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(Research report / Forskningsrapport, 2004)
We prove that the versal deformation space R of a (not necessarily indecomposable) maximal Cohen-Macaulay module M on a simple singularity X of even dimension is irreducible (in contrast to the odd dimensional case). ...
(Research report / Forskningsrapport, 2004)
(Research report / Forskningsrapport, 2004)
We present a method to study strong solutions of stochastic differential equations driven by Lévy processes, whose coefficients are admitted to be irregular. Furthermore we give explicit representations of solutions of such SDE's.
(Research report / Forskningsrapport, 2004)
We use the dynamic programming approach to derive an equation for the utility indifference price of Markovian claims in a stochastic volatility model proposed by Barndorff-Nielsen and Shephard (2001). The pricing equation ...
(Research report / Forskningsrapport, 2004)
We show existence of a unique, regular global solution of the parabolic-elliptic system
$u_t +f(t,x,u)_x+g(t,x,u)+P_x=(a(t,x) u_x)_x$
and $-P_{xx}+P=h(t,x,u,u_x)+k(t,x,u)$ with initial data
$u|_{t=0} = u_0$. Here ...
(Research report / Forskningsrapport, 2004)
We consider doubly nonlinear anisotropic degenerate parabolic equations, supplemented with an initial condition and a homogeneous Dirichlet boundary condition. We introduce a notion of entropy solution and prove that the ...
(Research report / Forskningsrapport, 2004)
We consider a generalized hyperelastic-rod wave equation (or generalized Camassa--Holm equation) describing nonlinear dispersive waves in compressible hyperelastic rods. We establish existence of a strongly continuous ...
(Research report / Forskningsrapport, 2004)
Differential equations with generalized coefficients by using the algebra of new generalized functions are investigated. It is shown that the different interpretations of the solutions of such equations can be described ...
(Research report / Forskningsrapport, 2004)
We consider a general version of the Skorohod integral and of the Malliavin derivative with respect to the Lévy stochastic measures on general topological spaces. The integral operator is introduced as a limit of appropriate ...
(Research report / Forskningsrapport, 2004)