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(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2004)
An Elsevier Open Archive article.
NOTICE: this is the author’s version of a work that was accepted for publication in Linear Algebra and its Applications. Changes resulting from the publishing process, such as peer ...
(Research report / Forskningsrapport, 2004)
We study a semi-discrete splitting method for computing approximate viscosity solutions of the initial value problem for a class of nonlinear degenerate parabolic equations with source terms. It is fairly standard to prove ...
(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)
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)
In this paper a bootstrap algorithm Much data from spotted microarrays remain unused because obtained with different protocols, platforms or designs, making comparisons across experiments impossible. We have developed a ...