The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen

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Mark Podolskij, Robert Stelzer, Steen Thorbj°rnsen, Almut E. D. Veraart
Springer, Dec 26, 2015 - Mathematics - 527 pages

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, LÚvy 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.

 

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Contents

On the Size Distribution of Sand
1
From WindBlown Sand to Turbulence and Back
15
Modelling Turbulent Time Series by BSSProcesses
28
Associated Natural Exponential Families and Elliptic Functions
53
Cumulants and Bartlett Identities in Cox Regression
85
Exchangeability and Infinite Divisibility
98
Review of Recent Results
127
Weak Stationarity of OrnsteinUhlenbeck Processes with Stochastic Speed of Mean Reversion
153
The Different Asymptotic Regimes of Nearly Unstable Autoregressive Processes
282
Generalised Partial Autocorrelations and the Mutual Information Between Past and Future
303
Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps with Multiple Activity Indices
316
Model Selection for Volatility Prediction
343
A Markov Chain Estimator of Multivariate Volatility from High Frequency Data
361
Examples and Simple Bounds
395
A Beaufort Scale of Predictability
418
A Stochastic HJB Equation for Optimal Control of ForwardBackward SDEs
435

An Applied Perspective
190
Simulation of Stochastic Volterra Equations Driven by SpaceTime LÚvy Noise
209
On the Process of the Eigenvalues of a Hermitian LÚvy process
230
Likelihood Inference for ExponentialTrawl Processes
251
CoCos with Extension Risk A Structural Approach
447
Hedging Under WorstCaseScenario in a Market Driven by TimeChanged LÚvy Noises
465
Markov Renewal Methods in Restart Problems in Complex Systems
501
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About the author (2015)

Mark Podolskij since 2014 Full Professor at Aarhus University; 2010-2014 Full Professor at Heidelberg University; PostDoc: 2008-2010 ETH Zurich, 2007-2008 University of Aarhus; 2006: PhD at Ruhr-University of Bochum. Research interests: Asymptotic theory for high frequency data, inference for stochastic processes, semimartingales, stochastic analysis, Malliavin calculus, Stein's method.

Robert Stelzer since 2011 Full Professor and Director of the Institute of Mathematical Finance at Ulm University; 2008-2011 Carl-von-Linde Junior Fellow at the Institute for Advanced Study, TU Munich; 2007: PhD at TU Munich. Research interests: Financial mathematics, stochastic volatility models, stochastic processes, LÚvy processes, (multivariate) time series analysis, random matrices, extreme value theory.

Steen Thorbj°rnsen since 2006 Associate Professor at the University of Aarhus; 2003-2006 Associate Professor at the University of Southern Denmark; 2000-2003 Assistant Professor at the University of Southern Denmark; 1999 Ph.D at the University of Southern Denmark. Research interests: Free probability theory, Random matrices, LÚvy processes and bases, operator algebras.

Almut E. D. Veraart since 2014 Reader in Statistics at Imperial College London; 2011-2014 Lecturer in Statistics at Imperial College London; 2010-2011 Assistant Professor, Aarhus University, 2007-2010 Postdoc, Aarhus University; 2008: DPhil in Statistics at University of Oxford. Research interests: Statistical inference for stochastic processes, applied probability, financial econometrics, financial mathematics; stochastic volatility models, LÚvy processes, high frequency data, ambit stochastics, stochastic modelling of energy markets.


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