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(Research report / Forskningsrapport, 2002)
The paper presents an adaptive method for the evaluation of multidimensional integrals over the unit cube. The measure used to partition the domain is suited for integrands which are monotonic in each dimension individually, ...
(Research report / Forskningsrapport, 2002)
We develop a white noise calculus for pure jump Lévy processes on Poisson space. This theory covers the treatment of Lévy processes of unbounded variation. The starting point of the theory is a novel construction of a ...
(Research report / Forskningsrapport, 2002)
Let G be a finite p-group. The problem whether (the isomorphism class of) G is determined by its group algebra over the field of p elements (the modular group algebra) is usually referred to as the modular isomorphism ...
(Research report / Forskningsrapport, 2002)
In this paper we investigate the recently introduced Malliavin approach compared to more classical approaches to find sensitivities of options in commodity and energy markets. The Malliavin approach has been developed in ...
(Research report / Forskningsrapport, 2002)
In this paper we develop a white noise framework for the study of stochastic partial differential equations driven by a d-parameter (pure jump) Lévy white noise. As an example we use this theory to solve the stochastic ...
(Research report / Forskningsrapport, 2002)
We show that the isomorphism class of a finite p-group G is determined by the group algebra of G over the field of p elements, hence solving the modular isomorphism problem.
(Research report / Forskningsrapport, 2002)
(Research report / Forskningsrapport, 2002)
We develop a white noise theory for Poisson random measures associated with a Lévy process. The starting point of this theory is a chaos expansion with kernels of polynomial type. We use this to construct the white noise ...
(Research report / Forskningsrapport, 2002)
The basic multistate reliability theory was developed in the eighties and the beginning of the nineties, replacing traditional reliability theory where the system and the components are always described as functioning or ...
(Research report / Forskningsrapport, 2002)
Multi-state models are used to describe situations where individuals may move among a finite number of states defined by specific conditions of health, including death. The transition intensities of the models are described ...