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(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2012)
Atlantic salmon populations are reported to be declining throughout its range, raising major management concerns. Variation in adult fish abundance may be due to variation in survival, growth, and timing of life history ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2012)
In this paper, we initiate a study on optimal control problem for stochastic differential games under generalized expectation via backward stochastic differential equations and partial information. We first prove a sufficient ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2012)
We study the optimal stopping problem proposed by Dupuis and Wang (Adv. Appl. Probab. 34:141–157, 2002). In this maximization problem of the expected present value of the exercise payoff, the underlying dynamics follow a ...
(Journal article / Tidsskriftartikkel / SubmittedVersion, 2012)
In power markets one frequently encounters a risk premium being positive in the short end of the forward curve and negative in the long end. Economically it has been argued that the positive premium is reflecting retailers ...
(Journal article / Tidsskriftartikkel / SubmittedVersion, 2012)
This is the pre-peer reviewed version of the following article: Benth, Fred Espen; Lempa, Jukka; Nilssen, Trygve Kastberg, On the optimal exercise of swing options in electricity markets, Journal of Energy Markets. 2012, ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2012)
We show experimental evidence that as relatively long unidirectional waves propagate over a sloping bottom, from a deeper to a shallower domain, there can be a local maximum of kurtosis and skewness close to the shallower ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2012)
We extend Donaldson’s diagonalization theorem to intersection forms with certain local coefficients, under some constraints. This provides new examples of non-smoothable topological 4–manifolds.
(Journal article / Tidsskriftartikkel / SubmittedVersion, 2012)
We study the robustness of options prices to model variation in a multidimensional jump-diffusion framework. In particular, we consider price dynamics in which small variations are modeled either by a Poisson random measure ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2012)
On 11 March 2011 the Tohoku tsunami devastated the east coast of Japan, claiming thousands of casualties and destroying coastal settlements and infrastructure. In this paper tsunami generation, propagation, and inundation ...
(Journal article / Tidsskriftartikkel / SubmittedVersion, 2012)
In this paper we present a stochastic model for daily average temperature. The model contains seasonality, a low-order autoregressive component and a variance describing the heteroskedastic residuals. The model is estimated ...