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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 2002

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.
2002-1 (February 2002)
Geometric ergodicity of Metropolis-Hastings algorithms for conditional simulation in generalised linear mixed models by O.F. Christensen, Jesper Møller, R.P. Waagepetersen.
2002-2 (February 2002)
Perfect simulation and inference for spatial point processes by Kasper K. Berthelsen, Jesper Møller.
2002-3 (February 2002)
Bayesian analysis of log Gaussian Cox processes for disease mapping by Viktor Benes, Karel Bodlák, Jesper Møller, Rasmus Waagepetersen.
2002-4 (March 2002)
Inference for observations of integrated diffusion processes by Susanne Ditlevsen, Michael Sørensen.
2002-5 (March 2002)
Small diffusion asymptotics for discretely sampled stochastic differential equations by Michael Sørensen, Masayuki Uchida.
2002-6 (March 2002)
Realised power variation and stochastic volatility models by Ole E. Barndorff-Nielsen, Neil Shephard.
2002-7 (March 2002)
Quantum Scattering for Potentials Independent of |x|: Asymptotic Completeness for High and Low Energies by Ira Herbst, Erik Skibsted.
2002-8 (March 2002)
A Survey and Some Generalizations of Bessel Processes by Anja Göing-Jaeschke, Marc Yor.
2002-9 (March 2002)
An Extension of Seshadri´s Identities for Brownian Motion by Raouf Ghomrasni, Svend Erik Graversen.
2002-10 (April 2002)
A Clarification about Hitting Times Densities for Ornstein-Uhlenbeck Processes by Anja Göing-Jaeschke, Marc Yor.
2002-11 (April 2002)
Inhomogeneous Spatial Point Processes by Location Dependent Scaling by Ute Hahn, Eva B. Vedel Jensen, Marie-Colette Van Lieshout, Linda Stougaard Nielsen.
2002-12 (April 2002)
Perfect Independence and Stochastic Inequalities by Jørgen Hoffmann-Jørgensen.
2002-13 (April 2002)
The Moment Problem by Jørgen Hoffmann-Jørgensen.
2002-14 (April 2002)
Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics by Ole E. Barndorff-Nielsen, Neil Shephard.
2002-15 (April 2002)
Periodic Ornstein-Uhlenbeck Processes by Jan Pedersen.
2002-16 (April 2002)
Geometric Tomography and Local Stereology by R. J. Gardner, Eva B. Vedel Jensen, A. Volcic.
2002-17 (April 2002)
Estimation of the Directional Measure of Planar Random Sets by Digitization by Eva B. Vedel Jensen, Markus Kiderlen.
2002-18 (May 2002)
Shot noise Cox processes by Jesper Møller.
2002-19 (June 2002)
Positivity Theorem without Compactness Assumption by Rémi Léandre.
2002-20 (June 2002)
Positivity Theorem for a Stochastic Delay Equation on a Manifold by Rémi Léandre.
2002-21 (June 2002)
Markov Property and Operads by Rémi Léandre.
2002-22 (June 2002)
Martingales and the Distribution of the Time to Ruin by Martin Jacobsen.
2002-23 (June 2002)
Russian and American put options under exponential phase-type Lévy models by Sren Asmussen, Florin Avram, Martijn R. Pistorius.
2002-24 (June 2002)
DT-Operators and Decomposability of Voiculescu´s Circular Operator by Ken Dykema, Uffe Haagerup.
2002-25 (July 2002)
On time-reversibility and estimating functions for Markov processes by Mathieu Kessler, Michael Sørensen.
2002-26 (July 2002)
Spectral Theory of Time-Periodic Many-Body Systems by Jacob Schach Møller, Erik Skibsted.
2002-27 (July 2002)
On Nonlinear Integral Equations Arising in Problems of Optimal Stopping by J. L. Pedersen, Goran Peskir.
2002-28 (August 2002)
Multi-self-similar Markov processes on $\mathbb{R}^{n}_{+}$ and their Lamperti representations by Martin Jacobsen, Marc Yor.
2002-29 (August 2002)
Van Hove Hamiltonians (exactly solvable models of the infrared and ultraviolet problem) by Jan Derezinski.
2002-30 (September 2002)
Bayesian Analysis of Deformed Tessellation Models by Paul G. Blackwell, Jesper Møller.
2002-31 (September 2002)
Automorphism Fixed Points in the Moduli Space of Semistable Bundles by Jørgen Ellegaard Andersen, Jakob Grove.
2002-32 (September 2002)
Asymptotic Faithfulness of the Quantum SU(n) Representations of the Mapping Class Groups by Jørgen Ellegaard Andersen.
2002-33 (October 2002)
Comparative Study of First Touch Digitals: Normal Inverse Gaussian vs. Gaussian Modelling by Oleg Kudryavtsev, Sergei Levendorskii.
2002-34 (October 2002)
Directional Analysis of Digitized Planar Sets by Configuration Counts by Eva B. Vedel Jensen, M. Kiderlen.
2002-35 (October 2002)
A Change-of-Variable Formula with Local Time on Curves by Goran Peskir.
2002-36 (November 2002)
Spiraling attractors and quantum dynamics for a class of long-range magnetic fields by Horia D. Cornean, Ira Herbst, Erik Skibsted.
2002-37 (November 2002)
Transient properties of many-server queues and related QBD's by Sren Asmussen, Mats Pihlsgård.
2002-38 (November 2002)
A new coherent states approach to semiclassics which gives Scott's correction by Jan Philip Solovej, Wolfgang L. Spitzer.
2002-39 (December 2002)
The Nelson Model with Less Than Two Photons by A. Galtbayar, A. Jensen and K. Yajima.
2002-40 (December 2002)
Local time-decay of solutions to Schrödinger equations with time-periodic potentials by A. Galtbayar, A. Jensen, K. Yajima.
2002-41 (December 2002)
Corrections to Fluid Dynamics by R.F. Streater.
2002-42 (December 2002)
A discrete time model of investment under non-Gaussian shocks by Svetlana Boyarchenko, Sergei Levendorskii.
2002-43 (December 2002)
Pseudo-diffusions and Quadratic Term Structure Models by Sergei Levendorskii.
2002-44 (December 2002)
Pricing of the American Put Under Lévy Processes by Sergei Levendorskii.
2002-45 (December 2002)
A new application of random matrices: $Ext(Cred(F_2))$ is not a group by Uffe Haagerup, Steen Thorbjørnsen.
2002-46 (December 2002)
Local Time-Space Calculus and Extensions of Itô's Formula by R. Ghomrasni, Goran Peskir.
2002-47 (December 2002)
Solving Stochastic Jump Differential Equations by Pavel V. Gapeev.

Lecture Notes Series
This series contains conference proceedings, lecture notes from summer schools/workshops etc.
No. 11 (August 2002)
Lectures on Multiscale and Multiplicative Processes in Fluid Flows by Ed Waymire et al.
No. 12 (August 2002)
Long Range Dependence, Heavy Tails and Rare Events by Gennady Samorodnitsky.
No. 13 (September 2002)
Change of Time and Measure for Lévy Processes by A.S. Cherny and A.N. Shiryaev.

Miscellanea (ISSN 1398-5957 (printed version), ISSN 1398-5981 (on-line version))
Various publications (raw course material, mini-proceedings, etc.)
No. 22 (August 2002)
2nd MaPhySto Conference on Lévy Processes: Theory and Applications by Ole E. Barndorff-Nielsen (ed.).

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.