Probability&Mathematical Statistics
Research Unit
Recent Papers (since 2002)
- M. Abundo: Limit at zero of the first-passage time density
and the inverse problem for one-dimensional
diffusions. Stochastic Anal. Appl., 24, 2006.
- M. Abundo: The arc-sine law for the first instant at which a
diffusion process equals the ultimate
value of a functional. Int. J. Pure Appl. Math., 30, 2006.
- M. Abundo: Qualitative behaviour of
the first-passage-time density of a one-dimensional
diffusion over a moving boundary. Scientiae Mathematicae
Japonicae, 64, 2006.
- M. Abundo: Stopping a stochastic integral process as
close as possible to the ultimate value of a functional.
Scientiae Mathematicae Japonicae, 60, 2004.
- M. Abundo: On the risk of extinction for a population subject to
a random markov evolution with jumps.
Open Sys. & Information Dyn., 11, 2004.
- M. Abundo: On the first-passage time of diffusion processes
over a one-sided stochastic boundary. Stochastic Analysis
and Applications, 21, 2003.
- M. Abundo: Some comparison results of solutions of
diffusion and jump-diffusion equations. Advances and
Applications in Statistics, 2, 2002.
- M. Abundo: Some conditional crossing results of Brownian
motion over a piecewise-linear boundary.
Statistics and Probability Letters, 58, 2002.
- M. Abundo: On comparison of solutions of diffusion and
jump-diffusion equations.
In: R. Trappl (Ed.) Cybernetics and Systems 2002,
Austrian Society for Cybernetics Studies, Vienna, 2002.
- M. Abundo, L. Accardi, N. Rosato, L. Stella: Analysing protein
energy data by a stochastic
model for cooperative interactions: comparison and
characterization of cooperativity.
J. Math. Biol., 44, 2002.
- M. Avarucci, D. Marinucci:
Polynomial Cointegration among Stationary Processes with
Long Memory. To appear on Journal of Time Series Analysis,
2005.
- A. Balbi, D. Marinucci, D. Pietrobon:
Integrated Sachs-Wolfe effect from the cross
correlation of WMAP3 year and the NRAO VLA sky survey data:
New results and constraints on dark energy.
Physical Review D, 74, 2006.
- P. Baldi, L. Caramellino: Asymptotics of hitting probabilities
for general one-dimensional pinned diffusions.
Ann. Appl. Probab., 12, 2002.
- P. Baldi, G. Kerkyacharian, D. Marinucci, D. Picard:
High Frequency Asymptotics for Wavelet-Based Tests for Gaussianity
and Isotropy on the Torus.
To appear on J. Multivariate Analysis, 2006. Available in
PDF.
- P. Baldi, G. Kerkyacharian, D. Marinucci, D. Picard:
Asymptotics for Spherical Needlets. Tentatively
accepted by
The Annals of Statistics,
2006. Available in PDF.
- P. Baldi, D. Marinucci: Some characterizations of the spherical
harmonics coefficients for isotropic random fields.
Statist. Probab. Letters, 77, 2007.
- P. Baldi, D. Marinucci, V.S. Varadarajan:
On the Characterization of Isotropic Gaussian Fields on Homogeneous
Spaces of Compact Groups. Preprint, 2006.
- P. Baldi, B. Pacchiarotti: Explicit Computation of
Second Order Moments of Importance Sampling Estimators for
fractional Brownian motion. Bernoulli, 12, 2006.
- V. Bally, L. Caramellino, A. Zanette:
A mixed PDE-Monte Carlo approach for pricing credit default index
swaptions. Decisions in Economics and Finance, 29, 2006.
- V. Bally, L. Caramellino, A. Zanette: Pricing American options
by Monte Carlo methods using a Malliavin Calculus approach.
Monte Carlo Methods and Applications, 11, 2005.
- P. Cabella, D. Marinucci et al.:
The integrated bispectrum as a test of cosmic
microwave background non-Gaussianity: detection power
limits on fNL with WMAP data.
Monthly Notices of the Royal Astronomical Society,
369, 2006.
- P. Cabella, D. Marinucci et al.:
Primordial non-Gaussianity: local curvature method
and statistical significance of constraints on fNL from WMAP data.
Monthly Notices of the Royal Astronomical Society,
358, 2005.
- P. Cabella, D. Marinucci et al.:
Search for non-Gaussianity in Pixel, Harmonic and Wavelet Space:
Compared and Combined. Physical Review D, 69, 2004.
- A. Calzolari, P. Florchinger, G. Nappo:
Approximation of nonlinear filters for Markov systems with
delayed observations. SIAM J. Control Optim., 45, 2006.
- L. Caramellino, M.G. Iovino: An exit-probability-based
approach for the valuation of defaultable securities.
Journal of Computational Finance, 6, 2002.
- L. Caramellino, V. Marchisio:
Representation formulas for the conditional
expectation for jump-diffusion models with applications to Asian options.
Working paper,
2007.
- L. Caramellino, B. Pacchiarotti: Large deviations estimates of the
crossing probability for pinned Gaussian processes. Submitted, 2007.
Available in PDF.
- L. Caramellino, B. Pacchiarotti: Weak approximation of a
Brownian motion killed on time dependent barriers.
Monte Carlo Methods and Applications, 8, 2002.
- L. Caramellino, A. Zanette: Monte Carlo methods for pricing and
hedging American options in high dimension. Submitted, 2005. Available
in PDF.
- A. Ganesh, C. Macci, G.L. Torrisi: A class of risk
processes with reserve-dependent premium rate:
sample path large deviations and importance sampling.
Queueing Syst., 55, 2007.
- A. Ganesh, C. Macci, G.L. Torrisi:
Sample path large deviations principles for Poisson shot
noise processes, and applications. Electron. J. Probab.,
10, 2005.
- A. Gerardi, B. Torti: Symmetric models for lifetimes:
the role of exchangeable equivalence relations. Boll. Unione Mat. Ital. Sez. B Artic. Ric. Mat.
6, 2003.
- F.K. Hansen, D. Marinucci et al.:
Asymmetries in the Local Curvature of the WMAP Data.
Astrophysical Journal Letters, 2004.
- F. Hansen, D. Marinucci et al.: The empirical process approach for detection of
non-Gaussianity in the CMB.
New Astronomy Reviews, 47, 2003.
- F.K. Hansen, D. Marinucci, N.Vittorio:
The Extended Empirical Process Test for Non-Gaussianity,
with an Application to Nonstandard Inflationary Models.
Physical Review D, 67, 2003.
- F. Hansen, D. Marinucci et al.: Testing for Non-Gaussianity
in Harmonic Space:
an Empirical Process Approach Physical Review D,
66, 2002.
- C. Macci:
Inequalities between some large deviation rates. To
appear on
Appl. Stoch. Models Bus. Ind., 2007.
- C. Macci:
Large deviations for the time-integrated negative
parts of some processes.
To appear on
Statist. Probab. Lett., 2007.
- C. Macci:
Large deviations for compound Markov renewal processes with
dependent jump sizes and jump waiting times.
Bull. Belg. Math. Soc. Simon Stevin, 14, 2007.
- C. Macci:
Large deviations for risk models in which each main claim
induces a delayed claim. Stochastics, 78, 2006.
- C. Macci: Large deviation results for compound Markov
renewal processes. Braz. J. Probab. Stat., 19, 2005.
- C. Macci:
Random sampling for continuous time Markov additive processes.
Publ. Mat. Urug., 10, 2005
- C. Macci:
On fluid model and averaged parameters model for Markov additive
processes with finite environment’s state space.
Ricerche Mat., 53, 2004.
- C. Macci:
Large deviations estimates for some level crossing probabilities
in Bayesian setting. Rend. Sem. Mat. Univ. Politec. Torino,
62, 2004.
- C. Macci:
Large deviations for Markov chains in a random scenery with
compact support. Bol. Soc. Mat. Mexicana, 10, 2004.
- C. Macci:
Discrete time uniformly recurrent Markov additive processes:
two simplified models and large deviations. Riv. Mat. Univ. Parma,
2, 2003.
- C. Macci:
Large deviations for hitting times of some decreasing sets.
Bull. Belg. Math. Soc. Simon Stevin, 10, 2003.
- C. Macci, L. Petrella:
Mixtures of conjugate prior distributions and large deviations
for level crossing probabilities. Sankhya, 68, 2006.
- C. Macci, G. Stabile:
Large deviations for risk processes with reinsurance.
J. Appl. Probab., 43, 2006.
- C. Macci, G. Stabile, G.L. Torrisi:
Lundberg parameters for non standard risk processes.
Scand. Actuar. J., 2005.
- C. Macci, G.L. Torrisi:
Asymptotic results for perturbed risk processes with delayed claims.
Insurance Math. Econom., 34, 2004.
- D. Marinucci: A Central Limit Theorem and Higher Order Results for
the Angular Bispectrum. Probab. Theory
and Related Fields, to appear.
- D. Marinucci:
High Resolution Asymptotics for the Angular Bispectrum
of Spherical Random Fields. Annals of Statistics,
34, 2006.
- D. Marinucci: Regression Methods for Testing Non-Gaussianity on
a Sphere. Random Operator and Stochastic Equations, 13, 2005.
- D. Marinucci: The Empirical process for Bivariate Sequences
with Long Memory. Statistical Inference on Stochastic Processes,
8, 2005.
- D. Marinucci:
Testing for non-Gaussianity on Cosmic Microwave Background
Radiation: a Review. Statistical Science, 19, 2004.
- D. Marinucci: Gaussian Semiparametric Estimation for Random
Fields with Singular Spectrum. Probability and Mathematical
Statistics, 23, 2003.
- D. Marinucci, G. Mazzuoli et al.:
Cyclical Behaviour of Bone Remodelling and Bone
Loss in Healthy Women after Menopause: Results of a
Prospective Study. Bone, 31, 2002.
- D. Marinucci, G. Peccati:
High-Frequency Asymptotics for Subordinated
Isotropic Fields on an Abelian Compact Group.
Stoch. processes
and Applications, to appear (math.pr/0607044, 2006).
- D. Marinucci, M. Piccioni:
The Empirical Process on Gaussian Spherical Harmonics.
Annals of Statistics, 32, 2004.
- D. Marinucci, G. Polenta et al.:
Unbiased estimation of Angular Power Spectra.
Journal of Cosmology and Astroparticle Physics, 11, 2005.
- D. Marinucci, N. Vittorio et al.:
Non-Iterative Methods to Estimate the In-Flight
Noise Properties of CMB Detectors.
Astronomy and Astrophysics, 383, 2002.
- G. Nappo, B. Torti: Continuous time random walks
and queues: explicit forms and approximations of the conditional
law with respect to local times. Stochastic Process. Appl.,
116, 2006.
- G. Nappo, B. Torti:
Filtering of a reflected Brownian motion with respect to
its local time. Stochastic Process. Appl., 116, 2006.