Browsing Matematisk institutt by Author "Dahl, Kristina Rognlien"

Now showing items 1-17 of 17

  • A duopoly preemption game with two alternative stochastic investment choices 
    Dahl, Kristina Rognlien; Stokkereit, Espen (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2019)
    This paper studies a duopoly investment model with uncertainty. There are two alternative irreversible investments. The first firm to invest gets a monopoly benefit for a specified period of time. The second firm to invest ...
  • Buffered environmental contours 
    Dahl, Kristina Rognlien; Huseby, Arne (Chapter / Bokkapittel / AcceptedVersion; Peer reviewed, 2018)
    The main idea of this paper is to use the notion of buffered failure probability from probabilistic structural design, first introduced by Rockafellar & Royset (2010), to introduce buffered environmental contours. Classical ...
  • Convex duality and mathematical finance 
    Dahl, Kristina Rognlien (Master thesis / Masteroppgave, 2012)
    The theme of this thesis is duality methods in mathematical - nance. This is a hot topic in the eld of mathematical nance, and there is currently a lot of research activity regarding this subject. However, since it is ...
  • A convex duality approach for pricing contingent claims under partial information and short selling constraints 
    Dahl, Kristina Rognlien (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2016)
    We consider the pricing problem facing a seller of a contingent claim. We assume that this seller has some general level of partial information, and that he is not allowed to sell short in certain assets. This pricing ...
  • Forward-backward stochastic differential equation games with delay and noisy memory 
    Dahl, Kristina Rognlien (Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2020)
    The goal of this paper is to study a stochastic game connected to a system of forward-backward stochastic differential equations (FBSDEs) involving delay and noisy memory. We derive sufficient and necessary maximum principles ...
  • Information and Memory in Stochastic Optimal Control 
    Dahl, Kristina Rognlien (Doctoral thesis / Doktoravhandling, 2016)
  • Linear optimization and mathematical finance 
    Dahl, Geir; Dahl, Kristina Rognlien (Research report / Forskningsrapport, 2012)
  • Management of a hydropower system via convex duality 
    Dahl, Kristina Rognlien (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2019)
    We consider a stochastic hydroelectric power plant management problem in discrete time with arbitrary scenario space. The inflow to the system is some stochastic process, representing the precipitation to each dam. The ...
  • Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives 
    Dahl, Kristina Rognlien; Mohammed, Salah-Eldin; Øksendal, Bernt; Røse, Elin Engen (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2016)
  • Optimal sequential decision making with probabilistic digital twins 
    Agrell, Christian; Dahl, Kristina Rognlien; Hafver, Andreas (Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2023)
    In this study, we present a formal defnition of the probabilistic digital twin (PDT). Digital twins are emerging in many industries, typically consisting of simulation models and data associated with a specifc physical ...
  • Pricing of claims in discrete time with partial information 
    Dahl, Kristina Rognlien (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2013)
    We consider the pricing problem of a seller with delayed price information. By using Lagrange duality, a dual problem is derived, and it is proved that there is no duality gap. This gives a characterization of the seller’s ...
  • Self-exciting jump processes and their asymptotic behaviour 
    Dahl, Kristina Rognlien; Eyjolfsson, Heidar (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2022)
    The purpose of this paper is to investigate properties of self-exciting jump processes where the intensity is given by an SDE, which is driven by a finite variation stochastic jump process. The value of the intensity process ...
  • Self-Exciting Jump Processes as Deterioration Models 
    Dahl, Kristina Rognlien; Eyjolfsson, Heidar (Chapter / Bokkapittel / PublishedVersion; Peer reviewed, 2021)
    Several different approaches to modelling stochastic deterioration for optimising maintenance have been suggested in the reliability literature. These include component lifetime distributions, which have the disadvantage ...
  • Sequential Bayesian optimal experimental design for structural reliability analysis 
    Dahl, Kristina Rognlien; Agrell, Christian (Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2021)
    Structural reliability analysis is concerned with estimation of the probability of a critical event taking place, described by P(g(X)≤0) for some n-dimensional random variable X and some real-valued function g. In many ...
  • Singular recursive utility 
    Dahl, Kristina Rognlien; Øksendal, Bernt (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2017)
    We introduce the concept of singular recursive utility. This leads to a kind of singular backward stochastic differential equation (BSDE) which, to the best of our knowledge, has not been studied before. We show conditions ...
  • Stochastic maximum principle with Lagrange multipliers and optimal consumption with Lévy wage 
    Dahl, Kristina Rognlien; Stokkereit, Espen (Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2015)
    We show how a stochastic version of the Lagrange multiplier method can be combined with the stochastic maximum principle for jump diffusions to solve certain constrained stochastic optimal control problems. Two different ...
  • Stochastic Modeling of Stratospheric Temperature 
    Eggen, Mari Dahl; Dahl, Kristina Rognlien; Näsholm, Sven Peter; Mæland, Steffen (Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2022)
    This study suggests a stochastic model for time series of daily zonal (circumpolar) mean stratospheric temperature at a given pressure level. It can be seen as an extension of previous studies which have developed stochastic ...