MaPhySto
The Danish National Research Foundation:
Network in Mathematical Physics and Stochastics

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Funded by The Danish National Research Foundation

Publications from the Network in 2004

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.

MaPhySto is publishing the following series

• 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 Network.
• Lecture Notes Series (ISSN 1398-2702 (printed version), ISSN 1399-2538 (on-line version)) This series contains conference proceedings, lecture notes from summer schools/workshops etc.
• Miscellanea (ISSN 1398-5957 (printed version), ISSN 1398-5981 (on-line version)) Various publications (raw course material, mini-proceedings, etc.)

Recent 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 Network.

2004-1 (January 2004)

An Efficient Markov Chain Monte Carlo Method for Distributions with Intractable Normalising Constants by K. K. Berthelsen, Jesper Møller , A. N. Pettitt, R. W. Reeves.

2004-2 (January 2004)

The Wiener Disorder Problem with Finite Horizon by P. V. Gapeev, Goran Peskir .

2004-3 (February 2004)

Improved Algorithms for Rare Event Simulation with Heavy Tails by Søren Asmussen , Dirk P. Kroese.

2004-4 (February 2004)

A Parsimonious and Universal Description of Turbulent Velocity Increments by Ole E. Barndorff-Nielsen , Preben Blæsild, Jürgen Schmiegel.

2004-5 (February 2004)

Towards a Diagrammatic Derivation of the Veneziano-Yankielowicz-Taylor Superpotential by Jan Ambjørn , R.A. Janik.

2004-6 (February 2004)

Renormalization of 3D Quantum Gravity from Matrix Models by Jan Ambjørn , J. Jurkiewicz, R. Loll:.

2004-7 (February 2004)

3D Lorentzian Quantum Gravity from the Asymmetric ABAB Matrix Model by Jan Ambjørn , Jezzy Jurkiewicz, Renate Loll, Graziano Vernizzi:.

2004-8 (February 2004)

The Decay of Quantum $D$-branes by Jan Ambjørn , Romuald A. Janik.

2004-9 (February 2004)

Large Deviations and Ruin Probabilities for Solutions to Stochastic Recurrence Equations with Heavy-Tailed Innovations by Dimitrios G. Konstantinides, Thomas Mikosch .

2004-10 (March 2004)

Generalised Shot Noise Cox Processes by Jesper Møller , Giovanni Luca Torrisi.

2004-11 (March 2004)

Stable Limits of Martingale Transforms with Application to the Estimation of Garch Parameters by Thomas Mikosch , Daniel Straumann.

2004-12 (March 2004)

A rigorous proof for the Landauer-B üttiker formula by Horia Cornean , Arne Jensen , V. Moldoveanu.

2004-13 (May 2004)

A Change-of-Variable Formula with Local Time on Surfaces by Goran Peskir .

2004-14 (June 2004)

Terminal distributions of skipfree Markov additive processes with absorbtion by Søren Asmussen .

2004-15 (June 2004)

Moment Formulas for the Quasi-Nilpotent DT-Operator by Lars Aagaard, Uffe Haagerup .

2004-16 (July 2004)

Perfect Simulation of Hawkes Processes by Jesper Møller , Jakob G. Rasmussen.

2004-17 (August 2004)

Noncommutative Waves have Infinite Propagation Speed by Bergfinnur Durhuus , Thordur Jonsson.

2004-18 (August 2004)

New criteria to identify spectrum by Arne Jensen , M. Krishna.

2004-19 (September 2004)

Estimating Functions for Discretely Sampled Diffusion-Type Models by Bo Martin Bibby, Martin Jacobsen , Michael Sørensen .

2004-20 (October 2004)

Activity Rates with Very Heavy Tails by Thomas Mikosch , Sidney Resnick.

2004-21 (October 2004)

How to model multivariate extremes if one must? by Thomas Mikosch .

2004-22 (October 2004)

Stock market risk-return inference. An unconditional non-parametric approach by Thomas Mikosch , Cătălin Stărică.

2004-23 (October 2004)

Bayesian Analysis of Markov Point Processes by Kasper K. Berthelsen, Jesper Møller .

2004-24 (November 2004)

Performance analysis with truncated heavy-tailed distributions by Søren Asmussen , Mats Pihlsgård.

2004-25 (November 2004)

Bicontinuity of the Upsilon Transformations by Ole E. Barndorff-Nielsen , Steen Thorbjørnsen .

2004-26 (November 2004)

Regularising Mappings of Lévy Measures by Ole E. Barndorff-Nielsen , Steen Thorbjørnsen .

2004-27 (November 2004)

Functional large deviations for multivariate regularly varying random walks by Henrik Hult, Filip Lindskog, Thomas Mikosch .

2004-28 (December 2004)

Approximate Simulation of Hawkes Processes by Jesper Møller , Jakob G. Rasmussen.

2004-29 (December 2004)

Pseudo-likelihood analysis of context-dependent codon substitution models by Ole F. Christensen, Asger Hobolth, Jens Ledet Jensen .

2004-30 (December 2004)

Gaussian Radial Growth by Kristjana Ýr Jónsdóttir, Eva B. Vedel Jensen .

2004-31 (December 2004)

The Fermi Golden Rule at Thresholds by Arne Jensen , Gheorghe Nenciu.

2004-32 (December 2004)

A Random Matrix Approach to the Lack of Projections in $C^*_{\mathrm{red}}(\mathbb{F}_2)$ by Uffe Haagerup , Hanne Schultz, Steen Thorbjørnsen .

Lecture Notes Series (ISSN 1398-2702 (printed version), ISSN 1399-2538 (on-line version))

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

2004-14 (May 2004)

Empirical and Partial-sum Processes; Revisited as Random Measure Processes by Peter Gaenssler, Daniel Rost.

Miscellanea (ISSN 1398-5957 (printed version), ISSN 1398-5981 (on-line version))

Various publications (raw course material, mini-proceedings, etc.)

2004-26 (March 2004)

Workshop on Dynamical Stochastic Modeling in Biology by Marianne Huebner and Michael Sørensen (eds.).

2004-25 (March 2004)

Symposium on Probability and Algorithms by Søren Asmussen (ed.).