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

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Funded by The Danish National Research Foundation

Ole E. Barndorff-Nielsen

You can contact Ole E. Barndorff-Nielsen by email on oebn@imf.au.dk.

Phone: (+45) 8942 3521.

Address: Department of Mathematical Sciences, Ny Munkegade Building 530, DK-8000 Aarhus C, Denmark.

Function(s): Scientific director.

Interests: Stochastics.

Publications: While affiliated to the Centre, Ole E. Barndorff-Nielsen has (co)-authored the following Centre publications (most recent first):

• Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics (April 2002)
• Realised power variation and stochastic volatility models (March 2002)
• Lévy Laws and Processes in Free Probability (November 2001)
• General Framework for the Behaviour of Continuously Observed Open Quantum Systems (August 2001) [J. Physics A: Math. Gen. 35, 565-588 (2002)]
• Higher order variation and stochastic volatility models (July 2001) [Submitted.]
• On Quantum Statistical Inference (July 2001) [Submitted.]
• Normal modified stable processes (June 2001) [Submitted.]
• Integrated OU processes and non-Gaussian OU-based stochastic volatility models (June 2001) [Submitted.]
• Selfdecomposability and Lévy Processes in Free Probability (January 2001) [Bernoulli 7 (2001). (To appear.)]
• Feller Processes of Normal Inverse Gaussian Type (December 2000) [Quantitative Finance 1 (2001), 318-331.]
• Multivariate Subordination, Selfdecomposability and Stability (July 2000) [Adv. Appl. Prob. 33, (2001), 160-187.]
• Multivariate Type $\mathcal{G}$ Distributions (July 2000) [Revised version to appear in Theory Prob. Its Appl. (2002)]
• Light, Atoms, and Singularities (May 2000) [Proceedings of Third Seminar on Stochastic Analysis, Random Fields and Applications. (To appear.)]
• Probability densities and Lévy densities (May 2000) [Submitted.]
• Modelling by Lévy Processes for Financial Econometrics (May 2000) [In O.E. Barndorff-Nielsen, T. Mikosch and S. Resnick (Eds.): Lévy Processes - Theory and Applications. Boston: Birkhauser. Pp. 283-318.]
• Markov jump processes with a singularity (November 1999) [Ann. Appl. Prob. 32 (2000), 779-799.]
• Laser Cooling and Stochastics (October 1999) [In M.C.M. de Gunst, C.A.J. Klaassen and A.W. van der Vaart (Eds.): State of the Art in Probability and Mathematical Statistics; Festschrift for Willem R. van Zwet. Lecture Notes - Monograph Series. Inst. Mathematical Statistics. (2000), 50-71.]
• Superposition of Ornstein-Uhlenbeck Type Processes (January 1999) [Theory Prob. Its Appl. 45 (2001)]
• Exact Distributional Results for Random Resistance Trees (September 1998) [Scand. J. Statist. 27 (2000), no. 1, 129--141]
• Incorporation of a Leverage Effect in a Stochastic Volatility Model (September 1998)
• An Example of Non-Attainability of Expected Quantum Information (August 1998) [J. Phys. A: Math. Gen. 33 (2000) 4481-4490]
• Stationary and selfsimilar processes driven by Lévy processes (April 1998) [Stochastic Process. Appl. 84 (1999), no. 2, 357--369]

If you (or your Institution) subscribes to MathSciNet you may look up publications printed in 1997 or later that has been reviewed in Math. Reviews, and that was authored by Barndorff-Nielsen, O.

You may also wish to see the BibTeX file for Ole E. Barndorff-Nielsen (covering appeared papers for the period 1997-2000).