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Now showing items 11-20 of 1679

(Research report / Forskningsrapport, 2003)

We show that the isomorphism class of a finite p-group G is determined by the group algebra of G over the field of p elements, hence solving the modular isomorphism problem.

(Research report / Forskningsrapport, 2007)

We propose a model for stock price dynamics that explicitly incorporates random waiting times between trades, also known as duration, and show how option prices can be calculated using this model. We use ultra-high-frequency ...

(Research report / Forskningsrapport, 2011)

We study the problem of recursive utility maximization in the presence of nonlinear constraint on the wealth for a model driven by L evy processes. We extend the notion of W-divergence to vector valued functions and then ...

(Research report / Forskningsrapport, 2006)

We consider non-strictly hyperbolic systems of conservation laws in triangular form, which arise in applications like three-phase flows in porous media. We device simple and efficient finite volume schemes of Godunov type ...

(Research report / Forskningsrapport, 2007)

The paper proposes a new method, called the Fast Quadratic Transform (FQT), to solve the general indefinite two-variable quadratic equation in integers. The paper presents the new approach, discusses its properties, and ...

(Research report / Forskningsrapport, 2007)

Topological André-Quillen homology for commutative S-algebras was introduced by Basterra following work of Kriz, and has been intensively studied by several authors. In this paper we discuss it as a homology theory on CW ...

(Research report / Forskningsrapport, 2003)

We give a survey of the stochastic calculus of fractional Brownian motion, and we discuss its applications to financial markets where the prices are described as solutions of stochastic differential equations driven by ...

(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, 2004)

We consider a generalized hyperelastic-rod wave equation (or generalized Camassa--Holm equation) describing nonlinear dispersive waves in compressible hyperelastic rods. We establish existence of a strongly continuous ...

(Research report / Forskningsrapport, 2004)

We prove that the versal deformation space R of a (not necessarily indecomposable) maximal Cohen-Macaulay module M on a simple singularity X of even dimension is irreducible (in contrast to the odd dimensional case). ...