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(Research report / Forskningsrapport, 2010)
In this paper, we propose a probabilistic extension of the Creol modeling language, called PCreol, for which we give the operational semantics in Probabilistic Rewrite Logic. We give details on the implementation of a ...
(Research report / Forskningsrapport, 2013)
We study backward stochastic differential equations (BSDE's) for time-changed Lévy noises when the time-change is independent of the Lévy process. We prove existence and uniqueness of the solutions. Explicit formulae for ...
(Research report / Forskningsrapport, 2013)
We consider a problem of optimal control of an infinite horizon system governed by forward-backward stochastic differential equations with delay. Sufficient and necessary maximum principles for optimal control under partial ...
(Research report / Forskningsrapport, 2012)
Revised version July 2014
(Research report / Forskningsrapport, 2012)
In the present paper results given in Natvig (1990) are generalized to a multistate, strongly coherent, nonrepairable system of independent components by considering the reduction in remaining system time above a certain ...
(Research report / Forskningsrapport, 2013)
The present paper discusses Levy semistationary processes in the context of power markets. A Fourier simulation scheme for obtaining trajectories of these processes is discussed and its rate of convergence is analysed. ...
(Research report / Forskningsrapport, 2012)
Fast and accurate methods for determining pipeline eigenfrequencies and associated bending stresses are essential to free span design, and hence of great interest to the pipeline industry. The Rayleigh-Ritz approach has ...
(Research report / Forskningsrapport, 2011)
We present an effect based static analysis to calculate upper and lower bounds on the memory resource consumption in a transactional calculus. The calculus is a concurrent variant of Featherweight Java extended by transactional ...
(Research report / Forskningsrapport, 2013)
Closed-form analytical expressions are derived for the displacement field and corresponding stress state in two-layer cylinders subjected to pressure and thermal loading. Solutions are developed both for cylinders which ...
(Research report / Forskningsrapport, 2010)