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(Research report / Forskningsrapport, 2005)
We consider Hamilton--Jacobi equations, where the Hamiltonian depends discontinuously on both the spatial and temporal location. Our main results is the existence of viscosity solution to the Cauchy problem, and that the ...
(Research report / Forskningsrapport, 2005)
This paper presents an analytic approximation for the pricing dynamics of spark spread options in terms of Fourier transforms. We propose to model the spark spread, that is, the price difference of electricity and gas, ...
(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 ...
(Research report / Forskningsrapport, 2005)
We derive error estimates for approximate (viscosity) solutions of Bellman equations associated to controlled jump-diffusion processes, which are fully nonlinear integro-partial differential equations. Two main results are ...
(Research report / Forskningsrapport, 2005)
We consider a weakly dissipative hyperelastic-rod wave equation (or weakly dissipative Camassa-Holm equation) describing nonlinear dispersive dissipative waves in compressible hyperelastic rods. By fixed a smooth solution, ...
(Research report / Forskningsrapport, 2005)
We present an optimal portfolio problem with logarithmic utility in the following 3 cases:
\begin{itemize}
\item[(i)] The classical case, with complete information from the market available to the agent at all times. ...
(Research report / Forskningsrapport, 2005)
(Research report / Forskningsrapport, 2005)
This paper examines and applies methods for modelling of longitudinal binary data subject to both intermittent missingness and dropout. The paper is based around the analysis of data from a study into the health impact of ...
(Research report / Forskningsrapport, 2005)
Standard use of Cox's regression model and other relative risk regression models for censored survival data requires collection of covariate information on all individuals under study even when only a small fraction of ...
(Research report / Forskningsrapport, 2005)
We propose a spatial-temporal stochastic model for daily average temperature data. First we build a model for a single spatial location, independently on the spatial information. The model includes trend, seasonality and ...