His recent research interests are in quantum stochastics, stochastic analysis, and in mathematical finance and turbulence.
Member of Academia Europaea and former President of the Bernoulli Society for Mathematical Statistics and Probability (1993-1995).
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.
Selected recent papers:
Prediction and asymptotics. Bernoulli 2 (1996), 319-340. 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.