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3.1. Probability


F. DEN HOLLANDER, Large Deviations, Fields Institute Monographs14, American Mathematical Society, Providence RI, (2000), x + 143 pp.

Papers in journals and proceedings

A.A. BALKEMA, E.I. PANCHEVA, Extremal processes with one jump, Extremes, 3 (2000), 173-195.

A.A. BALKEMA, S. VERWIJMEREN, Stability of an M/G/1 queue with thick tails and excess capacity, J. Math Sci. 99 (2000), 1386-1392.

M. VAN DEN BERG, E. BOLTHAUSEN, F. DEN HOLLANDER, Moderate deviations for the volume of the Wiener sausage, Ann. Math. 153 (2001), 1-52.

L. BOOTH, R. MEESTER, Infinite paths with bounded or recurrent partial sums, Probability Theory and Related Fields, 120, (2001), 118-142.

R.M. BURTON, M.S. KEANE, J. SERAFIN, Residuality of dynamical morphisms, Colloq. Math. 84/85 (2000) part 2, pp. 307-317; MR 2001i:37006.

R.M. BURTON, C. KRAAIKAMP, T.A. SCHMIDT, Natural extensions for the Rosen fractions, Trans. Amer. Math. Soc. 352, (2000), 1277-1298.

L. CANTO E CASTRO, L. DE HAAN, M.G. TEMIDO, Rarely observed maxima, Th. Prob. Appl. 45, (2000), 779-782.

S. CHENG, L. DE HAAN, Penultimate approximation for Hill's estimator, Scand. J. Stat. 28, (2001) 569-575.

PH. CLÉMENT, F. DEN HOLLANDER, J. VAN NEERVEN, B. DE PAGTER, (EDS), Infinite-Dimensional Stochastic Analysis, Royal Netherlands Academy of Arts and Sciences, Proceedings of the colloquium, Amsterdam, 11-12/02/1999, Amsterdam, (2000).

R. COOKE, C. KRAAIKAMP, Risk Analysis and Jurisprudence; A recent example, In: W.W. Doer (eds.); SERA-vol. 10: Safety engineering and risk analysis - 2000. 2000 ASME International Mechanical Engineering Conference and Exposition (Orlando, Nov. 5-10, 2000), ASME New York, (2000), 67-72.

K. DAJANI, C. KRAAIKAMP, The mother of all continued fractions, Colloquium Math. (84/85) (2000), 109-123.

J. DANIELSSON, L. DE HAAN, L. PENG, C.G. DE VRIES, Using a bootstrap method to choose the sample fraction in tail index estimation, J. of Multivar. Anal., 76, (2001), 226-248.

F.M.DEKKING, A short introduction to ergodic theory and its applications, In: From quasicrystals to more complex systems (Eds: F.Axel, F.Denoyer, J.P.Gazeau), Springer, Berlin & EDP Sciences, Les Ulis, (2000), 273-289.

F.M.DEKKING, A.ELFEKI, C. KRAAIKAMP, J. BRUINING, Multiscale and multiresolution stochastic modeling of subsurface heterogeneity by tree-indexed Markov chains, Computational Geosciences 5 (2001), 47-60.

F.M.DEKKING, S. DE GRAAF, L.E.MEESTER, On the node structure of binary search trees, In: Mathematics and Computer Science. Algorithms, trees, combinatorics and probabilities. Edited by Daniele Gardy and Abdelkader Mokkadem. Trends in Mathematics. Birkhäuser Verlag, Basel, (2000), 31-40.

F.M. DEKKING, C. KRAAIKAMP, A.E. ELFEKI, J. BRUINING, Influence of the fine-scale heterogeneity patterns on large-scale behaviour of miscible transport in porous media, Proceedings of Ecmor VII (7th European Conference on the Mathematics of Oil Recovery (Baveno, 5-8 Sept. 2000), European Association of Geoscientists and Engineers, Houten, (2000), 1-7.

F.M.DEKKING, W.X. LI, The dimension of subsets of Moran sets determined by the success behaviour of their codings, Monatsh. Math. 131, (2000), 309-320.

F.M.DEKKING, P. VAN DER WAL, Fractal percolation and branching cellular automata, J. Prob. Th. Rel. Fields 120, (2001), 255-276.

H. DREES, L. DE HAAN, S. RESNICK, How to make a Hill plot, Annals of Statistics 28, (2000), 254-274.

K. DZHAPARIDZE, On interpolation series related to the Abel-Goncharov problem, Indag. Mathem., N.S., 12(1) (2001) 55-72.

K. DZHAPARIDZE. P.J.C. SPREIJ, J.H. VAN ZANTEN, Some aspects of modeling and statistical inference for financial models, Statistica Neerlandica 54, (2000), 265-292.

K. DZHAPARIDZE, J.H. VAN ZANTEN, On Bernstein-type inequalities for martingales, Stochastic Processes and their Applications 93(1) (2001) 109-117; MR 2002d:60034.

J. EINMAHL, L. DE HAAN, V. PITERBARG, Non-parametric estimation of the spectral measure of an extreme value distribution, Annals of Statistics 29 (2001), 1401-1423.

A. ELFEKI, F.M.DEKKING, A Markov chain model for subsurface characterization: theory and applications, Mathematical Geology, 33 (2001), 569-589.

P. EMBRECHTS, L. DE HAAN, X. HUANG, Modelling multivariate extremes, In: Extremes and integrated risk management, P.L. Embrechts ed., Risk books, Risk Waters Group,(2000), 59-70.

J.L. GELUK, L. DE HAAN, Stable probability distributions and their domains of attraction: a direct approach, Prob. Math. Stat. vol XX.1, (2000), 169-188.

J.L. GELUK, L. PENG, An adaptive optimal estimate of the tail index for MA(1) time series, Stat. Prob. Letters, 46, (2000), 217-227.

J.L. GELUK, L. PENG, Second order regular variation and the domain of attraction of stable distributions, Analysis, 20, (2000), 359-371.

J.L. GELUK, L. PENG, C. DE VRIES, Convolutions of heavy tailed random variables and applications to portfolio diversification and MA(1) time series, Adv. Appl. Prob., 32, (2000), 1011-1026.

R. GER, M. KEANE, J.K. MISIEWICZ, On convolutions and linear combinations of pseudo-isotropic distributions, J. Theoret. Probab. 13 (2000) 977-995; CMP 1 820 498.

L. DE HAAN, T. LIN, On convergence towards an extreme value distribution in C[0,1], Annals of Prob. 29, (2001), 467-483.

K. VAN HARN, F.W. STEUTEL, Stationarity of delayed subordinators, Stochastic Models 17, 369-374, (2001).

Y. HARTONO, C. KRAAIKAMP, On a relationship between the convergents of the Nearest Integer and Odd Continued Fractions, J. Indonesian Math. Soc. 6 (5), (2000), 131-137.

R. VAN DER HOFSTAD, The lace expansion approach to ballistic behaviour for one-dimensional weakly self-avoiding walk, Probability and Related Fields 119, (2001), 311-349.

R. VAN DER HOFSTAD, G. HOOGHIEMSTRA, P. VAN MIEGHEM, First passage percolation on the random graph, Prob. Engin. Inform. Sciences Vol 152, (2001), 225-237.

R. VAN DER HOFSTAD, G. HOOGHIEMSTRA, P. VAN MIEGHEM, First passage percolation on the random graph, Probability in the Engineering and Informational Sciences 15, (2001), 225-237.

R. VAN DER HOFSTAD, A. KLENKE, Self-attractive random polymers, Annals of Applied Probability 11, 4, (2001), 1079-1115.

R. VAN DER HOFSTAD, M.J. KLOK, Performance analysis of DS-CDMA systems with multistage HD-PIC, Conference proceedings of ICPWC 2000.

R. VAN DER HOFSTAD, W. K¨ONIG, A survey of one-dimensional random polymers, Journal of Statistical Physics 103:5/6, (2001), 915-944.

F. DEN HOLLANDER, Renormalization of interacting diffusions, in: Complex Stochastic Systems (ed. C. Klüppelberg), Chapman Hall, (2001), 219-233.

F. DEN HOLLANDER, E. OLIVIERI, E. SCOPPOLA, Metastability and nucleation for conservative dynamics, J. Math. Phys. 41, (2000), 1424-1498.

F. DEN HOLLANDER, E. OLIVIERI, E. SCOPPOLA, Nucleation in fluids: some rigorous results, Physics 279 A, (2000), 110-122.

F. DEN HOLLANDER, J.E. STEIF, On the equivalence of certain ergodic properties for Gibbs states, Ergod. Th. and Dynam. Sys. 20, (2000), 231-239.

G. HOOGHIEMSTRA, G. KOOLE, On the convergence of the power series algorithm, Performance Evaluation, Vol 42, (2000), 21-39.

G. HOOGHIEMSTRA, L. MEESTER, SAHID, Analysis of a Stochastic model for Indoor multipath Propagation, IEEE-IPWC2000, Hyderabad, India, (2000), 298-302.

M.S. KEANE, S.W.W. ROLLES, Edge-reinforced random walks on finite graphs, in: Infinite dimensional stochastic analysis, Ph. Clemént, F. den Hollander, J. van Neerven and B. de Pagter (eds.), KNAW Verhandelingen, Afdeling Natuurkunde, Eerste Reeks, Deel 52, (2000) 217-234; MR 2002b:60078.

A. KLEIN, P.J.C. SPREIJ, On Stein's equation, Vandermonde matrices and Fisher's information matrix of time series processes. Part I: The autoregressive moving average process, Linear Algebra and its Applications 329 (1-3), (2001), 9-47.

M.J. KLOK, R. VAN DER HOFSTAD, Performance analysis of DS-CDMA systems with one-stage HD-PIC, Conference proceedings of ICPWC 2000.

C. KRAAIKAMP, H. NAKADA, On normal numbers for continued fractions, Ergodic Theory Dynam. Systems 20, (2000), 1405-1421.

C. KRAAIKAMP, H. NAKADA, On a problem of Schweiger concerning normal numbers, J. Number Theory 86 (2001), 330-340.

A. LUCAS, P. KLAASSEN, P.J.C. SPREIJ, S. STRAETMANS, An analytic approach to credit risk of large corporate bond and loan portfolios, Journal of Banking and Finance 25 (9), (2001), 1635-1664.

C. MAES, F. REDIG, M. VERSCHUERE, Entropy production for interacting particle systems, Markov Proc. and Relat. Fields 7, (2001), 119-134.

R. MEESTER, F. REDIG, D. ZNAMENSKI, The Abelian sandpile; a mathematical introduction, Markov Processes and Related Fields 7, (2001), 509-523.

R. MEESTER, J. STEIF, Higher-dimensional subshifts of finite type, factor maps and measures of maximal entropy, Pacific Journal of Mathematics 200, nr. 2, (2001), 497-510.

R. MEESTER, J.F. SUYVER, J.J. KELLY, A. MEIJERINK, Probabilities for dopant pair-state formation in an nanocrystal: simulations and theory, Physical Review B 64, (2001), 235408/1 - 235406/6.

R. MEESTER, J.F. SUYVER, J.J. KELLY, A. MEIJERINK, Pair-state formation in a nanocrystal: a theoretical perspective, Mat. Res. Soc. Symp. Proc. 676, (2001), Y6.8.1 - Y6.8.6.

P. VAN MIEGHEM, G. HOOGHIEMSTA, R. VAN DER HOFSTAD, Stochastic model for the number of traversed routers in the Internet, Conference proceedings of Passive and Active Measurements, (2001), Amsterdam, the Netherlands.

P. VAN MIEGHEM, G. HOOGHIEMSTRA, R. VAN DER HOFSTAD, On the Efficiency of Multicast, IEEE Trans. on Networking, Vol 9, No. 6, (2001), 719-732.

J. MIJNHEER, The asymptotic distribution of a sequential estimator for the parameter in an AR(1) model with stable errors, In: N. Balakrishnan, I.A.Ibragimov and V.B.Nevzorov, Proceedings International Conference St Petersburg June 1998 Birkhauser, Boston (2001), 425-434.

J. MIJNHEER, Some remarks on quadratic forms in stable random variables, Demonstratio Mathematica Vol. XXXIV ,(2001) , 327-338.

I.T. MONROY, G.HOOGHIEMSTRA, On a recursive formula for the moments of phase noise, IEEE Transactions on Communications, Vol 48, No 6, (2000), 917-920,

P.J.C. SPREIJ, On the Markov property of a finite hidden Markov chain, Statistics and Probability Letters, Vol 52, (2001), 279-288.

Ph.D. Theses

B.A.M. SCHOUTEN, Giving Eyes to ICT! Or how does a computer recognize a cow? University of Amsterdam (2001)

J.H. VAN ZANTEN Martingales and Diffusions, limit theory and statistical inference, University of Amsterdam(2001).

Reports and pre-prints

M. VAN DEN BERG, E. BOLTHAUSEN, F. DEN HOLLANDER, On the volume of the intersection of two Wiener sausages, EURANDOM-Report 2001-034.

F.M. DEKKING, L.E. MEESTER, An almost sure result for path lengths in binary search trees, 2001.

D. DIETRICH, L. DE HAAN, J. HUESSLER, Testing extreme value conditions, (2001).

G. DRAISMA, H. DREES, A. FERREIRA, L. DE HAAN, Tail dependence in independence, Eurandom Report 2001-014.

K. DZHAPARIDZE, Note on randomized filtered experiments in presence of nuisance parameters, CWI report PNA-R0119 (2001).

K. DZHAPARIDZE, J.A. FERREIRA, A frequency domain approach to some results on fractional Brownian motion, CWI report PNA-R0123 (2001).

K. DZHAPARIDZE, P.J.C. SPREIJ, E. VALKEILA, Information processes in filtered experiments, CWI report PNA-R0125 (2001).

K. DZHAPARIDZE, P.J.C. SPREIJ, E. VALKEILA, Hellinger and information processes in filtered experiments, Part I: general concepts, Report of the Department of Mathematics, University of Helsinki, Preprint 264 (2000).

K. DZHAPARIDZE, P.J.C. SPREIJ, E. VALKEILA, Hellinger and information processes in filtered experiments, Part II: explicit representations and examples, Report of the Department of Mathematics, University of Helsinki, Preprint 265 (2000).

J. ENGLÄNDER, F. DEN HOLLANDER, Survival asymptotics for branching Brownian motion in a Poissonian trap field, EURANDOM-Report 2000-022.

A.C.D. VAN ENTER, R. FERNÁNDEZ, F. DEN HOLLANDER, F. REDIG, Possible loss and recovery of Gibbsianness in the stochastic time evolution of Gibbs measures, TU/e preprint (2001) (SPOR-Report 2001-06) and EURANDOM-Report 2001-009, to appear in Comm. Math. Phys.

A.J. VAN ES, P.J.C. SPREIJ, J.H. VAN ZANTEN, Nonparametric Volatility Density Estimation, (2001) Mathematics ArXiv PR/0107135.

R. FERNÁNDEZ, A. LE NY, F. REDIG, Variational principle and almost quasilocality of some renormalized measures, TU/e preprint (2001) (SPOR-Report 2001-08).

A. FERREIRA, Optimal Asymptotic Estimation of Small Exceedance Probabilities, EURANDOM REPORT 2000-009. To appear in: Journal of Statistical Planning and Inference.

J. GELUK, L. DE HAAN, On bootstrap sample size in extreme value theory, (2001) Submitted.

J.L. GELUK, L. PENG, Edgeworth expansion for Student's t-statistic without third moment, Econometric Institute Report 2001-30.

M.I. GOMES, L. DE HAAN, Semi-parametric estimation of the second order parameter -asymptotic and finite sample behaviour, (2000) Submitted.

L. DE HAAN, T. LIN, Weak consistency of Hill estimator and Moment estimator in C[0,1], (2000) Submitted.

T. HARA, R. VAN DER HOFSTAD, G. SLADE, Critical two-point functions and the lace expansion for spread-out high-dimensional percolation and related models, 53 pages, to appear in the Annals of Probability.

R. VAN DER HOFSTAD, F. DEN HOLLANDER, G. SLADE, Construction of the incipient infinite cluster for spread-out oriented percolation above $ 4+1$ dimensions, EURANDOM-Report 2001-035.

R. VAN DER HOFSTAD, G. HOOGHIEMSTRA, M.J. KLOK, Large deviations for code division multiple access systems, to appear in SIAM Journal of Applied Mathematics.

R. VAN DER HOFSTAD, G. HOOGHIEMSTA, P. VAN MIEGHEM, The flooding time in the random graph, (2001) 11 pages, to appear in Extremes.

R. VAN DER HOFSTAD, G. HOOGHIEMSTA, P. VAN MIEGHEM, On the covariance of the level sizes in recursive trees, (2001) 17 pages, to appear in Random Structures and Algorithms.

R. VAN DER HOFSTAD, A. KLENKE, W. K¨ONIG, The critical attractive random polymer in dimension one, 30 pages, to appear in Journal of Statistical Physics.

R. VAN DER HOFSTAD, M.J. KLOK, Improving the performance of 3G communication systems: the hard decision case, 30 pages, submitted to the Advances of Applied Probability.

R. VAN DER HOFSTAD, M.J. KLOK, Optimal Performance for DS-CDMA Systems with Hard Decision Parallel Interference Cancellation, 23 pages, submitted to IEEE Transactions on Information Theory.

R. VAN DER HOFSTAD, G. SLADE, A generalised inductive approach to the lace expansion, 36 pages, to appear in Probability Theory and Related Fields.

R. VAN DER HOFSTAD, G. SLADE, The lace expansion on a tree with applications to networks of self-avoiding walks, 40 pages, submitted to the Electronic Journal of Combinatorics.

R. VAN DER HOFSTAD, G. SLADE, Convergence of critical oriented percolation to super-Brownian motion above $ 4+1$ dimensions, 64 pages, submitted to AIHP.

F. DEN HOLLANDER, Relative entropy in a variational study of branching random walk in random environment, EURANDOM-Report 2000-019.

M.S. KEANE, S.W.W. ROLLES, Recurrence and transience criteria for directed-edge-reinforced random walk and random walk in random environment on some tube-like graphs, Eurandom Report Series 2000-035, (2000); to appear in: Acta Math. Hungar.

A. KLEIN, P.J.C. SPREIJ, On the application of Vandermonde matrices to time series analysis, (2000) Beta preprint 00-18.

M.J. KLOK, R. VAN DER HOFSTAD, G. HOOGHIEMSTRA, Analytical methods for CDMA systems with parallel interference cancellation: the large deviation approach, (2001) 22 pages, to appear in Personal Wireless Communication.

A. LE NY, F. REDIG, Short time conservation of Gibbsianness for local stochastic dynamics, EURANDOM-Report 2002-001.

A. LUCAS, P. KLAASSEN, P. SPREIJ, S. STRAETMANS, Tail Behavior of Credit Loss Distributions for General Latent Factor Models, Tinbergen Insititute Discussion (2001) Paper 01-023/2.

C. MAES, F. REDIG, M. VERSCHUERE, No current without heat, TU/e SPOR-Report 2000-18, to appear in J. Stat. Phys.

C. MAES, F. REDIG, E. SAADA, The Abelian sandpile on an infinite tree, TU/e SPOR-Report 2000-17.

R. MEESTER, A note on percolation in cocycle measures, preprint (2000).

R. MEESTER, L. BOOTH, J. BRUCK, M. FRANCESCHETTI, Covering algorithms, continuum percolation and the geometry of wireless networks, (2001).

R. MEESTER, C. QUANT, Stability and weakly convergent approximations of queueing systems on a circle, (2001).

R. MEESTER, F. REDIG, D. ZNAMENSKI, The Abelian sandpile; a mathematical introduction, TU/e SPOR-Report 2001-05; has appeared in Markov Proc. and Relat. Fields 7, 509-523, 2002.

R. MEESTER, D. ZNAMENSKI Non-triviality of the discrete Bak-Sneppen evolution model, (2001).

J. DE MEESTER, M. BOGERS, J.M.A. SMITS, H. DE WINTER, L.E. MEESTER, F.M. DEKKING, G. PERSIJN, F. MÜHLBACHER, AB0 blood group matching policies for highly urgent liver transplant candidates, To appear in: Transplant International, (2001).

P. VAN MIEGHEM, G. HOOGHIEMSTRA, R. VAN DER HOFSTAD, A scaling law for the hopcount, Reports of Technical University Delft, (2000) 125.

J. MIJNHEER, Limit distributions of an estimator of the parameter of a stable Ornstein-Uhlenbeck process, Technical report.

J.L. MIJNHEER, Asymptotic inference for AR(1) processes with (non-normal) stable innovations. The explosive case, Techn. Report, University of Leiden (2000).

F. REDIG, Gumbel statistics for the longest interval of identical spins in a one-dimensional Gibbs measure, TU/e SPOR-Report 2001-10.

P. SPREIJ, On hidden Markov chains and finite stochastic systems, Korteweg-de Vries Institute preprint 01-6 (2001).

Other publications

G. ALBERTS, C. KRAAIKAMP, Kassa! De winst van de statistiek, interview met Ronald Does. ITW Nieuws, 9 (2000) 3-4 .

F. BOSHUIZEN, P. SPREIJ, Risicomanagement in financiële instellingen, StatOR 2 nr. 2 (2001) 22-25.

K. DZHAPARIDZE, Introduction to option pricing in a securities market, Nieuw Archief voor Wiskunde 5/2 nr 2 181 (2001).

C. KRAAIKAMP, Het experiment van Buffon, Pythagoras 41 (2) (2001) 20-23.

C. KRAAIKAMP, I. DRIESSEN, Pi in de Pieterskerk, Nieuw Archief van de Wiskunde 5 (2000) 250-253.

R. MEESTER, 100 % kans - de zin en onzin van de waarschijnlijkheidsrekening, VU uitgeverij, ISBN 90 - 5383 - 703 - 5 (2000).

R. MEESTER, De rol van kansrekening in het dagelijks leven, Nieuwe Wiskrant 20, (2000) 27-30.

R. MEESTER, Zin en onzin van de waarschijnlijkheidsrekening, Nieuw Archief Wiskunde 5/1, 3, (2000) 232-238.

R. MEESTER, De kinderen van Ruud, Pythagoras 39, nr. 6, (2000), 18-20

R. MEESTER, De zin en onzin van de waarschijnlijkheidsrekening, Skepter 13, (2000), 38-41.

R. MEESTER, God, wetenschap en toeval I, Gamma (stichting Teilhard de Chardin) 8,(2001).

R. MEESTER, God, wetenschap en toeval II, Gamma (stichting Teilhard de Chardin) 8,(2001), 15-25.

M.F.M. NUYENS, 1 en nog wat, Pythagoras 40 (2000) no. 2, 28-30.

M.F.M. NUYENS, De prinses en e, Pythagoras 40 no. 6 (2001) 20-23.

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