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Now showing items 1-10 of 431

(Research report / Forskningsrapport, 2006)

We study the problem of optimal control of a jump diffusion, i.e. a process which is the solution of a stochastic differential equation driven by Lévy processes. It is required that the control process is adapted to a given ...

(Research report / Forskningsrapport, 2005)

The topological Hochschild homology THH(R) of a commutative S-algebra (E∞ ring spectrum) R naturally has the structure of a Hopf algebra over R, in the homotopy category. We show that under a flatness assumption this makes ...

ARBITRAGE-FREE PRICING DYNAMICS OF INTEREST-RATE GUARANTEES BASED ON THE UTILITY INDIFFERENCE METHOD

(Research report / Forskningsrapport, 2005)

We consider the problem of utility indifference pricing of a put option written on a non-tradeable asset, where we can hedge in a correlated asset. The dynamics are assumed to be a two-dimensional geometric Brownian motion, ...

(Research report / Forskningsrapport, 2006)

We propose and analyse a finite volume scheme of the Godunov type that preserves discrete steady states. The scheme works in resonance regime as well as for problems with discontinuous flux. Moreover, no additional ...

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2004)

We consider the forward integral with respect to fractional Brownian motion B(H)(t) and relate this to the Wick-Itô-Skorohod integral by using the M-operator introduced by [10] and the Malliavin derivative DHt. Using this ...

(Research report / Forskningsrapport, 2004)

The wear of steel balls in continuously operated grinding mills, used in mineral processing to comminute metalliferous rocks, can be described by a simple population balance model. This model gives rise to a scalar transport ...

(Research report / Forskningsrapport, 2005)

In this paper we study perpetual integral functionals of diffusions. Our interest is focused on cases where such functionals can be expressed as first hitting times for some other diffusions. In particular, we generalize ...

(Research report / Forskningsrapport, 2004)

The problem of constraint preservation for discretizations of non-linear PDEs is addressed on the example of the hyperbolic Yang-Mills equations in temporal gauge. These equations preserve a nonlinear divergence field ...

(Research report / Forskningsrapport, 2005)

We elaborate on the interpretation of some mixed finite element spaces in terms of differential forms. First we develop a framework in which we show how tools from algebraic topology can be applied to the study of their ...