Research Output

2011

Poisson process Fock space representation, chaos expansion and covariance inequalities

Last, G. & Penrose, M. D., 1 Aug 2011, In : Probability Theory and Related Fields. 150, 3-4, p. 663-690 28 p.

Research output: Contribution to journalArticle

51 Citations (Scopus)

Predicting the self-assembly of a model colloidal crystal

Klotsa, D. & Jack, R. L., 2011, In : Soft Matter. 7, 13, p. 6294-6303 10 p.

Research output: Contribution to journalArticle

Open Access
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24 Citations (Scopus)
128 Downloads (Pure)

Preparation and relaxation of very stable glassy states of a simulated liquid

Jack, R. L., Hedges, L. O., Garrahan, J. P. & Chandler, D., 30 Dec 2011, In : Physical Review Letters. 107, 27, 5 p., 275702.

Research output: Contribution to journalArticle

File
39 Citations (Scopus)
105 Downloads (Pure)

Quasi-Monte Carlo methods for elliptic PDEs with random coefficients and applications

Graham, I. G., Kuo, F. Y., Nuyens, D., Scheichl, R. & Sloan, I. H., 10 May 2011, In : Journal of Computational Physics. 230, 10, p. 3668-3694 27 p.

Research output: Contribution to journalArticle

Open Access
File
79 Citations (Scopus)
126 Downloads (Pure)

Random networks with concave preferential attachment rule

Dereich, S. & Morters, P., 2011, In : Jahresberichte der Deutschen Mathematiker Vereinigung. 113, 1, p. 21-40 20 p.

Research output: Contribution to journalArticle

Regularization techniques for ill-posed inverse problems in data assimilation

Budd, C., Freitag, M. A. & Nichols, N. K., Jul 2011, In : Computers and Fluids. 46, 1, p. 168-173 6 p.

Research output: Contribution to journalArticle

14 Citations (Scopus)

Robust hedging of double touch barrier options

Cox, A. M. G. & Obloj, J., 2011, In : SIAM Journal on Financial Mathematics. 2, 1, p. 141-182 42 p.

Research output: Contribution to journalArticle

File
36 Citations (Scopus)
126 Downloads (Pure)

Robust pricing and hedging of double no-touch options

Cox, A. M. G. & Obłój, J., 1 Sep 2011, In : Finance and Stochastics. 15, 3, p. 573-605 33 p.

Research output: Contribution to journalArticle

58 Citations (Scopus)

Rumor spreading and vertex expansion on regular graphs

Sauerwald, T. & Stauffer, A., 2011, Proceedings of the Twenty-Second Annual ACM-SIAM Symposium on Discrete Algorithms, San Francisco, California USA, January 23-25, 2011. Randall, D. (ed.). Philadelphia: Society for Industrial and Applied Mathematics, p. 462-475

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Smoothness of scale functions for spectrally negative Lévy processes

Chan, T., Kyprianou, A. E. & Savov, M., 1 Aug 2011, In : Probability Theory and Related Fields. 150, 3-4, p. 691-708 18 p.

Research output: Contribution to journalArticle

55 Citations (Scopus)

Strict inequalities of critical values in continuum percolation

Franceschetti, M., Penrose, M. D. & Rosoman, T., Feb 2011, In : Journal of Statistical Physics. 142, 3, p. 460-486 27 p.

Research output: Contribution to journalArticle

5 Citations (Scopus)

The dynamics of a simplified pinball machine

Pring, S. R. & Budd, C. J., Feb 2011, In : IMA Journal of Applied Mathematics. 76, 1, p. 67-84 18 p.

Research output: Contribution to journalArticle

8 Citations (Scopus)

The exponential integrator scheme for stochastic partial differential equations: pathwise error bounds

Kloeden, P., Lord, G., Neuenkirch, A. & Shardlow, T., 1 Jan 2011, In : Journal of Computational and Applied Mathematics. 235, 5, p. 1245–1260 16 p.

Research output: Contribution to journalArticle

File
36 Citations (Scopus)
116 Downloads (Pure)

The Gapeev–Kühn stochastic game driven by a spectrally positive Lévy process

Baurdoux, E. J., Kyprianou, A. E. & Pardo, J-C., Jun 2011, In : Stochastic Processes and their Applications. 121, 6, p. 1266-1289 24 p.

Research output: Contribution to journalArticle

8 Citations (Scopus)

The parabolic Anderson model with heavy-tailed potential

Morters, P., 2011, Surveys in Stochastic Processes. European Mathematical Society, p. 67-85 19 p. (EMS Series of Congress Report).

Research output: Chapter in Book/Report/Conference proceedingChapter

The prolific backbone for supercritical superprocesses

Berestycki, J., Kyprianou, A. E. & Murillo-Salas, A., Jun 2011, In : Stochastic Processes and their Applications. 121, 6, p. 1315-1331 17 p.

Research output: Contribution to journalArticle

Open Access
File
16 Citations (Scopus)
117 Downloads (Pure)

Time-homogeneous diffusions with a given marginal at a random time

Cox, A. M. G., Hobson, D. & Obłój, J., Feb 2011, In : ESAIM: Probability and Statistics. 15, p. S11-S24

Research output: Contribution to journalArticle

File
13 Citations (Scopus)
105 Downloads (Pure)

Travelling waves and homogeneous fragmentation

Berestycki, J., Harris, S. C. & Kyprianou, A. E., Oct 2011, In : Annals of Applied Probability. 21, 5, p. 1749-1794 46 p.

Research output: Contribution to journalArticle

File
10 Citations (Scopus)
78 Downloads (Pure)

Weak approximation properties of elliptic projections with functional constraints

Scheichl, R., Vassilevski, P. S. & Zikatanov, L. T., 2011, In : Multiscale Modeling and Simulation. 9, 4, p. 1677-1699 23 p.

Research output: Contribution to journalArticle

15 Citations (Scopus)
2010

Almost sure asymptotics for the random binary search tree

Roberts, M. I., 2010, 21st International Meeting on Probabilistic, Combinatorial, and Asymptotic Methods in the Analysis of Algorithms (AofA'10). DMTCS, p. 565-576 12 p. (DMTCS Proceedings).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

A note on scale functions and the time value of ruin for Levy insurance risk processes

Biffis, E. & Kyprianou, A. E., Feb 2010, In : Insurance, Mathematics and Economics. 46, 1, p. 85-91 7 p.

Research output: Contribution to journalArticle

44 Citations (Scopus)

Arbitrage bounds

Cox, A., 15 May 2010, Encyclopedia of Quantitative Finance. Cont, R. (ed.). Chichester, UK: John Wiley & Sons

Research output: Chapter in Book/Report/Conference proceedingChapter

A variational approach to the Hamiltonian boundary value problem: Existence and approximation

Zimmer, J. & Schwetlick, H., Mar 2010, In : Oberwolfach Reports. 7, 1, p. 792-794 3 p.

Research output: Contribution to journalArticle

File
74 Downloads (Pure)

Brownian motion

Morters, P. & Peres, Y., 2010, Cambridge: Cambridge University Press. (Cambridge Series in Statistical and Probabilistic Mathematics)

Research output: Book/ReportBook

File
8 Citations (Scopus)
124 Downloads (Pure)

Convexity and smoothness of scale functions and de Finetti's control problem

Kyprianou, A. E., Rivero, V. & Song, R. M., Jun 2010, In : Journal of Theoretical Probability. 23, 2, p. 547-564 18 p.

Research output: Contribution to journalArticle

20 Citations (Scopus)

Crack detection in dielectric objects using electrical capacitance tomography

Stewart, V. J., Budd, C. J., Dorn, S. & Soleimani, M., 2010, 6th World Congress in Industrial Process Tomography. International Society for Industrial Process Tomography, p. 876-883 8 p.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Discussant of response to the Computer Journal Lecture by Francois Baccelli

Penrose, M. D., Jun 2010, In : The Computer Journal. 53, 5, p. 610-611 2 p.

Research output: Contribution to journalArticle

Duality symmetries in driven one-dimensional hopping models

Sollich, P. & Jack, R. L., 2010, In : Progress of Theoretical Physics Supplement. 184, p. 200-210 11 p.

Research output: Contribution to journalArticle

Efficient broadcast on random geometric graphs

Bradonjic, M., Elsasser, R., Friedrich, T., Sauerwald, T. & Stauffer, A., 2010, Proceedings of the Twenty-First Annual ACM-SIAM Symposium on Discrete Algorithms. Charikar, M. (ed.). Philadelphia: Society for Industrial and Applied Mathematics, p. 1412-1421

Research output: Chapter in Book/Report/Conference proceedingConference contribution

24 Citations (Scopus)

Evolutionary problems in non-reflexive spaces

Kruzik, M. & Zimmer, J., Jan 2010, In : Esaim-Control Optimisation and Calculus of Variations. 16, 1, p. 1-22 22 p.

Research output: Contribution to journalArticle

File
4 Citations (Scopus)
118 Downloads (Pure)

Exact and asymptotic n-tuple laws at first and last passage

Kyprianou, A. E., Pardo, J. C. & Rivero, V., Apr 2010, In : Annals of Applied Probability. 20, 2, p. 522-564 43 p.

Research output: Contribution to journalArticle

File
21 Citations (Scopus)
111 Downloads (Pure)

Finite-temperature critical point of a glass transition

Elmatad, Y. S., Jack, R. L., Chandler, D. & Garrahan, J. P., 20 Jul 2010, In : Proceedings of the National Academy of Sciences of the United States of America. 107, 29, p. 12793-12798 6 p.

Research output: Contribution to journalArticle

56 Citations (Scopus)

Hausdorff dimension of the double points on the Brownian frontier

Kiefer, R. & Mörters, P., Jun 2010, In : Journal of Theoretical Probability. 23, 2, p. 605-623 19 p.

Research output: Contribution to journalArticle

How to adaptively resolve evolutionary singularities in differential equations with symmetry

Budd, C. J. & Williams, J. F., Mar 2010, In : Journal of Engineering Mathematics. 66, 1-3, p. 217-236 20 p.

Research output: Contribution to journalArticle

16 Citations (Scopus)

Image-model coupling: application to an ionospheric storm

Smith, N. D., Pokhotelov, D., Mitchell, C. N. & Budd, C., 20 Aug 2010, In : Nonlinear Processes in Geophysics. 17, 4, p. 361-369

Research output: Contribution to journalArticle

1 Citation (Scopus)

L1-regularisation for ill-posed problems in variational data assimilation

Freitag, M. A., Nichols, N. K. & Budd, C. J., Dec 2010, In : PAMM - Proceedings in Applied Mathematics and Mechanics. 10, 1, p. 665 -668 4 p.

Research output: Contribution to journalArticle

Large deviation principles for empirical measures of coloured random graphs

Doku-Amponsah, K. & Morters, P., Dec 2010, In : Annals of Applied Probability. 20, 6, p. 1989-2021 33 p.

Research output: Contribution to journalArticle

9 Citations (Scopus)

Large deviations and ensembles of trajectories in stochastic models

Jack, R. L. & Sollich, P., 2010, In : Progress of Theoretical Physics Supplement. 184, p. 304-317 14 p.

Research output: Contribution to journalArticle

112 Citations (Scopus)

Lévy processes

Kyprianou, A., 2010, Encyclopedia of Quantitative Finance. Cont, R. (ed.). Chichester: Wiley

Research output: Chapter in Book/Report/Conference proceedingChapter

Limit theorems for random spatial drainage networks

Penrose, M. D. & Wade, A. R., Sep 2010, In : Advances in Applied Probability. 42, 3, p. 659-688 30 p.

Research output: Contribution to journalArticle

3 Citations (Scopus)

Metastable states and space-time phase transitions in a spin-glass model

Jack, R. L. & Garrahan, J. P., 2010, In : Physical Review E. 81, 1

Research output: Contribution to journalArticle

34 Citations (Scopus)

Modelling population processes with random initial conditions

Pollett, P. K., Dooley, A. H. & Ross, J. V., 1 Feb 2010, In : Mathematical Biosciences. 223, 2, p. 142-150

Research output: Contribution to journalArticle

4 Citations (Scopus)

Normal approximation for coverage models over binomial point processes

Goldstein, L. & Penrose, M. D., Apr 2010, In : Annals of Applied Probability. 20, 2, p. 696-721 26 p.

Research output: Contribution to journalArticle

12 Citations (Scopus)

On the equivalence of Lie symmetries and group representations

Craddock, M. J. & Dooley, A. H., 1 Aug 2010, In : Journal of Differential Equations. 249, 3, p. 621-653 33 p.

Research output: Contribution to journalArticle

10 Citations (Scopus)

Parallel geometric multigrid for global weather prediction

Buckeridge, S. & Scheichl, R., 1 Apr 2010, In : Numerical Linear Algebra with Applications. 17, 2-3, p. 325-342 18 p.

Research output: Contribution to journalArticle

12 Citations (Scopus)

Phase transitions for dilute particle systems with Lennard-Jones potential

Collevecchio, A., Konig, W., Morters, P. & Sidorova, N., Nov 2010, In : Communications in Mathematical Physics. 299, 3, p. 603-630 28 p.

Research output: Contribution to journalArticle

File
7 Citations (Scopus)
118 Downloads (Pure)

Refracted Levy processes

Kyprianou, A. E. & Loeffen, R. L., Feb 2010, In : Annales de l'Institut Henri Poincaré: Probabilités et Statistiques. 46, 1, p. 24-44 21 p.

Research output: Contribution to journalArticle

48 Citations (Scopus)

Second-order dynamic transition in a p=2 spin-glass model

van Duijvendijk, K., Jack, R. L. & van Wijland, F., 8 Jan 2010, In : Physical Review E. 81, 1

Research output: Contribution to journalArticle

11 Citations (Scopus)