The Fascination of Probability, Statistics and their Applications

In Honour of Ole E. Barndorff-Nielsen

  • Mark Podolskij
  • Robert Stelzer
  • Steen Thorbjørnsen
  • Almut E. D. Veraart

Table of contents

  1. Front Matter
    Pages i-xviii
  2. Michael Sørensen
    Pages 1-13
  3. José Ulises Márquez, Jürgen Schmiegel
    Pages 29-52
  4. Per Aslak Mykland, Jianming Ye
    Pages 85-97
  5. Martin Drapatz, Alexander Lindner
    Pages 99-126
  6. Peter Tankov
    Pages 127-151
  7. Jorge M. Ramirez, Enirque A. Thomann, Edward C. Waymire
    Pages 191-207
  8. Bohan Chen, Carsten Chong, Claudia Klüppelberg
    Pages 209-229
  9. Victor Pérez-Abreu, Alfonso Rocha-Arteaga
    Pages 231-249
  10. Neil Shephard, Justin J. Yang
    Pages 251-281
  11. Thibault Jaisson, Mathieu Rosenbaum
    Pages 283-301
  12. Masayuki Uchida, Nakahiro Yoshida
    Pages 343-360
  13. Peter Reinhard Hansen, Guillaume Horel, Asger Lunde, Ilya Archakov
    Pages 361-394
  14. Paul Embrechts, Edgars Jakobsons
    Pages 395-417
  15. Mark H. A. Davis
    Pages 419-434
  16. Bernt Øksendal, Agnès Sulem, Tusheng Zhang
    Pages 435-446
  17. José Manuel Corcuera, José Fajardo, Wim Schoutens, Arturo Valdivia
    Pages 447-464
  18. Søren Asmussen, Lester Lipsky, Stephen Thompson
    Pages 501-527

About this book


Collecting together twenty-three self-contained articles, this volume presents the current research of a number of renowned scientists in both probability theory and statistics as well as their various applications in economics, finance, the physics of wind-blown sand, queueing systems, risk assessment, turbulence and other areas.

The contributions are dedicated to and inspired by the research of Ole E. Barndorff-Nielsen who, since the early 1960s, has been and continues to be a very active and influential researcher working on a wide range of important problems.

The topics covered include, but are not limited to, econometrics, exponential families, Lévy processes and infinitely divisible distributions, limit theory, mathematical finance, random matrices, risk assessment, statistical inference for stochastic processes, stochastic analysis and optimal control, time series, and turbulence. The book will be of interest to researchers and graduate students in probability, statistics and their applications.



Barndorff-Nielsen Levy Processes Exponential Families Financial Econometrics Infinitely Divisible Distributions Mathematical Finance Statistics of Stochastic Processes Stochastic Partial Differential Equations Turbulence Time Series Stochastic Analysis Risk Measurement 60Gxx, 62Mxx, 60E07, 76F55, 62P35, 62P05, 91BXX, 62P20, 62Fxx, 62Gxx, 60F05, 60Jxx 60Hxx, 62-03, A65

Editors and affiliations

  • Mark Podolskij
    • 1
  • Robert Stelzer
    • 2
  • Steen Thorbjørnsen
    • 3
  • Almut E. D. Veraart
    • 4
  1. 1.Department of MathematicsUniversity of AarhusAarhusDenmark
  2. 2.Institute of Mathematical FinanceUlm UniversityUlmGermany
  3. 3.Department of MathematicsUniversity of AarhusAarhus CDenmark
  4. 4.Department of Mathematics Huxley Building, Room 551Imperial College LondonLondonUnited Kingdom

Bibliographic information