., Vol. 26, 1226–1236, 2012 .
  2. K.Burnecki (2012) "FARIMA processes with application to biophysical data", J. Stat. Mech. (2012) P05015. Full text PDF (624 KB)
  3. K.Burnecki, E.Kepten, J.Janczura, I.Bronshtein, Y.Garini, A.Weron (2012) "Universal Algorithm for Identification of Fractional Brownian Motion. A Case of Telomere Subdiffusion", Biophysical Journal 103, 1839–1847. Full text PDF (460 KB)
  4. K.Burnecki, M.Magdziarz, A.Weron (2012) "Identification and validation of fractional subdiffusion dynamics", in "Fractional Dynamics" J. Klafter, S.C. Lim, R. Metzler (Eds.) (World Scientific, Singapore, 2012). Full text PDF (283 KB)
  5. K.Burnecki, M.Muszkieta, G.Sikora, A.Weron (2012) "Statistical modelling of subdiffusive dynamics in the cytoplasm of living cells: A FARIMA approach", EPL 98, 10004. Full text PDF (676 KB)
  6. K.Burnecki, G.Sikora, A.Weron (2012) "Fractional process as a unified model for subdiffusive dynamics in experimental data", Phys. Rev. E 86, 041912. Full text PDF (696 KB)
  7. K.Burnecki, A.Wyłomańska, A.Beletskii, V.Gonchar, A.Chechkin (2012) "Recognition of stable distribution with Lévy index α close to 2", Phys. Rev. E 85, 056711. Full text PDF (2433 KB)
  8. J.Gajda (2012) "Modelling of short term interest rate based on tempered fractional Langevin equation", Acta Phys. Polon. B 43(5), 2049-2062. Full text PDF (400 KB)
  9. J.Gajda, A.Wyłomańska (2012) "Geometric Brownian motion with tempered stable waiting times", J. Stat. Phys. 148, 296-305. Full text PDF (632 KB)
  10. J.Janczura, R.Weron (2012) "Black swans or dragon kings? A simple test for deviations from the power law", European Physical Journal - Special Topics 205, 79-93. Full text PDF (484 KB)
  11. J.Janczura, R.Weron (2012) "Efficient estimation of Markov regime-switching models: An application to electricity spot prices", Advances in Statistical Analysis 96(3), 385-407 (doi:10.1007/s10182-011-0181-2) .
  12. J.Janczura, A.Wyłomańska (2012) "Anomalous diffusion models: different types of subordinator distribution", Acta Phys. Polon. B 43(5), 1001-1016. Full text PDF (690 KB)
  13. M.Maciejewska, A.Szczurek, G.Sikora, A.Wyłomańska (2012) "Diffusive and subdiffusive dynamics of indoor microclimate: A time series modeling", Phys. Rev. E 86, 031128. Full text PDF (709 KB)
  14. M.Magdziarz, J.Gajda (2012) "Anomalous dynamics of Black-Scholes model time-changed by inverse subordinators", Acta Phys. Polon. B 43(5), 1093-1110. Full text PDF (452 KB)
  15. M.Magdziarz, W.Szczotka, P.Żebrowski (2012) "Langevin Picture of Lévy Walks and Their Extensions", J Stat Phys 147, 74–96. Full text PDF (790 KB)
  16. M.Magdziarz, R.Metzler, W.Szczotka, P.Żebrowski (2012) "Correlated continuous-time random walks in external force fields", Phys. Rev. E 85, 051103. Full text PDF (244 KB)
  17. M.Magdziarz, R.Metzler, W.Szczotka, P.Żebrowski (2012) "Correlated continuous-time random walks - scaling limits and Langevin picture", J. Stat. Mech P04010.
  18. M.Magdziarz, M.Teuerle, P.Żebrowski (2012) "Scaling limits of overshooting Lévy walks", Acta Phys. Polon. B 43(5), 1093-1110. Full text PDF (472 KB)
  19. W.Okrasiński, Ł.Płociniczak (2012) "A nonlinear mathematical model of the corneal shape", Nonlinear Analysis: Real World Applications 13, 1498-1505.
  20. G.Sikora (2012) "Anomalous diffusion - the thinning property of fractional Brownian motion", Acta Phys. Polon. B 43(5), 1157-1167. Full text PDF (465 KB)
  21. M.Teuerle, P.Żebrowski, M.Magdziarz (2012) "Multidimensional Lévy walk and its scaling limits", J. Phys A: Math. Theor 45, 385002. Full text PDF (1017 KB)
  22. A.Wyłomańska (2012) "How to identify proper model?", Acta Phys. Polon. B 43(5), 1241-1253. Full text PDF (415 KB)
  23. A.Wyłomańska (2012) "Arithmetic Brownian motion subordinated by tempered stable and inverse tempered stable processes", Physica A 391 (22), 5685-5696. Full text PDF (634 KB)

2011

  1. Sz.Borak, A.Misiorek, R.Weron (2011) "Models for heavy-tailed asset returns", in "Statistical Tools for Finance and Insurance, 2nd Edition", Springer, Berlin, 2011, 21-56.
  2. K.Burnecki, J.Gajda, G.Sikora (2011) "Stability and lack of memory of the returns of the Hang Seng index", Physica A 390, 3136–3146. Full text PDF (399 KB)
  3. K.Burnecki, J.Janczura, R.Weron (2011) "Building loss models", in "Statistical Tools for Finance and Insurance, 2nd Edition", Springer, Berlin, 2011, 293-328.
  4. K.Burnecki, G.Kukla, D.Taylor (2011) "Pricing of catastrophe bonds", in "Statistical Tools for Finance and Insurance, 2nd Edition", Springer, Berlin, 2011, 371-392.
  5. K.Burnecki, M.Teuerle (2011) "Ruin probability in finite time", in "Statistical Tools for Finance and Insurance, 2nd Edition", Springer, Berlin, 2011, 329-348.
  6. K. Dębicki, G. Sikora (2011) "Finite Time Asymptotics of fluid and ruin models: multiplexed fractional Brownian motion case ", Applicationes Mathematicae 38,1, 107–116. Full text PDF (321 KB)
  7. J.Gajda, M.Magdziarz (2011) "Kramers’ escape problem for fractional Klein-Kramers equation with tempered α-stable waiting times", Physical Review E 84 (2011) 021137. Full text PDF (710 KB)
  8. J.Iwanik (2011) "Property and casulaty insurance pricing with GLMs", in "Statistical Tools for Finance and Insurance, 2nd Edition", Springer, Berlin, 2011, 349-370.
  9. J. Janczura, S.Orzeł, A.Wyłomańska (2011) "Subordinated α-stable Ornstein–Uhlenbeck process as a tool for financial data description", Physica A 390, 4379–4387. Full text PDF (469 KB)
  10. A.Janek, T.Kluge, R.Weron, U.Wystup (2011) "FX smile in the Heston model", in "Statistical Tools for Finance and Insurance, 2nd Edition", Springer, Berlin, 2011, 133-162.
  11. A.Jurlewicz, M.M.Meerschaert, H.P. Scheffler (2011) "Cluster Continuous Time Random Walks", Studia Mathematica, 205 (1)  13-30. Full text PDF (413 KB)
  12. A.Jurlewicz, P.Kern, M.M.Meerschaert, H.P. Scheffler (2011) "Fractional governing equations for coupled random walks", Computers and Mathematics with Applications (doi:10.1016/j.camwa.2011.10.010) . Full text PDF (441 KB)
  13. M.Magdziarz, S.Orzeł, A.Weron (2011) "Option pricing in subdiffusive Bachelier model", J. Stat. Phys., 145, 187-203. Full text PDF (683 KB)
  14. M.Magdziarz, A.Weron (2011) "Anomalous diffusion: Testing ergodicity breaking in experimental data", Physical Review E 84, 051138. Full text PDF (253 KB)
  15. M.Magdziarz, A.Weron (2011) "Ergodic properties of anomalous diffusion processes", Annals of Physics 326 (2011) 2431–2443. Full text PDF (269 KB)
  16. S.Orzeł, A.Wyłomańska (2011) "Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-time", Journal of Statistical Physics, Volume 143, Number 3, 447-454, (doi: 10.1007/s10955-011-0191-1). Full text PDF (407 KB)
  17. S.Orzeł, A.Weron (2011) "Fractional Klein–Kramers dynamics for subdiffusion and Ito formula", Journal of Statistical Mechanics P01006 (doi: 10.1088/1742-5468/2011/01/P01006). Full text PDF (365 KB)
  18. J.Trzmiel, K.Weron , A.Stanislavsky, A.Jurlewicz (2011) "Experimental evidence of the role of compound counting processes in random walk approaches to fractional dynamics", Phys.Rev. E, 83, 051102. Full text PDF (411 KB)
  19. A.Wyłomańska (2011) "Measures of dependence for Ornstein-Uhlenbeck process with tempered stable distribution", Acta Phys. Polon. B 42(10), 2049-2062. Full text PDF (389 KB)

2010

  1. K.Burnecki, A.Weron (2010) "Fractional Lévy stable motion can model subdiffusive dynamics", Phys.Rev. E, 82, 021130, (doi:10.1103/PhysRevE.82.021130). Full text PDF (219 KB)
  2. J.Gajda, M.Magdziarz (2010) "Fractional Fokker-Planck equation with tempered alpha-stable waiting times: Langevin picture and computer simulation", Phys.Rev. E, 82, 011117, (doi:10.1103/PhysRevE.82.011117). Full text PDF (258 KB)
  3. J. Janczura, R. Weron (2010) "An empirical comparison of alternate regime-switching models for electricity spot prices", Energy Economics 32(5), 1059 - 1073. Full text PDF (1283 KB)
  4. J.Janczura, R. Weron (2010) "Modeling electricity spot prices: Regime switching models with price-capped spike distributions", Proceedings of the Modern Electric Power Systems MEPS'10 International Symposium, September 20-22, 2010, Wrocław, Poland, paper 02.3. Full text PDF (139 KB)
  5. A.Jurlewicz, J.Trzmiel, K.Weron (2010) "Two-power-law relaxation processes in complex materials", Acta Physica Polonica B 41 (5), 1001-1008. Full text PDF (425 KB)
  6. M.Magdziarz (2010) "A note on Maruyama's mixing theorem", Theory Probab. Appl., Vol. 54, No. 2, pp. 322–324. Full text PDF (110 KB)
  7. M.Magdziarz, J.Klafter (2010) "Detecting origins of subdiffusion: P-variation test for confined systems", Phys.Rev. E, 82, 011129, (doi:10.1103/PhysRevE.82.011129). Full text PDF (296 KB)
  8. M.Magdziarz (2010) "Path properties of subdiffusion - a martingale approach", Stochastic Models, 26:256–271. Full text PDF (146 KB)
  9. T. Małolepszy, W.Okrasiński (2010) "Blow-up time for solutions to some nonlinear Volterra integral equations", Journal of Mathematical Analysis and Applications 366, 372-384.
  10. S.Orzeł, A.Weron (2010) "Calibration of the subdiffusive Black-Scholes model", Acta Physica Polonica B 41 (5), 1051-1059. Full text PDF (373 KB)
  11. J.Trzmiel, A.Jurlewicz, M.Teuerle (2010) "Comparison of the two-power-law generalized Mittag-Leffler and Havriliak-Negami dielectric relaxation responses.", Proceedings of the IEEE International Conference on Solid Dielectrics, ICSD 2010, 4th-9th July 2010, Potsdam, Germany, s. 637-640.. Full text PDF (144 KB)
  12. J.Trzmiel, A.Jurlewicz, K.Weron (2010) "The frequency-domain relaxation response of gallium doped Cd1-xMnxTe", J. Phys.: Condens. Matter 22, 095802. Full text PDF (328 KB)
  13. A.Weron, M.Magdziarz (2010) "Generalization of the Khinchin Theorem to Levy Flights", PRL 105, 260603. Full text PDF (251 KB)
  14. K.Weron, A.Jurlewicz, M.Magdziarz, A.Weron, J.Trzmiel (2010) "Overshooting and undershooting subordination scenario for fractional two-power-law relaxation responses", Phys. Rev. E, 81, 041123 (doi:10.1103/PhysRevE.81.041123). Full text PDF (204 KB)
  15. A.Wyłomańska, M.Węglarz (2010) "Optimal bidding strategies on the power market based on the stochastic models", Proceedings of the Modern Electric Power Systems MEPS'10 International Symposium, September 20-22, 2010, Wrocław, Poland . Full text PDF (91 KB)

2009

  1. K.Burnecki, A.Stanislavsky, K.Weron (2009) "Statistical analysis of the maximum energy in solar X-ray flare activity", Acta Phys. Polon. B, 40 (5), 1303-1313. Full text PDF (200 KB)
  2. T.Czarnik, R.Gawda, W.Kołodziej, D.Łątka, K.Sznajd-Weron, R.Weron (2009) "Associations between intracranial pressure, intraocular pressure and mean arterial pressure in patients with traumatic and non-traumatic brain injuries", Injury 40, 33-39. Full text PDF (260 KB)
  3. T.Czarnik, R.Gawda, T.Perkowski, R.Weron (2009) "Supraclavicular approach is an easy and safe method of subclavian vein catheterization even in mechanically ventilated patients", Anesthesiology 111, 334-339. Full text PDF (331 KB)
  4. J.Janczura, R.Weron (2009) "Regime switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions", 6th International Conference on The European Energy Market EEM09, May 27-29, 2009, Leuven, Belgium (doi:10.1109/EEM.2009.5207175). Full text PDF (239 KB)
  5. J.Janczura, A.Wyłomańska (2009) "Subdynamics of financial data from fractional Fokker-Planck equation", Acta Phys. Polon. B, 40 (5), 1341-1351. Full text PDF (225 KB)
  6. A.Jurlewicz, A.Wyłomańska, P.Żebrowski (2009) "Coupled continuous-time random walk approach to the Rachev-Ruschendorf model for financial data", Physica A 388, 407 418. Full text PDF (1076 KB)
  7. M.Magdziarz, A.Weron, K.Burnecki, J.Klafter (2009) "Fractional Brownian Motion Versus the Continuous-Time Random Walk: A Simple Test for Subdiffusive Dynamics", PRL 103, 180602 . Full text PDF (226 KB)
  8. M.Magdziarz (2009) "Black-Scholes Formula in Subdiffusive Regime", J Stat Phys 136, 553–564 (doi 10.1007/s10955-009-9791-4) . Full text PDF (376 KB)
  9. M.Magdziarz (2009) "Correlation cascades, ergodic properties and long memory of infinitely divisible processes", Stochastic Processes and their Applications 119, 3416–3434. Full text PDF (777 KB)
  10. M.Magdziarz (2009) "Langevin Picture of Subdiffusion with Infinitely Divisible Waiting Times", J Stat Phys 135, 763–772 (doi 10.1007/s10955-009-9751-z). Full text PDF (274 KB)
  11. M.Magdziarz (2009) "Stochastic representation of subdiffusion processes with time-dependent drift", Stochastic Processes and their Applications 119, 3238–3252. Full text PDF (813 KB)
  12. M.Muszkieta (2009) "Optimal edge detection by topological asymptotic analysis", Math. Mod. Meth. Appl. Sci. (19)11, 2127-2143.
  13. A.Stanislavsky, K. Burnecki, M.Magdziarz, A.Weron, K.Weron (2009) "FARIMA Modeling of solar flare activity from empirical time series of soft X-ray solar emission", The Astrophysical Journal, 693,1877–1882, (doi:10.1088/0004-637X/693/2/1877). Full text PDF (274 KB)
  14. J.Trzmiel, K.Weron, J.Janczura, E.Placzek-Popko (2009) "Properties of the relaxation time distribution underlying the Kohlrausch-Williams-Watts photoionization of the DX centers in Cd1-xMnxTe mixed crystals", J. Phys.: Condens. Matter 21, 345801. Full text PDF (885 KB)
  15. M.Teuerle, A.Jurlewicz (2009) "Random walk with bivariate Levy-stable jumps in comparison with Levy flights", Acta Phys. Polon. B, 40 (5), 1001-1008. Full text PDF (955 KB)
  16. A.Weron, M.Magdziarz (2009) "Anomalous diffusion and semimartingales", EPL 86, 60010. Full text PDF (412 KB)
  17. A.Weron, S.Orzeł (2009) "Itô Formula for Subordinated Langevin Equation. A Case of Time Dependent Force", Acta Phys. Polon. B, 40 (5), 1271-1277. Full text PDF (124 KB)
  18. R.Weron (2009) "Forecasting wholesale electricity prices: A review of time series models, in "Financial Markets: Principles of Modelling, Forecasting and Decision-Making", eds. W. Milo, P. Wdowiński", FindEcon Monograph Series, WUŁ, Łódź, 71-82 Available at SSRN:http://ssrn.com/abstract=1168382 . Full text PDF (320 KB)
  19. P.Zielonka, P.Sawicki, R.Weron (2009) "Rzecz o dyskontowaniu odroczonych wypłat [Discounting of delayed payoffs]", Decyzje 11, 49-70. Full text PDF (170 KB)

2008

  1. Sz.Borak, R.Weron (2008) "A semiparametric factor model for electricity forward curve dynamics", Journal of Energy Markets 1(3), 3-16. Full text PDF (1100 KB)
  2. M. Borgosz-Koczwara, A.Weron, A.Wyłomańska (2008) "Stochastic models for bidding strategies on oligopoly electricity market", Mathematical Methods of Operations Research, September 2008 (doi:10.1007/s00186-008-0252-7).
  3. M. Borgosz-Koczwara, A.Wyłomańska (2008) "Modele gry producentów energii elektrycznej na rynku spotowym", Systems (Wrocław), vol. 13, nr 1/2, 2008, s. 141-147.
  4. E.Broszkiewicz-Suwaj , A.Jurlewicz (2008) "Pricing on electricity market based on coupled-continuous-time-random-walk concept", Physica A 387, 5503–5510. Full text PDF (471 KB)
  5. K.Burnecki, J.Janczura, M.Magdziarz, A.Weron (2008) "Can one see a competition between subdiffusion and Levy flights?A case of geometric-stable noise ", Acta Phys. Polon. B, 39 (5), 1043-1054. Full text PDF (188 KB)
  6. K.Burnecki, J.Klafter, M.Magdziarz, A.Weron (2008) "From solar flare time series to fractional dynamics", Physica A 387, 1077–1087. Full text PDF (652 KB)
  7. K.Burnecki, R.Weron (2008) "Visualization Tools for Insurance ", in "Handbook of Data Visualization", eds. Ch. Chen, W. Härdle, A. Unwin, Springer, Berlin, 899-920.. Full text PDF (1200 KB)
  8. J.Janczura, A.Weron (2008) "Modelling energy forward prices", 5th International Conference on the European Electricity Market, EEM08, May 28-30, 2008, Lisbon (doi:10.1109/EEM.2008.4579020).
  9. A.Jurlewicz, K.Weron (2008) "Continuous-Time Random Walk approach to modeling of relaxation: The role of compound counting processes", Acta Phys. Polon. B, 39 (5), 1055-1066. Full text PDF (172 KB)
  10. A.Jurlewicz, A.Wyłomańska , P.Żebrowski (2008) "Financial Data Analysis by means of Coupled Continuous-Time Random Walk in Rachev-Ruschendorf Model", Acta Phys. Polon. A, 114(3), 629-634. Full text PDF (248 KB)
  11. A.Jurlewicz, K.Weron, M.Teuerle (2008) "Generalized Mittag-Leffler relaxation: Clustering-jump continuous-time random walk approach", Phys. Rev. E, 78, 011103 (doi:10.1103/PhysRevE.78.011103). Full text PDF (337 KB)
  12. J. Nowicka-Zagrajek, A.Wyłomańska (2008) "Measures of dependence for stable AR(1) models with time-varying coefficients", Stochastic Models vol. 24, nr 1, 58-70. Full text PDF (134 KB)
  13. M.Magdziarz, A.Weron, J.Klafter (2008) "Equivalence of the Fractional Fokker-Planck and Subordinated Langevin Equations: The Case of a Time-Dependent Force", Physical Review Letters 101, 210601 (2008) (doi: 10.1103/PhysRevLett.101.210601). Full text PDF (245 KB)
  14. M.Magdziarz (2008) "Fractional Ornstein-Uhlenbeck processes. Joseph effect in models with infinite variance", Physica A, 387, 1077-1087. Full text PDF (217 KB)
  15. A.Makagon, A.Wyłomańska (2008) "On the support of the spectral measure of a harmonizable sequence", Proceedings of the American Mathematical Society, vol. 136(7) 2609-2613. Full text PDF (140 KB)
  16. T. Małolepszy, W.Okrasiński (2008) "Blow-up conditions for nonlinear Volterra integral equations with power nonlinearity", Applied Mathematics Letters 21 3(2008), 307-312.
  17. S.Sapio, A.Wyłomańska (2008) "The impact of forward trading on the spot power price volatility with Cournot competition", 5th International Conference on the European Electricity Market, EEM08, May 28-30, 2008, Lisbon (doi:10.1109/EEM.2008.4579013).
  18. A.Stanislavsky, K.Weron, A.Weron (2008) "Diffusion and relaxation controlled by tempered -stable processes", Phys. Rev. E, 78,051106 (doi:10.1103/PhysRevE.78.051106). Full text PDF (350 KB)
  19. K. Sznajd-Weron, R. Weron, M. Włoszczowska (2008) "Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland", Journal of Statistical Mechanics P11018 (doi: 10.1088/1742-5468/2008/11/P11018). Full text PDF (760 KB)
  20. A.Weron, M.Magdziarz, K.Weron (2008) "Modeling of subdiffusion in space-time-dependent force fields beyond the fractional Fokker-Planck equation", Phys. Rev. E, 77, 036704 (doi:10.1103/PhysRevE.77.036704). Full text PDF (262 KB)
  21. R.Weron, A.Misiorek (2008) "Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models", International Journal of Forecasting (doi:10.1016/j.ijforecast.2008.08.004). Full text PDF (1600 KB)
  22. R.Weron (2008) "Heavy-tails and regime-switching in electricity prices", Mathematical Methods of Operations Research (doi:10.1007/s00186-008-0247-4). Full text PDF (1100 KB)
  23. R.Weron (2008) "Market price of risk implied by Asian-style electricity options and futures", Energy Economics 30, 1098-1115 (doi:10.1016/j.eneco.2007.05.004) . Full text PDF (930 KB)
  24. A.Wyłomańska (2008) "Spectral measures of PARMA sequences", Journal of Time Series Analysis vol. 29, nr 1, 1-13. Full text PDF (517 KB)

2007

  1. M. Borgosz-Koczwara, A.Wyłomańska (2007) "Financial engineering as a tool of power producers' strategies optimization", In: The European electricity market. Challenge of the unification. EEM-07. 4th International Conference. Krakow, May 23-25, 2007 p. 159-165.
  2. T.Czarnik, R.Gawda, D.Łątka, W.Kołodziej, K.Sznajd-Weron, R.Weron (2007) "Noninvasive measurement of intracranial pressure: Is it possible?", The Journal of Trauma: Injury, Infection and Critical Care 62(1), 207-211. Full text PDF (380 KB)
  3. J.Klafter, T.Koren, M.Magdziarz (2007) "First passage times of Levy Flights coexisting with subdiffusion", Phys. Rev. E, 76, 031129. Full text PDF (171 KB)
  4. M.Magdziarz, A.Weron (2007) "Numerical approach to the fractional Klein-Kramers equation", Phys. Rev. E, 76, 066708 (doi: 10.1103/PhysRevE.76.066708). Full text PDF (990 KB)
  5. M.Magdziarz (2007) "Short and long memory fractional Ornstein-Uhlenbeck alpha-stable processes", Stochastic Models, 23:3, 451-473. Full text PDF (333 KB)
  6. M.Magdziarz, A.Weron (2007) "Fractional Langevin equation with alpha-stable noise.A link to fractional ARIMA time series", Studia Mathematica, 181(1),47-69. Full text PDF (207 KB)
  7. M.Magdziarz, A.Weron (2007) "Competition between subdiffusion and Levy flights: Stochastic and numerical approach", Phys. Rev. E, 75, 056702. Full text PDF (244 KB)
  8. Z.Michna, A.Weron (2007) "Asymptotic behavior of the finite time ruin probabilty of a gamna Levy process", Acta Phys. Polon. B, 38(5), 1881-1889. Full text PDF (122 KB)
  9. M.Magdziarz, P.Miśta, A.Weron (2007) "Anomalous diffusion approximation of risk processes in collective risk theory", Acta Phys. Polon. B, 38 (5), 1647-1656. Full text PDF (179 KB)
  10. M.Magdziarz, A.Weron, K.Weron (2007) "Factional Fokker-Planck dynamics: Stochastic representation and computer simulation", Physics Rev. E, 75, 016708 (doi:10.1103/PhysRevE.75.016708). Full text PDF (353 KB)
  11. T. Małolepszy, W.Okrasiński (2007) "Conditions for blow-up of solutions of some nonlinear Volterra integral equations", Journal of Computational and Applied Mathematics 205 2(2007), 744-750.
  12. S.Trueck, R.Weron, R.Wolff (2007) "Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices ", Proceedings of the 56th Session of the International Statistical Institute, Invited Paper Meeting IPM71 "Statistics of risk aversion", Aug. 22-29, 2007, Lisbon, Portugal. Full text PDF (264 KB)
  13. R.Weron (2007) "Hugo Steinhaus - matematyk, humanista i ... popularyzator sprawiedliwego podziału tortu [Hugo Steinhaus - a mathematician, a humanist and ... an advocate of fair division of a cake]", Decyzje 6, 113-118. Full text PDF (65 KB)
  14. R.Weron, A.Misiorek (2007) "Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts?", Prace Naukowe Akademii Ekonomicznej we Wrocławiu Nr 1076, 472-480. Full text PDF (309 KB)
  15. A.Wyłomańska (2007) "Stable CARMA processes as a tool for stochastic volatility modelling", "Inwestycje finansowe i ubezpieczenia - tendencje światowe a polski rynek" Red. nauk. Wanda Ronka-Chmielowiec, Krzysztof Jajuga, Prace Naukowe Akademii Ekonomicznej we Wrocławiu Nr 1076, 541-548.

2006

  1. M. Borgosz-Koczwara, A.Wyłomańska (2006) "A probability model for the electricity price duration curve", Proceedings of the International Conference "The European Electricity Market EEM-06", May 24-26, 2006, Warsaw, Poland, 21-28.
  2. M. Borgosz-Koczwara, A. Weron, A.Wyłomańska (2006) "Symulacje strategii wytworców" na rynku energii elektrycznej", Energetyka 12/2006, 904-908.
  3. E. Broszkiewicz-Suwaj, A.Weron (2006) "Calibration of the Multi-Factor HJM Model", Acta Physica Polonica B Vol. 37, No 5, 1455-1466. Full text PDF (168 KB)
  4. E. Broszkiewicz-Suwaj (2006) "Electricity Real Options Valuation", Acta Physica Polonica B Vol. 37,No 11, 1001-1011. Full text PDF (141 KB)
  5. E. Broszkiewicz-Suwaj (2006) "New Methodology of Pricing on Electricity Market - Theory and Practice", Proceedings of the International Conference "The European Electricity Market EEM-06", May 24-26, 2006, Warsaw, Poland, 29-33.
  6. K.Burnecki, J.Nowicka-Zagrajek (2006) "Skladka kwantylowa w modelu ryzyka kolektywnego a dane szkodowe z obcieciem dolnym", "Statystyka aktuarialna - stan i perspektywy rozwoju z Polsce" pod red. W. Ostasiewicza, Prace Naukowe Akademii Ekonomicznej we Wrocawiu Nr 1108 Wydawnictwo Akademii Ekonomicznej, Wrocław, 306-317. Full text PDF (368 KB)
  7. A.Chernobai, K.Burnecki, S.Rachev, S.Trueck, R.Weron (2006) "Modelling catastrophe claims with left-truncated severity distributions", Computational Statistics 21(3-4), 537-555. Full text PDF (230 KB)
  8. M.Magdziarz, K.Weron (2006) "Anomalous diffusion schemes underlying the Cole-Cole relaxation. The role of the inverse-time", Physica A 367, 1-6. Full text PDF (150 KB)
  9. M.Magdziarz, K.Weron (2006) "Anomalous diffusion schemes underlying the stretched exponential relaxation. The role of subordinators", Acta Physica Polonica B 37 no 5, 1617-1625. Full text PDF (141 KB)
  10. A.Misiorek (2006) "Ciężkie ogony cen, czyli dlaczego trudno mierzyć ryzyko na rynku energii", Proceedings of the XII-th Conference "Rynek Energii Elektrycznej", Kazimierz Dolny, 24-26 April 2006, (in Polish).
  11. A.Misiorek, M.Kozłowski (2006) "How to anticipate purchase of energy - and why good model sometimes causes loss", Proceedings of the International Conference "The European Electricity Market EEM-06", May 24-26, 2006, Warsaw, Poland, 51-56.
  12. A.Misiorek, R.Weron (2006) "Interval forecasting of spot electricity prices", Proceedings of the International Conference "The European Electricity Market EEM-06", May 24-26, 2006, Warsaw, Poland, 305-312. Full text PDF (290 KB)
  13. A.Misiorek, S. Trueck, R.Weron (2006) "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models", Studies in Nonlinear Dynamics and Econometrics 10(3), Article 2. Full text PDF (594 KB)
  14. A.Misiorek, R.Weron (2006) "Zwiększenie dokładności prognoz ceny energii poprzez zastosowanie preprocessingu oraz modeli nieliniowych ", Przegląd Elektrotechniczny LXXXII, vol. 9, 44-46. Full text PDF (491 KB)
  15. J. Nowicka-Zagrajek, A. Wyłomańska (2006) "Franszyza i górna granica odpowiedzialności a składka netto", Prace Naukowe Akademii Ekonomicznej im. Karola Adamieckiego w Katowicach. Matody matematyczne, ekonometryczne i informatyczne w finansach i ubezpieczeniach. Część 2, Wydawnictwo Akademii Ekonomicznej w Katowicach, Katowice, 279-287.
  16. J.Nowicka-Zagrajek , A.Wyłomańska (2006) "The Dependence Structure for PARMA Models with alpha-Stable Innovations", Acta Physica Polonica B, Vol.37 No 11, November 2006, 3071-3081 . Full text PDF (134 KB)
  17. R.Weron, A.Misiorek (2006) "Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market", Proceedings of the Modern Electric Power Systems MEPS'06 International Symposium, September 6-8, 2006, Wrocław, Poland, 34-38. Full text PDF (270 KB)
  18. R.Weron, A.Misiorek (2006) "Short-term Electricity Price Forecasting with Time Series Models: A Review and Evaluation", "Complex Electricity Markets", ed. W. Mielczarski, Chapter 10, 231-254. Full text PDF (670 KB)
  19. R.Weron, I.Simonsen (2006) "Blackouts, risk, and fat-tailed distributions", "Practical Fruits of Econophysics", ed. H. Takayasu, Springer-Tokyo, 215-219. Full text PDF (155 KB)
  20. A.Wyłomańska , M. Borgosz-Koczwara (2006) "Wykorzystanie inżynierii finansowej w optymalizacji strategii wytwórców", Proceedings of the XII-th Conference "Rynek Energii Elektrycznej", Kazimierz Dolny, 24-26 April 2006, 285-292 (in Polish).

2005

  1. Sz. Borak, W. Härdle, R.Weron (2005) "Stable distributions", in "Statistical Tools for Finance and Insurance",Springer, Berlin, 21-44.
  2. E.Gudowska-Nowak, K.Bochenek, A.Jurlewicz, K.Weron (2005) "Hopping models of charge transfer in a complex environment: Coupled memory continuous-time random walk approach", Phys. Rev. E, 72, 061101. Full text PDF (137 KB)
  3. M. Borgosz-Koczwara, A.Wyłomańska (2005) "Okresowe szeregi czasowe wykorzystywane w prognozowaniu wolumenu sprzedaży", Proceedings of the XI-th Conference "Rynek Energii Elektrycznej", Kazimierz Dolny, 25-27 kwietnia 2005, vol. 2, 269-276 (in Polish).
  4. M. Borgosz-Koczwara, A.Wyłomańska (2005) "Optimal biddding strategies on energy market under imperfect information", Proceedings of the International Conference "The European Electricity Market EEM-05", May 10-12, 2005, Lodz, Poland, 67-73. Full text PDF (249 KB)
  5. E. Broszkiewicz-Suwaj, A.Wyłomańska (2005) "Okresowa korelacja a integracja i kointegracja", Prace Naukowe Akademii Ekonomicznej we Wrocawiu Nr 1088. Inwestycje finansowe i ubezpieczenia - tendencje światowe a polski rynek. Wydawnictwo Akademii Ekonomicznej, Wrocław, 83-89.
  6. E. Broszkiewicz-Suwaj, A. Makagon, A. Weron (2005) "Wycena opcji na energię elektryczną. Model Blacka a model HJM", Energetyka , grudzień 2005, 855-859.
  7. K.Burnecki, P. Miśta, A.Weron (2005) "A new gamma type approximation of the ruin probability", Acta Physica Polonica B 36(5), s. 1473-1483. Full text PS (303 KB)
  8. K.Burnecki, A.Misiorek, R.Weron (2005) "Loss distributions", in "Statistical Tools for Finance and Insurance",Springer, Berlin, 289-317.
  9. K.Burnecki, R.Weron (2005) "Modeling of the risk process", in "Statistical Tools for Finance and Insurance",Springer, Berlin, 319-339.
  10. K.Burnecki, J.Nowicka-Zagrajek , A. Wyłomańska (2005) "Pure risk premiums under deductibles", in "Statistical Tools for Finance and Insurance",Springer, Berlin, 427-452.
  11. K.Burnecki, G. Kukla, D.Taylor (2005) "Pricing of catastrophe bonds", in "Statistical Tools for Finance and Insurance",Springer, Berlin, 93-114.
  12. K.Burnecki, P. Miśta, A.Weron (2005) "Ruin probabilities in finite and infinite time", in "Statistical Tools for Finance and Insurance",Springer, Berlin, 341-379.
  13. K.Burnecki, P.Miśta, A.Weron (2005) "What is the best approximation of the ruin probability in infinite time?", Applicationes Mathematicae 32,2 (2005), 155-176. Full text PDF (583 KB)
  14. K.Burnecki, J.Nowicka-Zagrajek (2005) "Wybrane rodzaje składek w modelu ryzyka kolektywnego", Prace Naukowe Akademii Ekonomicznej we Wrocławiu Nr 1088 .Inwestycje finansowe i ubezpieczenia - tendencje światowe a polski rynek. Tom 2, Wydawnictwo Akademii Ekonomicznej, Wrocław, 48-55. Full text PDF (255 KB)
  15. H.Furrer, Z.Michna, A.Weron (2005) "Stable diffusion approximation of the risk process", in "Statistical Tools for Finance and Insurance",Springer, Berlin, 381-393.
  16. J.Iwanik, J.Nowicka-Zagrajek (2005) "Premiums in the individual and collective risk models", in "Statistical Tools for Finance and Insurance",Springer, Berlin, 407-426.
  17. A. Jurlewicz (2005) "Limit theorems for randomly coarse grained continous-time random walks", Diss. Math. 431. Full text PDF (777 KB)
  18. A.Jurlewicz, K. Weron (2005) "Scaling properties of the diffusion process underlying the Havrilak-Negami relaxation function", Defect and Diffusion Forum Vols. 237-240, Part 2, 1093-1100. Full text PDF (355 KB)
  19. A.Jurlewicz, B. Szabat (2005) "Temperature dependent cluster model of the Cole-Davidson relaxation response", Defect and Diffusion Forum Vols. 237-240, 762-767. Full text PDF (305 KB)
  20. M.Kozłowski, A.Misiorek (2006) "Prognozowanie zapotrzebowania na energie w ujeciu Earnings at Risk (EaR)", Energetyka 12/2005, str. 860-862.
  21. M.Magdziarz (2005) "The dependence structure of the fractional Ornstein-Uhlenbeck process", Probability and Mathematical Statistics 25(1), 97-104 . Full text PDF (264 KB)
  22. A.Misiorek, R.Weron (2005) "Forecasting spot electricity prices using fundamental factors", Proceedings of the XI-th Conference "Rynek Energii Elektrycznej", Kazimierz Dolny, 25-27 kwietnia 2005, vol. 2, 277-284 (in Polish).
  23. A.Misiorek, R.Weron (2005) "Forecasting spot electricity prices with time series models", Proceedings of the International Conference "The European Electricity Market EEM-05", May 10-12, 2005, Lodz, Poland, 133-141. Full text PDF (335 KB)
  24. P.Miśta, W.Otto (2005) "Premiums, investments and reinsurance", in "Statistical Tools for Finance and Insurance",Springer, Berlin, 453-488.
  25. A.Weron, K.Burnecki, Sz.Mercik, K.Weron (2005) "Complete description of all self-similar models driven by Levy stable noise", Physical Review E 71, 016113. Full text PDF (986 KB)
  26. K.Weron, A. Jurlewicz, M.Magdziarz (2005) "Havriliak-Negami Response in the Framework of the Continuous-Time Random Walk", Acta Physica Polonica B 36 (5): 1855-1868. Full text PDF (217 KB)
  27. R.Weron, U. Wystup (2005) "Heston's model and the smile", in "Statistical Tools for Finance and Insurance",Springer, Berlin, 161-181.
  28. R.Weron, S.Wójcik (2005) "Analiza składowych głównych w modelowaniu powierzchni implikowanej zmienności", Rynek Terminowy 27, 103-108 (in Polish). Full text PDF (505 KB)

2004

  1. M. Bierbrauer, S. Trueck, R.Weron (2004) "Modeling electricity prices with regime switching models", Lecture Notes in Computer Science 3039, 859-867. Full text PDF (172 KB)
  2. M. Borgosz-Koczwara, A. Wyłomańska (2004) "The equilibrium models in oligopoly electricity market ", International Conference "The European Electricity Market EEM-04", pages 67-75. Full text PDF (233 KB)
  3. E. Broszkiewicz-Suwaj, A. Wyłomańska (2004) "Analiza wolumneu sprzedaży energii elektrycznej na giełdzie Nord Pool metodą szeregów czasowych", Rynek Terminowy 26, 4/04, 83-87. Full text PDF (201 KB)
  4. E. Broszkiewicz-Suwaj, A. Makagon, R.Weron, A. Wyłomańska (2004) "On detecting and modeling periodic correlation in financial data", Physica A 336, 196-205. Full text PDF (326 KB)
  5. K.Burnecki, R.Weron (2004) "Modeling the risk process in the XploRe computing environment", Lecture Notes in Computer Science 3039, 868-875. Full text PDF (216 KB)
  6. K.Burnecki, A.Weron (2004) "Levy stable processes. From stationary to self-similar dynamics and back. An application to finance.", Acta Physica Polonica B 35(4), s. 1343-1358. Full text PS ZIP (402 KB)
  7. K.Burnecki, A.Marciniuk, A.Weron (2004) "On annuities under random rates of interest with payments varying in arithmetic and geometric progression", Probability and Mathematical Statistics 24(1), 1-15. Full text PDF (516 KB)
  8. K.Burnecki, J.Nowicka-Zagrajek , A.Weron (2004) "Pure risk premiums under deductibles", Prace Naukowe Akademii Ekonomicznej we Wrocławiu Nr 1037. Inwestycje finansowe i ubezpieczenia - tendencje światowe a polski rynek. Wydawnictwo Akademii Ekonomicznej, Wrocław, 75-82. Full text PDF (155 KB)
  9. K.Burnecki, W.Härdle, R.Weron (2004) "Simulation of Risk Processes", in "Encyclopedia of Actuarial Science", eds. J.L. Teugels, B. Sundt, Wiley, Chichester, vol. 3, 1564-1570. Full text PDF (2770 KB)
  10. M.Kozłowski, T.Piesiewicz, A.Weron (2004) "Risk management tools for the polish electricity market", International Conference "The European Electricity Market EEM-04, pages 129-133. Full text PDF (417 KB)
  11. M.Magdziarz (2004) "Modelowanie struktury terminowej poprzez ułamkowe równania różniczkowe z losowym szumem", Rynek Terminowy (26) 4/2004.
  12. A.Makagon, A.Weron, A.Wyłomańska (2004) "Bounded Solutions of ARMA Models with Varying Coefficients", Applicationes Mathematicae 31 (3), 273-285.
  13. A.Misiorek, R.Weron (2004) "Modeling and forecasting electricity loads: A comparison", Proceedings of the International Conference "The European Electricity Market EEM-04", September 20-22, 2004, Lodz, Poland, 135-142. Full text PDF (255 KB)
  14. A.Misiorek, R.Weron (2004) "Modelowanie sezonowości a prognozowanie zapotrzebowania na energię elektryczną", Energetyka 12/2004, 780-785. Full text PDF (390 KB)
  15. S.T.Rachev, S.Trueck, R.Weron (2004) "Risk Management in Power Markets (Part III) - Advanced Spot Price Models and Value-at-Risk approaches (in German)", Risknews 05/2004, 67-71. Full text PDF (2690 KB)
  16. S.Trueck, R.Weron (2004) "Risk Management in Power Markets (Part I) - Trading in Germany and special Market Features", Risknews 03/2004, 65-69. Full text PDF (2301 KB)
  17. S.Trueck, R.Weron (2004) "Risikomanagement in Energiemärkten (Teil II) Modellierung von Strompreisen", Risknews 04/2004, 67-71. Full text PDF (2086 KB)
  18. A. Weron, A. Wyłomańska (2004) "On ARMA(1,q) Models with Bounded and Periodically Correlated Solutions", Probability and Mathematical Statistics 24, 2004, 165-172.
  19. R.Weron (2004) "Computationally intensive Value at Risk calculations", in "Handbook of Computational Statistics", eds. J.E. Gentle, W. Haerdle, Y. Mori, Springer, Berlin, 911-950.
  20. R.Weron, A.Misiorek (2004) "Modeling and forecasting electricity loads: a comparison", International Conference "The European Electricity Market EEM-04", pages 135-142. Full text PDF (256 KB)
  21. R.Weron, M.Bierbrauer, S.Trueck (2004) "Modeling electricity prices: jump diffusion and regime switching", Physica A 336, 39-48. Full text PDF (237 KB)
  22. R.Weron, I. Simonsen, P. Wilman (2004) "Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market", in “The Application of Econophysics”, ed. H. Takayasu, Springer-Tokyo, 182-191. Full text PDF (158 KB)
  23. R.Weron (2004) "Power markets in Poland and worldwide", Prace Naukowe Akademii Ekonomicznej we Wrocawiu Nr 1037. Inwestycje finansowe i ubezpieczenia - tendencje światowe a polski rynek. Wydawnictwo Akademii Ekonomicznej, Wrocaw, 325-333. Full text PDF (320 KB)
  24. R.Weron, S. Wójcik (2004) "Principal Components Analysis in implied volatility modeling", Prace Naukowe Akademii Ekonomicznej we Wrocawiu Nr 1037. Inwestycje finansowe i ubezpieczenia - tendencje światowe a polski rynek. Wydawnictwo Akademii Ekonomicznej, Wrocaw, 315-324. Full text PDF (380 KB)

2003

  1. M. Borgosz-Koczwara, A. Wyłomańska (2003) "Modele gry producentów na giełdzie energii", Rynek Terminowy 21, 68-73.
  2. M. Borgosz-Koczwara, A. Wyłomańska (2003) "Rownowaga nasha w grach niekooperacyjnych na rynku dnia następnego", Energetyka 12, 808-812.
  3. E. Broszkiewicz-Suwaj (2003) "Wykrywanie okresowej korelacji danych z TGE SA w oparciu o analizę spektralną", Rynek Terminowy 20, 92-95.
  4. K.Burnecki, A. Marciniuk, A.Weron (2003) "Annuities under random rates of interest – revisited", Insurance: Mathematics & Economics 32.3, 457-460. Full text PDF (67 KB)
  5. K.Burnecki, J.Nowicka-Zagrajek (2003) "Ocena ryzyka ubezpieczeniowego w ubezpieczeniach na życie (część I)", Asekuracja&Re 2(62), 20-22.
  6. K.Burnecki, G. Kukla (2003) "Obligacje katastroficzne. Krajobraz po wojnie", Asekuracja&Re nr 1(61), 29-30. Full text PDF (135 KB)
  7. K.Burnecki, G. Kukla (2003) "Pricing of zero-coupon and coupon CAT bonds", Applicationes Mathematicae 30(3), 315-324. Full text PDF (143 KB)
  8. A.K.Jonscher, A.Jurlewicz, K. Weron (2003) "Stochastic schemes of dielectric ralaxation in correlated-cluster systems''", Contemporary Physics Vol. 44, No. 4, 329-339. Full text PDF (2330 KB)
  9. A.Jurlewicz (2003) "Stochastic foundations of the universal dielectric response", Applicationes Mathematicae 30,3 325-336. Full text PDF (137 KB)
  10. Sz.Mercik, K. Weron, K.Burnecki, A.Weron (2003) "Enigma of self-similarity of fractional Levy stable motions", Acta Physica Polonica B 34(7), s. 3773-3793. Full text PS (290 KB)
  11. S. Ondruszko, A. Wyłomańska (2003) "Analiza porównawcza modelowania ceny energii elektrycznej przy użyciu różnych pakietów statystycznych", Rynek Terminowy 20, 87-92.
  12. K. Sznajd-Weron, R.Weron (2003) "How effective is advertising in duopoly markets?", Physica A 324, 437-444. Full text PDF (138 KB)

2002

  1. K.Burnecki, Z. Michna (2002) "Simulation of Pickands constants", Probability and Mathematical Statistics 22(1), 193-199. Full text PS (158 KB)
  2. A. Jurlewicz, K.Weron (2002) "Relaxation of dynamically correlated clusters", J. Non-Cryst. Solids 305, 112-121. Full text PDF (153 KB)
  3. B. Stawiarski (2002) "Dynamiczne zarządzanie wielkością depozytów zabezpieczających dla certyfikatów na indeksy giełd zagranicznych", Rynek Terminowy 15 (1/02), 125-128.
  4. J.Nowicka-Zagrajek , R.Weron (2002) "Modeling electricity loads in California: ARMA models with hyperbolic noise", Signal Processing 82 (12), 1903-1915 . Full text PDF (284 KB)
  5. K. Sznajd-Weron, R.Weron (2002) "A simple model of price formation", Int. J. Modern Physics C 13, 115-123. Full text PDF (288 KB)
  6. A.Weron, A. Wyłomańska (2002) "Minimalne prawdopodobienstwostraty producenta na rynku bilansujacym", Energetyka 12, 896-900.
  7. R.Weron (2002) "Estimating long-range dependence: finite sample properties and confidence intervals", Physica A 312, 285-299 . Full text PDF (141 KB)
  8. R.Weron (2002) "Measuring long-range dependence in electricity prices", in "Empirical Science of Financial Fluctuations", ed. H. Takayasu, Springer-Verlag, Tokyo, pp. 110-119 . Full text PS (173 KB)
  9. R.Weron (2002) "Pricing European options on instruments with a constant dividend yield: the randomized discrete-time approach", Probability and Mathematical Statistics 22.2, 417-430. Full text PDF (151 KB)

2001

  1. S.Bovelli, D.Fioretto, A.Jurlewicz (2001) "Light scattering relaxation function of glass-forming molecules: a general probabilistic approach", J. Phys.: Cond. Matter 13, 373-382. Full text PDF (228 KB)
  2. K.Burnecki, J.Nowicka-Zagrajek (2001) "Analiza umieralności", Asekuracja&Re 7(54), 29-30.
  3. K.Burnecki, J.Nowicka-Zagrajek (2001) "Czy straty mają ogony... czyli rozkłady żądań stosowane w matematyce ubezpieczeń majątkowych", Asekuracja&Re 3(50), 22-25.
  4. K.Burnecki, G. Kukla (2001) "Instrumenty finansowe a ryzyko pogodowe", Asekuracja&Re nr 10(57), 26-27. Full text PDF (145 KB)
  5. K.Burnecki, J.Nowicka-Zagrajek , A.Weron (2001) "Metoda pomiaru ryzyka (wartości zagrożonej - VaR) na rynku energii elektrycznej", Energetyka 12/2001, 743-747.
  6. A.Jurlewicz (2001) "CED Model I: Basic Theory", J. Math.Sci. Vol. 105, N0. 6, 2562-2568. Full text PDF (114 KB)
  7. K.Weron, A. Jurlewicz, A.K.Jonscher (2001) "Energy criterion in interacting cluster systems", IEEE Trans. Diel. Electr. Ins. 8(3), 352-358. Full text PDF (679 KB)
  8. M. Kozłowski, T. Piesiewicz, R.Weron (2001) "Zarządzanie ryzykiem finansowym: Symulator Rynku Instrumentów Pochodnych", Rynek Terminowy 13 (3/01), 31-34.
  9. J.Nowicka-Zagrajek , A.Weron (2001) "Dependence structure of stable R-GARCH processes", . Full text PS (183 KB)
  10. J.Nowicka-Zagrajek , R.Weron (2001) "Modelowanie cen i zapotrzebowania na energię elektryczną: szeregi czasowe z szumem hiperbolicznym", Rynek Terminowy 14 (4/01), 96-100.
  11. J.Nowicka-Zagrajek , K.Burnecki (2001) "Statystyczne metody oceny ryzyka ubezpieczeniowego. Część I", Asekuracja&Re 5(52), 20-21.
  12. J.Nowicka-Zagrajek , K.Burnecki (2001) "Statystyczne metody oceny ryzyka ubezpieczeniowego. Część II", Asekuracja&Re 9 (56), 24-25.
  13. J.Nowicka-Zagrajek , K.Burnecki (2001) "Statystyczne metody oceny ryzyka ubezpieczeniowego. Część III: Estymacja parametrów rozkładów", Asekuracja&Re 11 (58), 24-25.
  14. J.Nowicka-Zagrajek , K.Burnecki (2001) "Tablice trwania życia", Asekuracja&Re 4(51), 24-25.
  15. K. Sznajd-Weron, R.Weron (2001) "A new model of mass extinctions", Physica A 293, 559-565. Full text PDF (121 KB)
  16. R.Weron (2001) "Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime", Intern. J. Modern Phys. C 12 (2), 209-223. Full text PDF (413 KB)
  17. R.Weron, B. Kozłowska, J.Nowicka-Zagrajek (2001) "Modeling electricity loads in California: a continuous-time approach", Physica A 299, 344-350. Full text PDF (150 KB)

2000

  1. J. Bujko, J. Malko, A.Weron, R.Weron (2000) "Electricity market and tools for financial risk management in Poland. A case study", CIGRE’2000, Paris, 38-206, 1-5.
  2. K.Burnecki, G. Kukla, R.Weron (2000) "Property insurance loss distributions", Physica A 287, 269-278. Full text PDF (236 KB)
  3. K.Burnecki (2000) "Self-similar processes as weak limits of a risk reserve process", Probability and Mathematical Statistics 20(2), 261-272. Full text PDF (446 KB)
  4. A.Jurlewicz, K.Weron (2000) "Infinitely divisible waiting-time distributions underlying the empirical relaxation responses", Acta Physica Polonica B 31, 1077-1084. Full text PDF (190 KB)
  5. A.Jurlewicz, K.Weron (2000) "Relaxation dynamics of the fastest channel in multichannel parallel relaxation mechanism", Chaos, Solitons & Fractals 11, 303-308. Full text PDF (86 KB)
  6. M.Kotulska, A.Jurlewicz (2000) "How heterogenous structure of tissue effects its dielectric characteristics", Acta Physica Polonica B 31, 1085-1096. Full text PDF (202 KB)
  7. M. Kotulski (2000) "Mechanism of relaxation phenomena based on the negative binomial random walk", Chaos, Solitons & Fractals 11, 309-314.
  8. M.Kozłowski, H.A.Kołodziej, R.Wieczorek, Z.Latajka, A.Jurlewicz (2000) "Dielectric relaxation and molecular conformational energy of some arylazo benzothiazine derivatives", Chem.Phys 252, 289-299. Full text PDF (470 KB)
  9. A.Weron, R.Weron (2000) "Fractal Market Hypothesis and two power-laws", Chaos, Solitons & Fractals 11, 289-296. Full text PDF (162 KB)
  10. A.Weron, R.Weron (2000) "Ocena pakietu EPRI Electricity Book v. 0.75.1", Biuletyn Miesięczny PSE S.A. 4/00.
  11. A.Weron, R.Weron (2000) "Zarządzanie ryzykiem na rynku energii", Rynek Terminowy 10 (4/00), 68-70.
  12. A.Weron, R.Weron (2000) "Zarządzanie ryzykiem na rynku energii elektrycznej", Biuletyn Miesięczny PSE S.A. 5-6/00, 105-110.
  13. R.Weron (2000) "Energy price risk management", Physica A 285, 127-134. Full text PDF (212 KB)
  14. R.Weron, B.Przybyłowicz (2000) "Hurst analysis of electricity price dynamics", Physica A 283, 462-468. Full text PDF (151 KB)
  15. R.Weron (2000) "Mechanizmy finansowe w elektroenergetyce: Rynek terminowy i strategie zarządzania ryzykiem", Rynek Terminowy 7, 27-36.
  16. R.Weron, S. Staśkiewicz, P. Talar (2000) "Zastosowanie VaR na rynku energii", Rynek Terminowy 9, 66-69.

1999

  1. T.Garlinski, R.Weron (1999) "A short history of the VOLAX or how we tried to trade implied volatility", Rynek Terminowy 6/99 (in Polish).
  2. T.Garlinski, R.Weron (1999) "Eurex - exchange of the future", Rynek Terminowy 5/99, 81-86 (in Polish).
  3. A.Janicki (1999) "Approximation of finite dimensional distributions for stochastic integrals driven by alpha-stable Levy motion", Appl. Math. 25, 473-488.
  4. A.Jurlewicz, K.Weron (1999) "A general probabilistic approach to the universal relaxation response of complex systems", Cell. Molec.Biol.Letters 4, 55-86. Full text PDF (4575 KB)
  5. J.Malko, A.Weron (1999) "A proposition of introducing an electric energy market in Poland", Rynek Terminowy 5/99, 40-46 (in Polish).
  6. Sz.Mercik, R.Weron (1999) "Scaling in currency exchange: A Conditionally Exponential Decay approach", Physica A 267, 239-250. Full text PDF (169 KB)
  7. Z.Michna (1999) "On tail probabilities and first passage times for fractional Brownian motion", Math. Met. Oper. Res. 49, 335-354.
  8. S.T.Rachev, A.Weron, R.Weron (1999) "CED Model for Asset Returns and Fractal Market Hypothesis", Mathematical and Computer Modelling 29, 23-36. Full text PDF (748 KB)
  9. P. Sztuba, A.Weron (1999) "Numeric methods in financial modelling: calibration of the HJM model", Rynek Terminowy 5/99, 124-126 (in Polish).
  10. P. Sztuba (1999) "Pricing options on emerging markets", Proceedings of the Central European Conference: Financial Markets and Strategies for Regional Developments in the Face on European Integration, Oct. 1-4, 1998, Nowy Sacz, WSB-NLU.
  11. A.Weron, L.J.Wojakowski (1999) "Numeric methods in financial modelling: the Monte-Carlo method", Rynek Terminowy 4/99, 114-116 (in Polish).
  12. A.Weron, Sz.Mercik, R.Weron (1999) "Origins of the scaling behaviour in the dynamics of financial data", Physica A 264, 562-569. Full text PDF (147 KB)

1998

  1. K.Burnecki, J. Rosinski, A.Weron (1998) "Spectral representation and structure of self-similar processes", in I.Karatzas, B.Rajput and M.Taqqu eds., Stochastic Processes & Related Topics (Birhäuser, Boston), 1-14. Full text PS ZIP (466 KB)
  2. K.Debicki, Z.Michna, T.Rolski (1998) "On the supremum from Gaussian processes over infinite horizon", Prob. and Math. Stat. 18, 83-100.
  3. A.Jurlewicz (1998) "Relaxation phenomenon as a compound Bernoulli scheme", Dielectric and Related Phenomena, A.Wlochowicz, J.Ulanski, eds., SPIE Proceedings Series vol. 37DP. Full text PDF (1870 KB)
  4. K.Kosmulski, A.Jurlewicz (1998) "Numerical investigations of relaxing fractal systems", Dielectric and Related Phenomena, A.Wlochowicz, J.Ulanski, eds., SPIE Proceedings Series vol. 37DP. Full text PDF (1840 KB)
  5. Z.Michna (1998) "Self-similar processes in collective risk theory", J. Appl. Math. and Stoch. Analysis 11, 429-448.

1997

  1. K.Burnecki, M.Maejima, A.Weron (1997) "The Lamperti transformation for self-similar processes", Yokohama Math. J. 44, 25-42. Full text PDF (163 KB)
  2. H.Furrer, Z.Michna, A.Weron (1997) "Stable Levy motion approximation in collective risk theory", Insurance: Mathematics and Economisc 20, 97-114.
  3. A.Janicki, W.A.Woyczynski (1997) "Hausdorff dimension of regular points in stochastic Burgers' flows with Levy alpha-stable initial data", J. Stat. Physics. 86, 277-299.
  4. A.Janicki (1997) "On geometric structures of solutions of Burgers equation", Wiadomosci Matematyczne 32, 75-94 (in Polish).
  5. A.Janicki, I.Popova, P.H.Rithken, W.A.Woyczynski (1997) "Option pricing bounds in an alpha-stable security market", Stochastic Models 13, 12-33.
  6. A.Jurlewicz, K.Kosmulski, K.Weron (1997) "Interconnection between Havriliak-Negami and the theoretical 'first passage' relaxation function", in Proceedings of the 3-rd International Conference on Dielectric and Related Phenomena. DRP'94, edited by A.Wlochowicz, Zakopane, Poland, 12-16 September 1994, Bielsko-Biala, 31-40. Full text PDF (1280 KB)
  7. M.Kotulski (1997) "The rate of convergence to a stable law for the random sum of iid random variables", in: Monte Carlo and Quasi-Monte Carlo Methods 1996, edited by H. Niederreiter, P. Hellekalek, G. Larcher, and P. Zinterhof, Lecture Notes in Statistics 127, (Springer Verlag, New York), 300-307.
  8. J.Nowicka (1997) "Asymtpotic behavior of the covariation and the codifference for ARMA models with stable innovations", Stochastic Models 13, 673-686.
  9. J.Nowicka, A.Weron (1997) "Measures of dependence for ARMA models with stable innovations", Annales UMCS, Section A (Mathematica) 51, 133-144.
  10. J.Nowicka (1997) "Parameter estimation for ARCH-type models with normal and stable innovations", Proceedings of the 16th International Conference on Multivariate Statistical Analysis, Lodz, 13-21.
  11. A.Rejman, A.Weron, R.Weron (1997) "Some option pricing proposals: A comparison under the generalized hyperbolic model", Stochastic Models 13, 867-885.
  12. K.Weron, M.Kotulski (1997) "On the equivalence of the parallel channel and the correlated cluster relaxation models", J. Stat. Phys. 88, 1241-1256.

1996

  1. A.Janicki, Z.Michna, A.Weron (1996) "Approximation of stochastic differential equations driven by alpha-stable Levy motion", Applicationes Mathematicae 24, 149-168.
  2. A.Jurlewicz, A.Weron, K.Weron (1996) "Asymptotic behavior of stochastic systems with conditionally exponential decay property", Applicationes Mathematicae 23, 379-394. Full text PDF (232 KB)
  3. M.Kotulski, K.Weron (1996) "Random Walk Approach to Relaxation in Disordered Systems", in: Athens Conference on Applied Probability and Time Series Analysis. Volume I: Applied Probability", C. C. Heyde, Yu. V. Prohorov, R. Pyke, and S. T. Rachev, eds., Lecture Notes in Statistics 114 (Springer, New York), 379-388.
  4. A.Weron, R.Weron (1996) "Fischer Black and financial mathematics", Wiadomosci Matematyczne 32, 51-74 (in Polish).
  5. K.Weron, M.Kotulski (1996) "On the Cole-Cole Relaxation Function and Related Mittag-Leffler Distribution", Physica A 232, 180-188.
  6. R.Weron (1996) "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables", Statist. Probab. Lett. 28, 165-171. Full text PDF (250 KB)

1995

  1. S.Cambanis, K.Podgorski, A.Weron (1995) "Chaotic properties of infinitely divisible processes", Studia Math. 115, 109-127.
  2. A.Gross, A.Weron (1995) "On measure preserving transformations and doubly stationary symmetric stable processes", Studia Math. 114, 275-287.
  3. A.Janicki (1995) "Computer simulation of a nonlinear model for electrical circuits with stable noise", Appl. Math. 23, 95-105.
  4. A.Janicki, A.Weron (1995) "Computer simulation of attractors in stochastic models with alpha-stable noise", Math.& Comp. in Simulation 39, 9-19.
  5. A.Jurlewicz (1995) "Frequency-independent rules for the dielectric susceptibility derived from two form of self-similar dynamical behavior of dipolar systems", J. Stat. Phys. 79, 993-1003. Full text PDF (2190 KB)
  6. M.Kotulski (1995) "Asymptotic Behavior of Generalized Levy Walks", in Chaos - The Interplay between Stochastic and Deterministic Behaviour, edited by P. Garbaczewski, M. Wolf, and A. Weron, Lecture Notes in Physics Vol. 457 (Springer-Verlag, Berlin), 471-477.
  7. M.Kotulski (1995) "Asymptotic Distributions of the Continuous-Time Random Walks: A Probabilistic Approach", J. Stat. Phys. Vol. 81, 777-792.
  8. Z.Michna, I.Rychlik (1995) "The expected number of level crossings for certain symmetric stable prcesses", Stoch. Models 11, 1-20.
  9. A.Weron (1995) "Computer aided modeling and simulation of electrical circuits with stable noise", Applicationes Mathematicae 23, 83-93.
  10. A.Weron, R.Weron (1995) "Computer simulation of Levy stable variables and processes", Lecture Notes in Physics 457, 379-392. Full text PS ZIP (119 KB)
  11. A.Weron, K.Weron, W.A.Woyczynski (1995) "Relaxation function in dipolar materials", J. Stat. Phys. 78, 1027-1038.
  12. K.Weron, K.Kosmulski, A.Jurlewicz, Sz.Mercik (1995) "Levy-stable and extreme value distributions in modelling of dynamical phenomena in complex physical systems", in Chaos - The Interplay between Stochastic and Deterministic Behaviour, P.Garbaczewski, A.Weron and M.Wolf eds., Lecture Notes in Physics 457 (Springer-Verlag, Berlin), 545-558. Full text PDF (1770 KB)

Research reports:

2018, 2006, 2005, 2004, 2003, 2002-1995

2018

  1. K.Burnecki, M.Teuerle, A.Wilkowska (2018) "Ruin probability for the insurer-reinsurer model for exponential claims", HSC Preprint, Wrocław University of Science and Technology. Full text PDF (219 KB)

2006

  1. Sz. Borak (2006) "Sz. Borak, W. Härdle, S. Trück, R.Weron (2006) Convenience yields for CO2 emission allowance futures contracts", SFB 649 Discussion Paper 2006-076. Full text PDF (1028 KB)

2005

  1. A. Chernobai, K. Burnecki, S. Rachev, S. Trueck, R.Weron (2005) "Modelling catastrophe claims with left-truncated severity distributions (extended version)", Research Report HSC/05/1, Wroclaw University of Technology. Full text PDF (330 KB)
  2. R.Weron (2005) "Heavy tails and electricity prices", Research Report HSC/05/2, Wroclaw University of Technology. Full text PDF (710 KB)
  3. Sz. Borak, R.Weron, W. Härdle (2005) "Stable distributions", SFB 649 Discussion Paper 2005-008. Full text PDF (628 KB)
  4. A. Wyłomańska , R.Weron, W. Härdle (2005) "Description of the spectral measures for periodically correlated solutions of PARMA sequences", Research Report HSC/05/3, Wroclaw University of Technology. Full text PDF ( KB)

2004

  1. E. Broszkiewicz-Suwaj , A. Wyłomańska (2004) "Periodic correlation - integration and cointegration", Research Report HSC/04/4, Wroclaw University of Technology. Full text PDF (307 KB)
  2. K.Burnecki, J.Nowicka-Zagrajek , A.Weron (2004) "Pure risk premiums under deductibles. A quantitative management in actuarial practice", Research Report HSC/04/5, Wroclaw University of Technology. Full text PDF (401 KB)
  3. B. Stawiarski (2004) "Wyznaczanie optymalnego momentu wykonania warrantów amerykańskich na kontrakty futures na indeks WIG20", Research Report HSC/04/1, Wroclaw University of Technology. Full text PDF (507 KB)
  4. R.Weron (2004) "Power markets in Poland and worldwide", Research Report HSC/04/2, Wroclaw University of Technology. Full text PDF (320 KB)
  5. R.Weron, S. Wójcik (2004) "Principal Components Analysis in implied volatility modeling", Research Report HSC/04/3, Wroclaw University of Technology. Full text PDF (380 KB)
  6. A. Wyłomańska (2004) "Asymptotic behaviour of measures of dependence for ARMA(1,2) models with stable innovations. Stationary and non-stationary coefficients", Research Report HSC/04/6, Wroclaw University of Technology. Full text PDF (253 KB)

2003

  1. E. Broszkiewicz-Suwaj (2003) "Methods for determining the presence of periodic correlation based on the bootstrap methodology", Research Report HSC/03/2, Wroclaw University of Technology. Full text PDF (170 KB)
  2. K.Burnecki, P. Miśta, A.Weron (2003) "A new De Vylder type approximation of the ruin probability in infinite time", Research Report HSC/03/5, Wroclaw University of Technology. Full text PDF (259 KB)
  3. K.Burnecki, W. Härdle, R.Weron (2003) "An Introduction to Simulation of Risk Processes", Research Report HSC/03/4, Wroclaw University of Technology. Full text PDF (215 KB)
  4. A.Weron, A. Wyłomańska (2003) "On ARMA(1,q) models with bounded and\par periodically correalted solutions", Research Report HSC/03/3, Wroclaw University of Technology. Full text PDF (201 KB)
  5. R.Weron (2003) "Pricing Asian options in the Nord Pool electricity market", Research Report HSC/03/1, Wroclaw University of Technology.

2002-1995

  1. K.Burnecki, A.Marciniuk, A.Weron (2002) "On annuities under random rates of interest", Research Report HSC/02/1, Wroclaw University of Technology. Full text PDF (196 KB)
  2. K.Burnecki (1999) "Weak convergence of the risk process to H-ss si processes", Research Report HSC/99/2, Wroclaw University of Technology.
  3. W. Kowalczyk, R.Weron (1995) "Analysis of ROBECO data by Neural Networks", Research Report HSC/95/2, Wroclaw University of Technology. Full text PDF (142 KB)
  4. Sz.Mercik, R.Weron (2002) "Origins of scaling in FX markets", Munich Personal RePEc Archive MPRA Paper No. 2294. Prepared as chapter 12 for 'International Finance from Macroeconomics to Econophysics', ed. S. Da Silva, Nova Publishers - publication cancelled by the publisher in 2007. Full text PDF (322 KB)
  5. K. Sznajd-Weron, R.Weron (1997) "Evolution in a changing environment", Research Report HSC/97/1, Wroclaw University of Technology. Full text PDF (222 KB)
  6. R.Weron (1996) "Correction to: On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables", Research Report HSC/96/1, Wroclaw University of Technology. Full text PDF (110 KB)
  7. R.Weron (1995) "Performance of the estimators of stable law parameters", Research Report HSC/95/1, Wroclaw University of Technology. Full text PDF (260 KB)
  8. R.Weron (1999) "Pricing options on dividend paying instruments under the generalized hyperbolic model", Research Report HSC/99/1, Wroclaw University of Technology. Full text PDF (217 KB)

- denotes support from the KBN Grant no. PBZ-KBN 016/P03/99