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(Research report / Forskningsrapport, 2008)
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(Research report / Forskningsrapport, 2007)
We present a random walk approximation to fractional Brownian motion where the increments of the fractional random walk are defined as a weighted sum of the past increments of a Bernoulli random walk.
(Research report / Forskningsrapport, 2007)
(Research report / Forskningsrapport, 2003)
In this work we characterize the smooth surfaces which can be embedded in the Grassmannian G(1,5) with one apparent double point, i.e. such that the general projection to G(1,3) produces just one double point. The result ...
(Research report / Forskningsrapport, 2008)
The main objective of this work is to construct optimal temperature futures from available market-traded contracts to hedge spatial risk. Temperature dynamics are modelled by a stochastic differential equation with spatial ...
(Research report / Forskningsrapport, 2001)
In a preceding paper, [7], physical optics was developed for a selection of discrete long wave solutions by application a perturbation expansion. Herein, we approach discrete optics from analysis of discrete energy, in the ...
(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, 2000)