Research Interests : His recent research interests are in quantum stochastics, stochastic analysis, and in mathematical finance and turbulence.
Awards and Honors : Member of Academia Europaea and former President of the Bernoulli Society for Mathematical Statistics and Probability (1993-1995).
Selected Publications : Books:
Information and Exponential Families in Statistical Theory (1978). Chichester: Wiley.
Parametric Statistical Models and Likelihood (1988). Springer Lecture Notes in Statistics. Heidelberg: Springer-Verlag.
Asymptotic Techniques for Use in Statistics (1989). London: Chapman and Hall. Joint author: D.R. Cox.
Decomposition and Invariance of Measures, with a View to Statistical Transformation Models (1989). Springer Lecture Notes in Statistics. Heidelberg: Springer-Verlag. Joint authors: P. Blæsild and P.S. Eriksen.
Inference and Asymptotics (1994). London: Chapman and Hall. Joint author: D.R. Cox.
Probability and Statistics; selfdecomposability, finance and turbulence. In L. Accardi and C.C. Heyde (Eds.): Proceedings of the Conference ''Probability towards 2000'', held at Columbia University, New York, 2-6 October 1995. (1998). Berlin: Springer-Verlag. Pp. 47-57.
Normal inverse Gaussian distributions and stochastic volatility modelling. Scand J. Statist. 24 (1997), 1-13.
Processes of normal inverse Gaussian type. Finance and Stochastics 2 (1998), 41-68.
On large deviations and choice of ancillary for r* and p*. Bernoulli 4 (1998), 35-64. Joint author: A.T.A. Wood.
Some stationary processes in discrete and continuous time. Adv. Appl. Prob. 30 (1998), 989-1007. Joint authors: J.L. Jensen and M. Sørensen.
Trees with random conductivities and the (reciprocal) inverse Gaussian distribution. Adv. Appl. Prob. 30 (1998), 409-424. Joint author: A.E. Koudou.
L-nonformation, L-ancillarity and L-sufficiency. Theory Prob. Its Appl. 44 (1999), 225-229.
Tail exactness of multivariate saddlepoint approximations. Scand. J. Statist. 26 (1999), 253-264. Joint author: C. Klüppelberg.
Stationary and selfsimilar processes driven by Lévy processes. Stoch. Proc. Appl. 84 (1999), 357-369. Joint author: V. Pérez-Abreu.
Infinite trees and inverse Gaussian random variables. Ann. Fac, Sci. Toulouse Math. 8 (1999), 25-34. Joint author: T. Rydberg.
Superposition of Ornstein-Uhlenbeck type processes. Theory Prob. Its Appl. (To appear.)
Non-Gaussian OU based models and some of their uses in financial economics. (Submitted.) Joint author: N. Shephard.
Modelling by Lévy processes for financial econometrics. In O.E. Barndorff-Nielsen, T. Mikosch and S. Resnick (Eds.): Lévy Processes - Theory and Applications. Boston: Birkhäuser. (To appear.) Joint author: N. Shephard.
Exact distributional results for random resistance trees. Scand. J. Statist. (To appear.) Joint author: T Rydberg.
Laser cooling and stochastics. In M.C.M. de Gunst, C.A.J. Klaassen and A.W. van der Vaart (Eds.): State of the Art in Probability and Statistics; Festschrift for Willem R. van Zwet.
Lecture Notes - Monograph Series. Institute of Mathematical Statistics. (To appear.) Joint author: F.E. Benth.
Apparent scaling. Finance and Stochastics. (To appear.) Joint author: K. Prause.
Modelling by Lévy processes. Academia Mexicana de Ciencias. (To appear.)
Markov processes with a singularity. (Submitted). Joint authors: F.E. Benth and J.L. Jensen.
Light, atoms and singularities. (Submitted). Joint authors: F.E. Benth and J.L. Jensen.
Selfdecomposability in free probability. (In preparation.) Joint author: S. Thorbjørnsen.
BARNDORFF-NIELSEN, OLE EILER 