Aarhus University Seal / Aarhus Universitets segl

Mikkel Slot Nielsen

  1. 2019
  2. Published

    Multivariate stochastic delay differential equations and CAR representations of CARMA processes. / Basse-O'Connor, Andreas; Nielsen, Mikkel Slot; Pedersen, Jan; Rohde, Victor Ulrich.

    In: Stochastic Processes and Their Applications, Vol. 129, No. 10, 01.10.2019, p. 4119-4143.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  3. Published

    Continuous-time modeling using Lévy-driven moving averages : Representations, limit theorems and other properties. / Nielsen, Mikkel Slot.

    Department of Mathematics, Aarhus University, 2019. 218 p.

    Research output: Book/anthology/dissertation/reportPh.D. thesisResearch

  4. E-pub ahead of print

    Stochastic delay differential equations and related autoregressive models. / Basse-O'Connor, Andreas; Nielsen, Mikkel Slot; Pedersen, Jan; Rohde, Victor Ulrich.

    In: Stochastics: An International Journal of Probability and Stochastic Processes , 06.2019.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  5. Accepted/In press

    Limit theorems for quadratic forms and related quantities of discretely sampled continuous-time moving averages. / Nielsen, Mikkel Slot; Pedersen, Jan.

    In: ESAIM: Probability & Statistics, 08.04.2019.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  6. In preparation
  7. Accepted/In press

    Low frequency estimation of Lévy-driven moving averages. / Nielsen, Mikkel Slot.

    In: Proceedings ITISE 2019, 25-27 September, 2019, 2019.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperConference articleResearchpeer-review

  8. Accepted/In press

    On non-stationary solutions to MSDDEs: representations and the cointegration space. / Nielsen, Mikkel Slot.

    In: Stochastic Processes and Their Applications, 2019.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  9. 2018
  10. Accepted/In press

    Stochastic differential equations with a fractionally filtered delay: a semimartingale model for long-range dependent processes. / Davis, Richard A.; Nielsen, Mikkel Slot; Rohde, Victor Ulrich.

    In: Bernoulli, 04.11.2018.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  11. Published

    Equivalent martingale measures for Lévy-driven moving averages and related processes. / Basse-O'Connor, Andreas; Nielsen, Mikkel Slot; Pedersen, Jan.

    In: Stochastic Processes and Their Applications, Vol. 128, No. 8, 2018, p. 2538-2556.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  12. 2017
  13. Published

    Recovering the background noise of a Lévy-driven CARMA process using an SDDE approach. / Nielsen, Mikkel Slot; Rohde, Victor Ulrich.

    In: Proceedings ITISE 2017, 18-20 September, 2017, Vol. 2, 2017, p. 707-718.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperConference articleResearchpeer-review

  14. 2016
  15. Published

    Undergraduate Convexity : Problems and Solutions. / Nielsen, Mikkel Slot; Rohde, Victor Ulrich.

    World Scientific Publishing, 2016. 196 p.

    Research output: Book/anthology/dissertation/reportBookEducation