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Viser treff 1-100 av 3770
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2012)
In this paper, we study backward stochastic differential equations (BSDEs) with respect to general filtrations. We prove existence and uniqueness theorems for such BSDEs and we establish a comparison theorem. Reflected ...
(Research report / Forskningsrapport, 1970)
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2016)
We introduce the notion of accurate foundation sets and the accurate refinement property for right LCM semigroups. For right LCM semigroups with this property, we derive a more explicit presentation of the boundary quotient. ...
(Journal article / Tidsskriftartikkel / PublishedVersion, 2007)
Søndag 27. oktober 2002 ble Agder Akademi reetablert, som et moderne vitenskapsakademi. Markeringen skjedde i Arendal Rådhus på dagen 40 år etter at akademiet ble etablert. Agder Akademis medalje i sølv ble delt ut til ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2017)
This article studies singular mean field control problems and singular mean field two-players stochastic differential games. Both sufficient and necessary conditions for the optimal controls and for the Nash equilibrium ...
(Research report / Forskningsrapport, 2000)
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2017)
It is argued that the accuracy of risk aggregation in Solvency II can be improved by updating skewness recursively. A simple scheme based on the log-normal distribution is developed and shown to be superior to the standard ...
(Research report / Forskningsrapport, 1980)
(Research report / Forskningsrapport, 2000)
(Research report / Forskningsrapport, 2009)
(Research report / Forskningsrapport, 1970)
(Master thesis / Masteroppgave, 2010)
Diffraksjonsproblemet for en vertikal sylinder som skjærer en fri overflate er løst til og med tredje orden ved hjelp av perturbasjonsteori i langbølgeregimet i tråd med FNV teori.
Det ikkelineære hastighetspotensialet til ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2017)
As modern biotechnologies advance, it has become increasingly frequent that different modalities of high-dimensional molecular data (termed “omics” data in this paper), such as gene expression, methylation, and copy number, ...
(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 ...
Combinatorial Feature Optimization using Multi-objective Evolutionary Algorithms applied to a Biological Warfare Classification Problem. Begrenset tilgang
(Master thesis / Masteroppgave, 2010)
Biological weapons is the aggressive use of organisms or toxins, also known as biological warfare agents. These weapons are invisible, odorless, tasteless and can be spread without a sound, making it difficult to detect ...
(Research report / Forskningsrapport, 1963)
(Research report / Forskningsrapport, 1978)
(Research report / Forskningsrapport, 2002)
The paper presents an adaptive method for the evaluation of multidimensional integrals over the unit cube. The measure used to partition the domain is suited for integrands which are monotonic in each dimension individually, ...
(Research report / Forskningsrapport, 1980)
(Research report / Forskningsrapport, 2013)
We study backward stochastic differential equations (BSDE's) for time-changed Lévy noises when the time-change is independent of the Lévy process. We prove existence and uniqueness of the solutions. Explicit formulae for ...
(Research report / Forskningsrapport, 2003)
We determine a new explicit representation of the strong solution of Itô-diffusions and elicit its correspondence to the general stochastic transport equation. We apply this formula to deduce an explicit Donsker delta ...
(Research report / Forskningsrapport, 2004)
We study a semi-discrete splitting method for computing approximate viscosity solutions of the initial value problem for a class of nonlinear degenerate parabolic equations with source terms. It is fairly standard to prove ...
(Research report / Forskningsrapport, 2003)
We give an explicit representation of strong solutions of Itô-SDE's in Hilbert spaces in terms of a non linear operation on a stochastic distribution space. This formula can be potentially used to obtain solutions of SDE's ...
(Research report / Forskningsrapport, 1971)
(Research report / Forskningsrapport, 1998)
The report summarizes the work performed at the Department of Mathematics, during the first year of the European research project GITEC-TWO (contract ENV4-U96-0297). Some of the result will subsequently be published elsewhere ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2017)
We show that the Cuntz splice induces stably isomorphic graph C∗-algebras. This result is a key step towards the recent complete classification of unital graph C∗-algebras both with respect to K-theoretical classification ...
(Research report / Forskningsrapport, 2006)
A semi-analytical method for pre- and postbuckling analysis of imperfect plates with arbitrary stiffener arrangements, subjected to in-plane biaxial and shear loading, is presented. By using large deflection theory in ...
(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, 2003)
We prove well posedness (existence and uniqueness) of renormalized entropy solutions to the Cauchy problem for quasilinear anisotropic degenerate parabolic equations with L1 data. This paperÊ complements the work by Chen ...
(Research report / Forskningsrapport, 1999)
(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, 2009)
Use of auxiliary variables for generating proposal variables within a Metropolis-Hastings setting has been suggested in many different settings. This has in particular been of interest for simulation from complex distributions ...
(Research report / Forskningsrapport, 2003)
This Statistical Research Report contains the complete written discussion generated by the two papers “Frequentist Model Average Estimators”, by Hjort and Claeskens, and “The Focussed Information Criterion”, by Claeskens ...
(Research report / Forskningsrapport, 1979)
(Master thesis / Masteroppgave, 2010)
We consider first-order finite difference schemes for a nonlinear degenerate convection-diffusion equation in one space dimension, and prove an $L^1_{loc}$ error estimate. Precisely, we prove that the $L^1_{loc}$ difference ...
(Research report / Forskningsrapport, 2002)
We develop a white noise calculus for pure jump Lévy processes on Poisson space. This theory covers the treatment of Lévy processes of unbounded variation. The starting point of the theory is a novel construction of a ...
(Research report / Forskningsrapport, 2002)
Let G be a finite p-group. The problem whether (the isomorphism class of) G is determined by its group algebra over the field of p elements (the modular group algebra) is usually referred to as the modular isomorphism ...
(Research report / Forskningsrapport, 2002)
In this paper we investigate the recently introduced Malliavin approach compared to more classical approaches to find sensitivities of options in commodity and energy markets. The Malliavin approach has been developed in ...
(Research report / Forskningsrapport, 2002)
In this paper we develop a white noise framework for the study of stochastic partial differential equations driven by a d-parameter (pure jump) Lévy white noise. As an example we use this theory to solve the stochastic ...
(Research report / Forskningsrapport, 2002)
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.
(Master thesis / Masteroppgave, 2010)
Determining the prognosis in an early stage of human cancer can be essential for the choice of optimal therapy. Digital image analysis of cell nuclei is a very useful tool to obtain quantitative information for robust and ...
(Master thesis / Masteroppgave, 2009)
We set out to find how copula-based dependence modelling of large jumps in the NIG-Lévy model affects the option price. This leads to the definition of a rejection-based approximation algorithm for the NIG-Lévy.
Using ...
(Master thesis / Masteroppgave, 2010)
This thesis is a study of linearly normal smooth rational surfaces of degree eleven and sectional genus eight in the projective fivespace. Surfaces satisfying these numerical invariants are special, in the sense that the ...
(Master thesis / Masteroppgave, 2008)
In this thesis, we consider the L^2-Betti numbers associated to algebras and equivalence relations. For algebras, we expand upon the motivation between Connes and Shlyakhtenko's definition of L^2-Betti numbers of tracial ...
(Doctoral thesis / Doktoravhandling, 2015)
Banebrytende forskningsmodeller innenfor viktige tema/fagområder som blant annet klima, menneskekroppen og jordskorpen tar alle utgangspunkt i kompliserte dataprogrammer, og krever ofte flere dager for en super-datamaskin ...
(Master thesis / Masteroppgave, 2010)
Model temperatures by using the stochastic heat equation driven by white noise. Studying the covariance function for the solution of this. Further the asymptotic covariance function studied.
In the application part use ...
(Research report / Forskningsrapport, 2013)
We consider a problem of optimal control of an infinite horizon system governed by forward-backward stochastic differential equations with delay. Sufficient and necessary maximum principles for optimal control under partial ...
(Research report / Forskningsrapport, 2000)
(Research report / Forskningsrapport, 1991)
(Research report / Forskningsrapport, 1998)
(Research report / Forskningsrapport, 2003)
(Research report / Forskningsrapport, 1996)
(Research report / Forskningsrapport, 2000)
(Research report / Forskningsrapport, 1996)
(Research report / Forskningsrapport, 1996)
(Research report / Forskningsrapport, 2012)
Revised version July 2014
(Research report / Forskningsrapport, 1984)
(Doctoral thesis / Doktoravhandling, 2009)
When a large oil or gas field is produced, several reservoirs often share the same processing facility. This facility is typically capable of processing only a limited amount of oil, gas and water per unit of time. In order ...
(Research report / Forskningsrapport, 2000)
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2013)
(Research report / Forskningsrapport, 1963)
(Doctoral thesis / Doktoravhandling, 2014)
(Research report / Forskningsrapport, 2012)
In the present paper results given in Natvig (1990) are generalized to a multistate, strongly coherent, nonrepairable system of independent components by considering the reduction in remaining system time above a certain ...
(Research report / Forskningsrapport, 2013)
The present paper discusses Levy semistationary processes in the context of power markets. A Fourier simulation scheme for obtaining trajectories of these processes is discussed and its rate of convergence is analysed. ...
(Research report / Forskningsrapport, 1999)
(Research report / Forskningsrapport, 1992)
(Research report / Forskningsrapport, 2000)
(Master thesis / Masteroppgave, 2014)
In this thesis, we have studied the preselection bias that can occur when the number of covariates in a high dimensional regression problem is reduced prior to a high dimensional regression analysis like the lasso. Datasets ...
(Master thesis / Masteroppgave, 2014)
(Master thesis / Masteroppgave, 2014)
(Journal article / Tidsskriftartikkel / SubmittedVersion, 2017)
We study methods for solving stochastic control problems of systems offorward–backward mean-field equations with delay, in finite and infinite time horizon.Necessary and sufficient maximum principles under partial information ...
(Research report / Forskningsrapport, 1985)
(Research report / Forskningsrapport, 2012)
Fast and accurate methods for determining pipeline eigenfrequencies and associated bending stresses are essential to free span design, and hence of great interest to the pipeline industry. The Rayleigh-Ritz approach has ...
(Master thesis / Masteroppgave, 2015)
The frequency of demands are crucial when analysing a safety instrumented system (SIS). IEC 61508 distinguishes between low and high demand mode when calculating risk for such a system. In reality there are systems that ...
(Research report / Forskningsrapport, 2003)
In this paper we explicitly solve a non-linear filtering problem with mixed observations, modelled by a Brownian motion and a generalized Cox process, whose jump intensity is given in terms of a Lévy measure. Motivated by ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2014)
This paper presents a nonconforming finite element approximation of the space of symmetric tensors with square integrable divergence, on tetrahedral meshes. Used for stress approximation together with the full space of ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2014)
In this paper an infinite-dimensional approach to model energy forward markets is introduced. Similar to the Heath–Jarrow–Morton framework in interest-rate modelling, a first-order hyperbolic stochastic partial differential ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2014)
We give a short introduction to the stochastic calculus for Itô-Lévy processes and review briefly the two main methods of optimal control of systems described by such processes:
(i) Dynamic programming and the ...
(Journal article / Tidsskriftartikkel / SubmittedVersion, 2013)
Due to the non-storability of electricity and the resulting lack of arbitrage-based arguments to price electricity forward contracts, a significant time-varying risk premium is exhibited. Using EEX data during the introduction ...
(Journal article / Tidsskriftartikkel / SubmittedVersion, 2013)
The aim of this paper is to introduce a new numerical algorithm for solving the continuous time nonlinear filtering problem. In particular, we present a particle filter that combines the Kusuoka–Lyons–Victoir (KLV) cubature ...
(Research report / Forskningsrapport, 2009)
We propose a method to compute approximate eigenpairs of the Schrödinger operator on a bounded domain in the presence of an electromagnetic field. The method is formulated for the simplicial grids that satisfy the discrete ...
(Journal article / Tidsskriftartikkel / SubmittedVersion, 2014)
We study valuation of swing options on commodity markets when the commodity prices are driven by multiple factors. The factors are modeled as diffusion processes driven by a multidimensional Lévy process. We set up a ...
(Journal article / Tidsskriftartikkel / SubmittedVersion, 2014)
In this paper we propose a new modelling framework for electricity futures markets based on so-called ambit fields. The new model can capture many of the stylised facts observed in electricity futures and is highly ...
(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, 1970)
(Master thesis / Masteroppgave, 2012)
Oppgaven sammenlikner to strategier for hvordan en kan optimere olje- og gassproduksjonen fra flere reservoarer som deler et prosesseringsanlegg. Oljeproduksjonen i hver periode beskrives ved en differenslikning som ...
(Research report / Forskningsrapport, 2002)
(Research report / Forskningsrapport, 2002)
We develop a white noise theory for Poisson random measures associated with a Lévy process. The starting point of this theory is a chaos expansion with kernels of polynomial type. We use this to construct the white noise ...
(Research report / Forskningsrapport, 1977)
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2017)
By a memory mean-field process we mean the solution X(\cdot ) of a stochastic mean-field equation involving not just the current state X(t) and its law \mathcal {L}(X(t)) at time t, but also the state values X(s) and its ...
(Research report / Forskningsrapport, 2013)
Closed-form analytical expressions are derived for the displacement field and corresponding stress state in two-layer cylinders subjected to pressure and thermal loading. Solutions are developed both for cylinders which ...
(Research report / Forskningsrapport, 1982)
(Doctoral thesis / Doktoravhandling, 2013)
(Doctoral thesis / Doktoravhandling, 2012)
Calabi-Yau manifolds are important objects in algebraic geometry and theoretical physics. A hypothesis of mirror symmetry is that Calabi-Yau manifolds of dimension 3 come in pairs, with the Hodge numbers of one manifold ...
(Master thesis / Masteroppgave, 2014)
The main scope of this thesis is to implement a structured numerical analysis to check the exactness and applicability of the famous Kirk formula (1995) and the newer Bjerksund-Stensland formula (2011) widely used by energy ...
A FEniCS based solver for actively contracting heart muscle tissue Begrenset tilgang
(Master thesis / Masteroppgave, 2012)
In this thesis we present a numerical solver for actively contracting heart muscle tissue. It uses the finite element method for the discretization and is entirely based on free open source software packages made available ...
(Master thesis / Masteroppgave, 2013)
Many families of distributions have been proposed to describe insurance losses. The process of finding the one which results in the best fit is time consuming. This thesis tries to tackle the issue of avoiding such analyses, ...
(Master thesis / Masteroppgave, 2013)
Image enhancement has many applications. This thesis is devoted to image inpainting, which is to fill in the corrupted or missing pixels in a meaningful way. These pixels may be deteriorated or missing for various reasons, ...