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MaPhySto
Centre for Mathematical Physics and Stochastics
Department of Mathematical Sciences, University of Aarhus

Funded by The Danish National Research Foundation

Publications from the Centre in 2001

Most of the publications mentioned below may be down-loaded in various formats (TeX-DVI, Postscript, PDF). All titles can be ordered from maphysto@imf.au.dk.

Research Reports (ISSN 1398-2699 (printed version), ISSN 1398-599X (on-line version))
For fast communication of new results obtained by researchers affiliated to the Centre.
2001-1 (January 2001)
Selfdecomposability and Lévy Processes in Free Probability by Ole E. Barndorff-Nielsen, S. Thorbjørnsen.
2001-2 (January 2001)
Discrete approximations to integrals over unparametrized paths by Bergfinnur Durhuus, Thordur Jonsson.
2001-3 (January 2001)
Noncommutative Scalar Solitons: Existence and Nonexistence by Bergfinnur Durhuus, Thordur Jonsson, Ryszard Nest.
2001-4 (February 2001)
The Ionization Conjecture in Hartree-Fock Theory by Jan Philip Solovej.
2001-5 (February 2001)
A comparison of spatial point process models in epidemiological applications by Jesper Møller.
2001-6 (February 2001)
Bayesian image analysis with coloured Voronoi tessellations and a view to applications in reservoir modelling by Jesper Møller, Øivind Skare.
2001-7 (February 2001)
Valuation of Asian Basket Options with Quasi-Monte Carlo Techniques and Singular Value Decomposition by Fred Espen Benth, Lars Oswald Dahl.
2001-8 (March 2001)
A continuous parametric shape model by Asger Hobolth, Eva B. Vedel Jensen, Jan Pedersen.
2001-9 (March 2001)
A Stochastic Geometry Model for Functional Magnetic Resonance Images by Niels Væver Hartvig.
2001-10 (March 2001)
Merton's Portfolio Optimization Problem in a Black & Scholes Market with non-Gaussian Stochastic Volatility of Ornstein-Uhlenbeck Type by Fred E. Benth, Kenneth H. Karlsen, and Kristin Reikvam.
2001-11 (March 2001)
Small $Delta$-optimal martingale estimating functions for discretely observed diffusions: a simulation study by Martin Jacobsen.
2001-12 (March 2001)
Asymptotic absolute continuity for perturbed time-dependent quadratic Hamiltonians by Erik Skibsted.
2001-13 (April 2001)
A deformable template model, with special reference to elliptical templates by Asger Hobolth, Eva B. Vedel Jensen, Jan Pedersen.
2001-14 (June 2001)
Integrated OU processes and non-Gaussian OU-based stochastic volatility models by Ole E. Barndorff-Nielsen, Neil Shephard.
2001-15 (June 2001)
Normal modified stable processes by Ole E. Barndorff-Nielsen, Neil Shephard.
2001-16 (July 2001)
Return to equilibrium for Pauli-Fierz systems by Jan Derezinski, Vojkan Jaksic.
2001-17 (July 2001)
Long-range scattering of three-body quantum systems, I by Erik Skibsted.
2001-18 (July 2001)
Long-range scattering of three-body quantum systems, II by Erik Skibsted.
2001-19 (July 2001)
On Quantum Statistical Inference by Ole E. Barndorff-Nielsen, Richard D. Gill, Peter E. Jupp.
2001-20 (July 2001)
Higher order variation and stochastic volatility models by Ole E. Barndorff-Nielsen, Neil Shephard.
2001-21 (July 2001)
Hyperbolic Processes in Finance by Bo Martin Bibby, Michael Sørensen.
2001-22 (July 2001)
Bayesian inversion of geoelectrical resistivity data by Kim E. Andersen, Stephen P. Brooks, Martin Bøgsted Hansen.
2001-23 (August 2001)
General Framework for the Behaviour of Continuously Observed Open Quantum Systems by Ole E. Barndorff-Nielsen, Elena R. Loubenets.
2001-24 (August 2001)
A String Bit Hamiltonian Approach to Two-Dimensional Quantum Gravity by Bergfinnur Durhuus, C.-W.H. Lee.
2001-25 (August 2001)
Statistical inference for transformation inhomogeneous point processes by Eva B. Vedel Jensen, Linda Stougaard Nielsen.
2001-26 (August 2001)
Examples of multivariate diffusions: time-reversibility; a Cox-Ingersoll-Ross type process by Martin Jacobsen.
2001-27 (August 2001)
Limit at Zero of the Brownian First-Passage Density by Goran Peskir.
2001-28 (August 2001)
When is a moving average a semimartingale? by Alexander Cherny.
2001-29 (September 2001)
On a Semilinear Black and Scholes Partial Differential Equation for Valuing American Options. (Part I: Viscosity Solutions and Well-Posedness) by Fred E. Benth, Kenneth H. Karlsen, and Kristin Reikvam.
2001-30 (September 2001)
On a Semilinear Black and Scholes Partial Differential Equation for Valuing American Options. (Part II: Approximate Solutions and Convergence) by Fred E. Benth, Kenneth H. Karlsen, and Kristin Reikvam.
2001-31 (October 2001)
A note on design-based versus model-based variance estimation in stereology by Asger Hobolth, Eva B. Vedel Jensen.
2001-32 (October 2001)
The Existence and Stability of Noncommutative Scalar Solitons by Bergfinnur Durhuus, Thordur Jonsson, Ryszard Nest.
2001-33 (October 2001)
No-arbitrage and Completeness for the Linear and Exponential Models based on Lévy Processes by A. S. Cherny.
2001-34 (October 2001)
Spatial Jump Processes and Perfect Simulation by Kasper K. Berthelsen, Jesper Møller.
2001-35 (October 2001)
Simulation-based Inference for Spatial Point Processes by Jesper Møller, Rasmus P. Waagepetersen.
2001-36 (October 2001)
On Integral Equations Arising in the First-Passage Problem for Brownian Motion by Goran Peskir.
2001-37 (October 2001)
The recovery problem for time-changed Lévy processes by Matthias Winkel.
2001-38 (November 2001)
Statistical inference for Cox processes by Jesper Møller, Rasmus P. Waagepetersen.
2001-39 (November 2001)
Lévy Laws and Processes in Free Probability by Ole E. Barndorff-Nielsen, Steen Thorbjørnsen.
2001-40 (November 2001)
A primer on perfect simulation for spatial point processes by Kasper K. Berthelsen, Jesper Møller.
2001-41 (November 2001)
Electronic foreign exchange markets and level passage events of multivariate subordinators by Matthias Winkel.
2001-42 (December 2001)
Curvature and Einstein Equation for the Jacobi Group Manifold by Erik Balslev, Alexei Venkov.
2001-43 (December 2001)
Lévy processes and convolution semigroups with parameter in a cone and their subordination by Jan Pedersen, Ken-Iti Sato.
2001-44 (December 2001)
On the Oriental Analysis of Boolean Fibres from Digital Images by Eva B. Vedel Jensen, Dominique Jeulin, Salme Kärkkäinen.
2001-45 (December 2001)
Perturbation theory of W*-dynamics, Liouvilleans and KMS-States by J. Derezinski, V. Jaksic, C.-A. Pillet.
2001-46 (December 2001)
Maximum Process Problems in Optimal Control Theory by Goran Peskir.

Lecture Notes Series
This series contains conference proceedings, lecture notes from summer schools/workshops etc.

No. 10 (June 2001)
Statistical Mechanics of Disordered Systems by Anton Bovier.

Miscellanea (ISSN 1398-5957 (printed version), ISSN 1398-5981 (on-line version))
Various publications (raw course material, mini-proceedings, etc.)

No. 20 (May 2001)
Mini-proceedings: Workshop on Stochastic Partial Differential Equations (Statistical Issues and Applications) by Marianne Huebner, Michael Sørensen.
No. 21 (June 2001)
Mini-proceedings: Second MaPhySto Workshop on Inverse Problems (Inverse Problems from a Statistical Perspective) by Jens Ledet Jensen and Steffen Lilholt Lauritzen (eds.), Martin B. Hansen.


MaPhySto News (ISSN 1398-5965 (printed version), ISSN 1398-5973 (on-line version))
The Centre distributes bi-annually a short news-letter about the Centre and its activities.


Questions or comments to the contents of this document should be directed to maphysto@maphysto.dk.