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(Research report / Forskningsrapport, 2005)
We propose a quasi-Monte Carlo (qMC) algorithm to simulate variates from the normal inverse Gaussian (NIG) distribution. The algorithm is based on a Monte Carlo technique found in the Rydberg reference, and is based on ...
(Research report / Forskningsrapport, 2005)
We develop a white noise framework and the theory of stochastic distribution spaces for Hilbert space valued Lévy processes in order to study generalized solutions of stochastic evolution equations in these spaces driven ...
(Research report / Forskningsrapport, 2005)
We introduce the notion of a Galois extension of commutative S-algebras (E∞ ring spectra), often localized with respect to a fixed homology theory. There are numerous examples, including some involving Eilenberg-Mac Lane ...
(Research report / Forskningsrapport, 2005)
Various methods for approximating the non-linear advection terms in a high resolution tidal model with complex coastal boundaries have been implemented and tested. The model, driven by the dominant <I>M</I><SUB>2</SUB> ...
(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 ...
(Research report / Forskningsrapport, 2005)
We discuss the modeling of electricity contracts traded in many deregulated power markets. These forward/futures type contracts deliver (either physically or financially) electricity over a specified time period, and is ...
(Research report / Forskningsrapport, 2005)
We develop a notion of nonlinear stochastic integrals for hyperfinite Lévy processes, and use it to find exact formulas for expressions which intuitively are given as sums and products of functions of the increments of ...
(Research report / Forskningsrapport, 2005)
We develop and apply a numerical scheme for pricing options for the stochastic volatility model proposed by Barndorff-Nielsen and Shephard. This non-Gaussian Ornstein-Uhlenbeck type of volatility model gives rise to an ...
(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 report provides a discussion about the fundamentals of the frequentist approach to the classical nonlinear least squares head - discharge power-law rating curve model, which is a vital procedure in practical hydrology. ...