Search
Now showing items 1-10 of 432
(Research report / Forskningsrapport, 2000)
(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, 2000)
(Research report / Forskningsrapport, 2003)
(Research report / Forskningsrapport, 2009)
(Research report / Forskningsrapport, 2009)
(Research report / Forskningsrapport, 2001)
(Research report / Forskningsrapport, 2006)
The non-anticipating stochastic derivative represents the integrand in the best L2-approximation for any random variables by the Itô non-anticipating integrals with respect to a general stochastic measure with independent ...
(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, 2006)
A computationally efficient method for elastic buckling and buckling strength analysis of biaxially loaded, stiffened plates with varying, stepwise constant thickness, are presented. The stiffeners may be sniped or end-loaded ...