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(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, 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, 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, 2013)
(Research report / Forskningsrapport, 2013)
We consider a class of Hilbert-space valued SDE’s where the drift coefficients are non- Lipschitzian in the sense of Hölder-continuity. Using a novel technique based on Malliavin calculus we show in this paper the existence ...
(Research report / Forskningsrapport, 2013)
We find a maximum principle for processes driven by martingale random fields. We do so by describing the adjoint processes with non-anticipating stochastic derivatives. In the case of the Levy processes this mimics maximum ...
(Research report / Forskningsrapport, 2013)
We consider a backward stochastic di erential equation with jumps (BSDEJ) which is driven by a Brownian motion and a Poisson random measure. We present two candidate-approximations to this BSDEJ and we prove that the ...
(Research report / Forskningsrapport, 2013)
A general market model with memory is considered. The formulation is given in terms of stochastic functional di erential equations, which allow for exibility in the modeling of market memory and delays. We focus on the ...
(Research report / Forskningsrapport, 2013)
We propose a finite difference scheme to simulate solutions to a certain type of hyperbolic stochastic partial differential equation (SPDE). These solutions can in turn estimate so called volatility modulated Volterra (VMV) ...