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(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, 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, 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, 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, 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, 2003)
(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 ...
(Research report / Forskningsrapport, 2003)
(Research report / Forskningsrapport, 2003)
The Dirichlet process has been extensively studied over the last thirty years, along with various generalisations, and remains a fundamental tool for nonparametric Bayesian statistics. The probabilistic structure of its ...
(Research report / Forskningsrapport, 2003)
We consider a scalar conservation law modeling the settling of particles in an ideal clarifier-thickener unit. The conservation law has a nonconvex flux which is spatially dependent on two discontinuous parameters. We ...
(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, 2003)
We give an explicit formula for the Donsker delta function of a certain class of Lévy processes in the Lévy-Hida distribution space. As an application we use the Donsker delta function to derive an explicit chaos expansion ...
(Research report / Forskningsrapport, 2003)
We propose and prove convergence of a front tracking method for scalar conservation laws with source term. The method is based on writing the single conservation law as a 2x2 quasilinear system without a source term, and ...
(Research report / Forskningsrapport, 2003)
We continue the work that was initiated in [7] on a fast marching-like method for simulating two-phase incompressible immiscible flow of water and oil in a porous medium. The purpose ot the present paper is threefold: (1) ...
(Research report / Forskningsrapport, 2003)
We derive arbitrage-free pricing dynamics for claims on temperature, where the temperature follows a fractional Ornstein-Uhlenbeck process. Using a fractional white noise calculus, we can express the dynamics as a special ...
(Research report / Forskningsrapport, 2003)
Given a B-module M and any presentation B=A/J, the obstruction theory of M as B-module is determined by the usual obstruction class oA for deforming M as A-module and a new obstruction class oJ. These two classes give the ...
(Research report / Forskningsrapport, 2003)
No abstract
(Research report / Forskningsrapport, 2003)
We study the optimal portfolio problem for an insider, in the case that the performance is measured in terms of the logarithm of the terminal wealth minus a term measuring the roughness and the growth of the portfolio. We ...
(Research report / Forskningsrapport, 2003)
(Research report / Forskningsrapport, 2003)
Knekning av plater og skall i skipskonstruksjoner / Buckling of plates and shells in ship structures
(Research report / Forskningsrapport, 2003)
Buckling of stiffened plates with arbitrarily oriented stiffeners and of shells are considered. The main objective of the work, presented as a thesis for a cand. scient. degree (master equivalent) at the University of Oslo, ...
(Research report / Forskningsrapport, 2003)
The main objectives of this study have been 1) to carry out impact experiments of fibre reinforced polymer composite plates and 2) numerical simulations of these impacts. Two impact devices were used: a Rosand Instrumented ...
(Research report / Forskningsrapport, 2003)
To test if a density <I>f</I> is equal to a specified <I>f</I><SUB>0</SUB>, one knows by the Neyman-Pearson lemma the form
of the optimal test at a specified alternative <I>f</I><SUB>1</SUB>.
Any nonparametric density ...
(Research report / Forskningsrapport, 2003)
We consider classification of a realization of the multivariate spatial-temporal Gaussian random field into one of two populations with different regression mean models and factorized covariance matrices. Unknown means and ...
(Research report / Forskningsrapport, 2003)
In this note we consider testing of a type of linear restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for <I>I</I>(1) variables when there in addition is a restriction ...
(Research report / Forskningsrapport, 2003)
By an approach based on results of A. Ishii, we describe the versal deformation space of any reflexive module on the cone over the rational normal curve of degree m. To each component a resolution is given as the total ...
(Research report / Forskningsrapport, 2003)
Under general conditions stated in Rheinländer 30], we prove that in a stochastic volatility market the Radon-Nikodym density of the minimal entropy martingale measure can be expressed in terms of the solution of a semilinear ...
(Research report / Forskningsrapport, 2003)
The traditional use of model selection methods in practice is to proceed as if the final selected model had been chosen in advance, without acknowledging the additional uncertainty introduced by model selection. This often ...
(Research report / Forskningsrapport, 2003)
In this paper we perform a spectral analysis for the kernel operator associated with the transition kernel for the Metropolis-Hastings algorithm that uses a fixed, location independent proposal distribution. Our main ...
(Research report / Forskningsrapport, 2003)
We prove dimension formulas for the cotangent spaces T1 and T2 for a class of rational surface singularities by calculating a correction term in the general dimension formulas. We get that it is zero if the dual graph of ...
(Research report / Forskningsrapport, 2003)
Structural frame systems may be analyzed and designed based on forces from conventional first order theory when second order effects of axial forces on displacements in the compression members of the system are negligible. ...
(Research report / Forskningsrapport, 2003)
We describe all operators on scalar finite element spaces which appear as the restriction of a second order (linear) differential operator. More precisely we provide a family of isomorphisms between this space of discrete ...
(Research report / Forskningsrapport, 2003)
A variant of Murat and Tartar's div-curl lemma is stated and proved for Nédélec's edge elements. For sequences of vector fields in sequences of such finite element spaces the hypothesis on the divergence can be put into a ...
(Research report / Forskningsrapport, 2003)
In Gåsemyr and Natvig (2001) partial monitoring of components with applications to preventive system maintenance was considered for a binary monotone system of binary components. The purpose of the present paper is to ...
(Research report / Forskningsrapport, 2003)
We explore the consequences of adjoining a symmetry group to a statistical model. Group actions are first induced on the sample space, and then on the parameter space. It is argued that the right invariant measure induced ...
(Research report / Forskningsrapport, 2003)
A family of nonparametric prior distributions which extends the Dirichlet process is introduced and studied. Such family is first constructed by normalising suitable compound Poisson processes. An alternative derivation ...
(Research report / Forskningsrapport, 2003)
Generalising the standard frailty models of survival analysis, we propose to model frailty as a weighted Lévy process. Hence the frailty of an individual is not a given quantity, but develops over time. Formulae for the ...
(Research report / Forskningsrapport, 2003)
Two characterisations of a random mean from a Dirichlet process, as a limit of finite sums of a simple symmetric form and as a solution of certain stochastic equations, are investigated. These are used to reach results on ...
(Research report / Forskningsrapport, 2003)
The intersection set of Bayesian and nonparametric statistics was almost empty until about 1973, but now seems to be growing at a healthy rate. This chapter gives an overview of various theoretical and applied research ...
(Research report / Forskningsrapport, 2003)
The well-known Lighthill-Whitham-Richards kinematic traffic flow model for unidirectional flow on a single-lane highway is extended to include both abruptly changing road surface conditions and drivers' reaction time and ...
(Research report / Forskningsrapport, 2003)
We formulate and prove a non-local ``maximum principle for semicontinuous functions'' in the setting of fully nonlinear degenerate elliptic integro-partial differential equations with integro operators of second order. ...
(Research report / Forskningsrapport, 2003)
We introduce the forward integral with respect to a pure jump Lévy process and we prove and formula for this integral. Then we use Mallivin calculus to establish a relationship between the forward integral and the Skorohod ...
(Research report / Forskningsrapport, 2003)
An integral type representation and various extension theorems for monotone linear operators in Lp-spaces are considered in relation to market prices modeling. In particular a characterization of the existence of a ...
(Research report / Forskningsrapport, 2003)
In this paper we demonstrate how concepts of white noise analysis can be used to give an explicit solution to a stochastic transport equation driven by space-time Lévy white noise.
(Research report / Forskningsrapport, 2003)
The purpose of this paper is to establish a relation between Wick version of analytic functions with respect to the brownian motion and its associated semigroup.
(Research report / Forskningsrapport, 2003)
(Research report / Forskningsrapport, 2003)
The main focus of this study is on two parts: a testing part and a numerical simulation part. Three different tests are performed: four point bending testing, static deflection and drop weight impact tests.
The four ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2003)
First published in Geometry & Topology, in Volume 7 (2003) 155-184, published by Mathematical Sciences Publishers. Copyright Geometry & Topology Publications.
(Research report / Forskningsrapport, 2003)
Results from nonlinear FEM analyses of a plate structure simulating a small piece of a ship hull are presented in this report. The main objective of the work, presented as thesis for the cand. scient. degree (master ...
(Research report / Forskningsrapport, 2003)
Structural frame systems may be analyzed and designed based on forces from conventional first order theory when second order effects of axial forces on displacements in the compression members of the system are negligible. ...
(Research report / Forskningsrapport, 2003)
A variety of model selection criteria have been developed, of general and specific types. Most of these aim at selecting a single model with good overall properties, e.g. formulated via average prediction quality or shortest ...
(Research report / Forskningsrapport, 2003)
We develop a general L1-framework for deriving continuous dependence and error estimates for quasilinear anisotropic degenerate parabolic equations with the aid of the Chen-Perthame kinetic approach [9]. We apply L1-framework ...
(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, 2003)
We model spot prices in energy markets with exponential non-Gaussian Ornstein-Uhlenbeck processes. We generalize the classical geometric Brownian motion and Schwartz' mean-reversion model by introducing Lévy processes as ...
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2003)
DKNVS Skrifter nr. 1/2003 Tapir forlag.
(Research report / Forskningsrapport, 2003)
In this report, finite element models of shells built up of membrane and plate elements are studied. The main objective of the work, presented as thesis for the cand. scient. degree (master equivalent), has been to compare ...
(Research report / Forskningsrapport, 2003)
We propose a Kruzkov-type entropy condition for nonlinear degenerate parabolic equations with discointinuous coefficients. We establish L1 stability, and thus uniqueness, for weak solutions satisfying the entropy condition, ...