Publications from MaPhySto

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.).