Home page of S. Ramasubramanian
Statistics and Mathematics Unit
Indian Statistical Institute
8th Mile, Mysore Road
Bangalore - 560 059
Phone: 080-28483002 (Ext.476)
Email: ram at isibang dot ac dot in
Ph.D., Indian Statistical Institute, 1982.
Title of Ph:D: dissertation : Recurrence of Diffusions
Thesis advisor : Professor K.R. Parthasarathy,
Indian Statistical Institute; New Delhi
Stochastic differential equations, Diffusion processes, Reflected processes,
Skorokhod problem, Insurance models.
- Lectures on Insurance Models. Texts and Readings in Mathematics,
Vol. 54, Hindustan Book Agency, New Delhi, 2009.
(Edited jointly with M.Delampady and T.Krishnan): Probability and
Statistics. Universities Press, Hyderabad, 2001.
- (Jointly with Offer Kella): Asymptotic Irrelevance of Initial Conditions for Skorohod Reflection Mapping on the Nonnegative Orthant.
To appear in Mathematics of Operations Research
- A multidimensional ruin problem. To appear in Communications on
Stochastic Analysis, Special Issue in honour of Prof. K.R. Parthasarathy
- Multidimensional insurance model with risk reducing treaty. Stochas-
tic Models. 27 (2011) 363 - 387.
- Multidimensional insurance models. Bulletin of Kerala Mathematics
Association, Special Issue (Guest ed. S.R.S.Varadhan), October 2009,
pp. 129 - 141.
- (Expository): Large deviations: an introduction to 2007 Abel prize.
Proc. Indian Acad. Sci. (Math. Sci.) 118 (2008) 161 - 182.
- A d-person differential game with state space constraints. Applied
Mathematics and Optimization 56 (2007) 312 - 342.
- (Expository): On a Stochastic Model in Insurance. Resonance 11
(2006), no.10, pp. 49 - 68.
- An insurance network: Nash equilibrium. Insurance: Mathematics
and Economics 38 (2006) 374 - 390.
- (Expository): Brownian Motion. In Current Trends in Mathematics,
pp. 76 - 84. Dept. of Mathematics, Madras Christian College, Chennai, 2003.
- (Expository): Some aspects of Large Deviations. In Informal lecture
notes of NBHM sponsored workshop on Partial Differential Equations,
Viscosity Solutions and Applications, pp. 100 - 121. Indian Institute
of Science, Bangalore, 2003.
- (Expository): Diffusions and the Martingale problem of Stroock and
Varadhan. In Connected at Infinity: a selection of Mathematics by
Indians (ed. R.Bhatia), Texts and Readings in Mathematics, Vol. 25,
pp. 105 - 129. Hindustan Book Agency, New Delhi, 2003.
- (Jointly with Amites Dasgupta): Transition density of a re
ected symmetric stable Levy process in an orthant. In Probability, Statistics
and their Applications: Papers in honor of Rabi Bhattacharya (ed.
K.B.Athreya, M.Majumdar, M.Puri and E.Waymire), IMS Lecture
Notes - Monograph series, Vol. 41, pp. 117 - 131. Institute of Mathematical Statistics, Beachwood, Ohio, 2003.
- (Jointly with Amites Dasgupta): On refleected symmetric stable Levy
processes. In Advances in Stochastic Modelling (ed. J.R.Artelejo and
A.Krishnamoorthy) pp. 23 - 27. Notable Publications Inc., New Jersey, 2002.
- On reflected backward stochastic differential equations. Calcutta Statistical Association Bulletin 52 (2002),
Special 4th Triennial Proceedings Volume (ed. Arijit Chaudhuri and Malay Ghosh) pp. 251 - 260.
- Reflected backward stochastic differential equations in an orthant.
Proc. Indian Acad. Sci. (Math. Sci.) 112 (2002) 347 - 360.
- A Skorokhod problem with generalized time and space dependencies.
In Advances in Probability and Stochastic Processes
(ed. A.Krishnamoorthy, N.Raju and V.Ramaswami) pp. 157 - 166.
Notable Publications Inc., New Jersey, 2001.
- Reflecting Brownian motion in a Lipschitz domain and a conditional
gauge theorem. Sankhya Ser.A 63 (2001) 178 - 193.
- A Subsidy - Surplus Model and the Skorokhod problem in an Orthant.
Mathematics of Operations Research 25 (2000) 509 - 538.
- (Expository): On the Stroock-Varadhan theory of diffusions. Current
Science 78 (2000) 1155 - 1156.
- (Jointly with S.Balaji): Passage time moments for multidimensional
diffusions. Journal of Applied Probability 37 (2000) 246 - 251.
- (Jointly with S.Balaji): Asymptotics of reflecting diffusions in an orthant. In Proc. International Conference on Stochastic processes,
Cochin, Dec.1996, (ed. A.Krishnamoorthy) pp. 57 - 81. Dept. of
Mathematics, Cochin University of Science and Technology, Cochin,
- (Expository): (Jointly with S.Balaji): Reflecting diffusions in an orthant: an introduction. Differential Equations and Dynamical Systems
6 (1998) 25 - 36.
- (Jointly with S.Balaji): Reflecting diffusions in the quadrant: recurrence and transience. Differential Equations and Dynamical Systems
6 (1998) 9 - 24.
- (Jointly with S.Balaji): Recurrence and transience of diffusions in a
half space. Bernoulli 3 (1997) 97 - 119.
- (Expository): The normal distribution I, II. Resonance 2 (1997), no.6,
pp. 15 - 24; no.7, pp. 27 - 37.
- Transition densities of reflecting diffusions. Sankhya Ser.A 58 (1996)
347 - 381.
- (Expository): Reflecting Diffusions. Current Science 69 (1995) 231 - 236.
- (Jointly with S.Balaji): Reflecting Brownian motion in a quadrant: a
survey. In Proc. Third Ramanujan Symposium on Stochastic Processes
and their applications, Univ. of Madras, Jan. 1994, pp. 59 - 70. New
Age International Ltd., New Delhi, 1995.
- On the gauge for the Neumann problem in the half space. Sankhya
Ser.A 56 (1994) 379 - 384.
- (Jointly with G.Kallianpur, J.Xiong and G.Hardy): The existence and
uniqueness of solutions of nuclear space valued stochastic differential equations driven by Poisson random measures. Stochastics and
Stochastics Reports 50 (1994) 85 - 122.
- Stochastic solutions of differential equations. In Proc. Mahalanobis
Birth Centenary Symposium on Probability and Statistics, Kerala 1993,
pp. 7 - 28.
- On the gauge for the third boundary value problem. In Stochastic
Processes: a festschrift in honour of Gopinath Kallianpur (edited by
S.Cambanis, J.K.Ghosh, R.L.Karandikar and P.K.Sen) pp. 285 - 289.
Springer, New York, 1993.
- Diffusions and the Neumann problem in the half space. Sankhya Ser.A
54 (1992) 351 - 378.
- Hitting of submanifolds by diffusions. Probability Theory and Related
Fields 78 (1988) 149 - 163; addendum, ibid 84 (1990) 279.
- (Jointly with R.N.Bhattacharya): On the central limit theorem for
diffusions with almost periodic coeffients. Sankhya Ser.A 50 (1988)
9 - 25.
- Hitting a boundary point by diffusions in the closed half space. Journal
of Multivariate Analysis 20 (1986) 143 - 154.
- A characterization of the normal distribution. Sankhya Ser.A 47 (1985)
410 - 414.
- Recurrence of projections of diffusions. Sankhya Ser.A 45 (1983) 20 - 31.
- (Jointly with R.N.Bhattacharya): Recurrence and ergodicity of diffusions. Journal of Multivariate Analysis 12 (1982) 95 - 122.
- An elementary proof of Girsanov's formula. Sankhya Ser.A 41 (1979)
263 - 270.
- Review of Point Process Theory and Applications: Marked Point and
Piecewise Deterministic Processes by Martin Jacobsen. Sankhya 68
(2006) 359 - 360.
- Review of Markov Processes from K .Ito's Perspective by Daniel W.
Stroock. Sankhya 67 (2005) 133 - 136.
- Review of A Concise Introduction to the Theory of Integration by
Daniel W.Stroock. Current Science 78 (2000) 744.
Unpublished expository notes
- Large deviations: introductory notes. Enlarged version of a series of
lectures given at a Summer School on Probability and Applications
held at Kerala School of Mathematics, Kozhikode during May - June
- Poisson process and insurance: an introduction. Prepared for a series
of lectures given at a Refresher course in Applied Stochastic Processes
sponsored by the Indian Academy of Sciences, Bangalore, held at the
Indian Statistical Institute, New Delhi in Dec. 2005.
- Stochastic differential equations with constant dispersion.
a series of lectures given at a Refresher course in Probability, Stochas-
tic Processes and Applications sponsored by the Indian Academy of
Sciences, Bangalore, held at the Dept. of Mathematics, Cochin University of Science and Technology, Kochi in Sept. - Oct., 2005.
- Some connections between S.D.E.'s and P.D.E.'s: an exposition. Prepared for a lecture given at a Discussion Meeting
on Stochastic Differential Equations sponsored by the Indian Academy of Sciences,
Bangalore and the Indian Statistical Institute in June 1991.
- Elected a Fellow of the Indian Academy of Sciences, Bangalore with
effect from January 2002.
- Serving on the editorial board of Sankhya since October 1999.
- Served on the editorial board of Resonance during January 2003 to
- Served as a member of the Science Education Panel of the Indian
Academy of Sciences, Bangalore, during 2004 - 2006.
- Delivered Prof. Wazir Hasan Abdi Memorial Lecture at the Department of Mathematics, Cochin University of Science and Technology,
Kochi in October 2005.
- Delivered Prof. M.N.Gopalan Endowment Lecture at the 22nd Annual Conference of Ramanujan Mathematical Society held at National
Institute of Technology, Surathkal, Karnataka in June 2007.
- Delivered Prof. B.G.Raghavendra Memorial Lecture at the Department of Statistics, University of Mysore in April 2009.