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Now showing items 2001-2100 of 3764
(Research report / Forskningsrapport, 2010)
(Research report / Forskningsrapport, 2010)
The continuous-time version of Kyle's [6] model, known as the Back's [2] model, of asset pricing with asymmetric information, is studied. A larger class of price processes and a larger classes of noise traders' processes ...
(Master thesis / Masteroppgave, 2010)
The project consider a model for a pasture-livestock system described in the article " The effect of climate variations on the dynamics of pasture-livestock interactions under cooperative and noncooperative management(Brekke, ...
(Research report / Forskningsrapport, 2010)
The analysis of the Multi point flux approximation (MPFA) method has so far relied on the possibility of seeing it as a mixed finite element method for which the convergence is then established. This type of analysis has ...
(Master thesis / Masteroppgave, 2010)
Credit contagion arises when a company is in economic distress or if it defaults. The default of a company will have implications for any firm that is economically connected to this given company. The effect of the default, ...
Analysis of Recurrent Event Data Using Poisson and Renewal Type models Restricted Access
(Master thesis / Masteroppgave, 2010)
The present text examines and applies methods for modeling recurrent event data, focusing on whether to use global time or recurrence time as the basic time scale. The purpose is to gain an insight into how easy/difficult ...
Portfolio Optimization under a Value at Risk constraint with consideration of Partial Information and Jump Diffusion Markets Restricted Access
(Master thesis / Masteroppgave, 2010)
Abstract
The purpose of the following thesis is to study the effects of applying a Value-at-Risk constraint on the classic portfolio optimization problem. The Value at Risk constraint is thoroughly studied and a useful ...
(Master thesis / Masteroppgave, 2010)
A newly developed deterministic numerical model for air pollution from road traffic is combined with stochastic models in order to predict hourly average concentrations of nitrogen oxides (NOx) with estimated uncertainty. ...
(Research report / Forskningsrapport, 2010)
In [10] dynamic and stationary measures of importance of a component in a repairable multistate system were introduced. For multistate systems little has been published until now on such measures even in the nonrepairable ...
Analysis of stillbirth rates during pregnancy Restricted Access
(Master thesis / Masteroppgave, 2010)
(Research report / Forskningsrapport, 2010)
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2010)
The immense increase in the generation of genomic scale data poses an unmet analytical challenge, due to a lack of established methodology with the required flexibility and power. We propose a first principled approach to ...
(Master thesis / Masteroppgave, 2010)
Airborne photography are used to map zones of potential aquatic vegetation. This is done by statistical classification using different approaches. We use five classes representing different vegetation and landscape zones, ...
(Master thesis / Masteroppgave, 2010)
Når olje fra flere reservoarer skal prosesseres ved samme prosessfasilitet, må den samlede prosesskapasiteten fordeles mellom de ulike reservoarene. Hvor mye av kapasiteten hvert av reservoarene får disponere, vil imidlertid ...
(Master thesis / Masteroppgave, 2010)
The purpose of the master thesis is to look at the classical article «Backward Stochastic Differential Equations in Finance» by Karoui, Peng and Quenez. Here, theory about Backward Stochastic Differential Equations (BSDEs) ...
Optimal long-term investment in general insurance Restricted Access
(Master thesis / Masteroppgave, 2010)
Introduction
An important issue in actuarial theory is to study the ruin probability of an in- surance company when the management has the possibility of investing in the financial market. Azcue and Muler(2009) studies the ...
(Research report / Forskningsrapport, 2010)
We study the robustness of option prices to model variation within a jump-diffusion framework. In particular we consider models in which the small variations in price dynamics are modeled with a Poisson random measure with ...
(Research report / Forskningsrapport, 2010)
We study optimal timing of irreversible investment decisions under return and time uncertainty. The considered models are formulated as maximization problems of the expected present value of the exercise payoff, where the ...
(Research report / Forskningsrapport, 2010)
We study the robustness of option prices to model variation after a change of measure where the measure depends on the model choice. We consider geometric Lévy models in which the infinite activity of the small jumps is ...
(Research report / Forskningsrapport, 2010)
We study the optimal stopping problem proposed by Dupuis and Wang in [9]. In this maximiza- tion problem of expected present value of exercise payo?, the underlying dynamics follow a linear diffusion. The decision maker ...
(Research report / Forskningsrapport, 2010)
Bond duration in its basic deterministic form is a concept well understood. Its meaning in the context of a yield curve on a stochastic path is less well developed. We extend the basic idea to a stochastic setting. More ...
(Research report / Forskningsrapport, 2010)
We study the computation of the Greeks of options written on assets modelled by a multi-factor dynamics. For this purpose, we apply the conditional density method in which the knowledge of the density of one factor is ...
(Research report / Forskningsrapport, 2010)
In this paper, we develop a variational approach to study perturbation problems of ordinary differential equations (ODE's) with discontinuous coefficients. We propose a mathematical framework which can be used to construct ...
(Research report / Forskningsrapport, 2010)
Computational Investigation of A Volume Flow Meter Design Restricted Access
(Master thesis / Masteroppgave, 2010)
Investigation of instantaneous wall pressure in a volume flow meter design has been carried out. The focus of the study was to obtain spectral analysis of the differential pressure between two pressure transducers. The ...
(Master thesis / Masteroppgave, 2010)
The Python programming language has gradually gained popularity in the field of scientific computing. Nowadays, Python is considered to be a great programming language for scientific computing and has attracted significant ...
(Master thesis / Masteroppgave, 2010)
Bidomenemodellen, utviklet i 1970-årene av Tung, er en meget god og velbrukt modell for å studere den elektriske flyten i hjertet. Denne oppgaven fokuserer i hovedsak på en forenklet versjon av Bidomenemodellen, nemlig ...
(Master thesis / Masteroppgave, 2010)
In this thesis we the calculate the 2-completed homotopy type of the hermitian K-theory of the ring of Gaussian 2-integers. Motivation and background from number theory, algebra and algebraic geometry are also provided. ...
Stochastic Distribution Processes with applications to Stochastic Differential Equations Driven by Lévy White Noise Restricted Access
(Master thesis / Masteroppgave, 2010)
We regard a stochastic process as a weakly measurable function, taking values one of the Kondratiev Stochastic distribution spaces, (S)_{-\rho}. Since these spaces are duals of nuclear spaces, functions taking values in ...
(Master thesis / Masteroppgave, 2010)
This master thesis examines the condition numbers of different bases for the Finite Element Exterior Calculus (FEEC) (Arnold et. al. (2006)), with the aim of improving the condition number of stiffness matrices formulated ...
(Master thesis / Masteroppgave, 2010)
Det har i løpet av de siste tiårene blitt forsket intensivt på jordskjelv og seismiske lastvirkninger. Dette skyldes bl.a. at jordskjelv opptrer relativt hyppig og at konsekvensene ofte er meget alvorlige. Det har derfor ...
(Master thesis / Masteroppgave, 2010)
Scheduling problems are central in combinatorial optimization, and there exists a huge literature describing both problems and algorithms. Master surgery scheduling (MSS), where one must assign surgery teams in hospitals ...
(Master thesis / Masteroppgave, 2010)
The main purpose of this thesis is to study a singular finite-horizon portfolio optimization problem, and to construct a penalty approximation and numerical scheme for the corresponding Hamilton- Jacobi-Bellman (HJB) ...
(Master thesis / Masteroppgave, 2010)
(Master thesis / Masteroppgave, 2010)
This thesis treats the laminar motion of two immiscible fluids in a pipe, where the original fluid occupying the pipe is much more viscous than the replacing fluid. Earlier works have shown that the less viscous fluid tends ...
(Master thesis / Masteroppgave, 2010)
The current cosmological concordance model states that the fluctuations in the Cosmic Microwave Background (CMB) should be Gaussian and isotropic. However, many studies claim to have found small deviations from this theory. ...
(Doctoral thesis / Doktoravhandling, 2010)
(Master thesis / Masteroppgave, 2010)
The aerodynamic effects on a wind turbine blade's tip region are investigated using the Lifting Line Theory (LLT). The LL equation is solved using two different approaches: the Fourier Method (FM) and the Simplification ...
(Master thesis / Masteroppgave, 2010)
I will try to define a non-trivial stochastic process on the Sierpinski gasket by looking at the limit of stochastic processes on approximating graphs of cells of the Sierpinski gasket. I start by looking more closely on ...
(Master thesis / Masteroppgave, 2010)
Nested case-control studies (NCC) reduce the cost of large cohort studies, but are statistically less efficient since all information is only available for cases and controls. In particular in a competing risk situation ...
(Research report / Forskningsrapport, 2010)
A numerical strategy for solving low-dimensional Bellman equations through the traditional backwards recursion is formulated. A simple error analysis suggests that the approach handles many multi-period portfolio selection ...
(Master thesis / Masteroppgave, 2010)
Shaken Baby Syndrome (SBS) is a brutal result of child abuse with severe and often fatal outcome. This Master's thesis describes some results from the analysis of acceleration data in a biomechanical experiment of dummy ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2010)
We give a new construction of monopole Floer homology for spinc rational homology 3–spheres. As applications we define two invariants of certain 4–manifolds with b1 = 1 and b + = 0.
(Research report / Forskningsrapport, 2010)
(Doctoral thesis / Doktoravhandling, 2010)
Marine seismic is a well established method to search for subsurface hydrocarbon deposits. However, the method is often limited by various sources of noise, of which flow and swell noise are the dominating types. This study ...
(Research report / Forskningsrapport, 2009)
(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 ...
(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 ...
(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, 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 ...
Buckling Strength Assessment of Stiffened Steel Panels in Floating Offshore Structures Restricted Access
(Master thesis / Masteroppgave, 2009)
Stiffened plates are common components in many structures, from plate girders and box girder bridges to ships and offshore structures. Stiffened and unstiffened plates buckle into doubly curved surfaces which complicates ...
(Research report / Forskningsrapport, 2009)
(Research report / Forskningsrapport, 2009)
(Master thesis / Masteroppgave, 2009)
Information collected from warning systems monitoring natural threats can be synthesized into a risk measure to determine the state of nature, and for defining the threshold for issuing (or not) of an early warning. This ...
Mortalitetsvingninger og kapital på lang sikt Restricted Access
(Master thesis / Masteroppgave, 2009)
Endringer i dødelighetsmønstre er et område som forsikringsbransjen har lagt mer og mer vekt på den siste tiden. Dette er som følge av at man over lengre tid har observert en stadig økning i menneskets forventede ...
(Journal article / Tidsskriftartikkel / SubmittedVersion, 2009)
We consider a combinatorial problem motivated by a special simplified timetabling problem for subway networks. Mathematically the problem is to find (pairwise) disjoint congruence classes modulo certain given integers; ...
(Master thesis / Masteroppgave, 2009)
Particle deposition in the lungs have so far been modeled mainly with the assumption of laminar flow. In the present study, several Reynolds-Averaged Navier-Stokes (RANS) turbulence models are used to simulate the airflow ...
(Master thesis / Masteroppgave, 2009)
Denne oppgaven omhandler sammenføyninger av åpne tverrsnitt ved bruk av skrueforbindelser. Det er veldig viktig at skrudde sammenføyninger har en hensiktsmessig utforming, og at kapasiteten dimensjoneres “riktig” etter ...
(Master thesis / Masteroppgave, 2009)
In this study, I examined data from a large cohort of HIV infected individuals of both genders from a small township of Bangwe in Malawi to demonstrate the influence of general weight loss, a reported AIDS wasting syndrome ...
Problem Solving Environment for Partial Differential Equations in Python Restricted Access
(Master thesis / Masteroppgave, 2009)
This master thesis presents a collection of tools for solving partial differential equations using Python. Three different Python modules make up the majority of the thesis.
When solving partial differential equations ...
(Master thesis / Masteroppgave, 2009)
Numerical simulation of the airflow inside a slowly rotating aerosol chamber is carried out using a high resolution LES and several RANS based turbulence models. The result of the LES revealed a complex turbulent flow field ...
(Master thesis / Masteroppgave, 2009)
In this paper were shown derivation of methods of Roe, Haarten-Lax-Leer and Lax Friedrichs, using of these methods in splitting schemes for shallow water with magnetohydrodynamics. An analysis of behavior of such schemes ...
(Master thesis / Masteroppgave, 2009)
Nemo Engineering AS (Nemo) has built a series of Tees for welding into offshore pipelines for transportation of hydrocarbons. The purpose with the Tees is to allow connection of new pipelines from existing or future oil ...
(Master thesis / Masteroppgave, 2009)
Composite structures consisting of plates or plate-like elements are used widely in windturbine blades and in certain types of ships, particularly naval ships. These structual elements are often subjected to significant ...
(Master thesis / Masteroppgave, 2009)
(Master thesis / Masteroppgave, 2009)
(Doctoral thesis / Doktoravhandling, 2009)
This thesis deals with modeling and understanding the processes in the atmosphere of the Sun. The solar climate has implications for Earth's climate and effects many of our systems, for instance the Global Positioning ...
(Master thesis / Masteroppgave, 2009)
The aim of this Thesis is to study Stochastic Partial Differential Equations (SPDEs) by regarding the SPDE as a Stochastic Differential Equation taking values in an infinite-dimensional space, i.e. a space of functions. ...
Edgewise Subdivision and Simple Maps Restricted Access
(Master thesis / Masteroppgave, 2009)
(Master thesis / Masteroppgave, 2009)
(Master thesis / Masteroppgave, 2009)
(Master thesis / Masteroppgave, 2009)
Representasjonsteori er et område innenfor matematikken hvor man representer- er elementer i grupper og algebraer med lineære transformasjoner av vektorrom. I lineær algebra finnes det mye verktøy, og dette kan man bruke ...
(Master thesis / Masteroppgave, 2009)
There is a connection between representations of the fundamental group π_1(X) of a compact Riemann surface X, and holomorphic vector bundles on X. More specifically, for every representation ρ, there exists an associated ...
(Master thesis / Masteroppgave, 2009)
The Cox ring of a smooth algebraic projective variety X is the direct sum of H^0(X,D) as D varies in the Picard group of X. The ring was introduced by Y. Hu and S. Keel in 2000 and generalizes Cox' construction of the ...
(Doctoral thesis / Doktoravhandling, 2009)
(Research report / Forskningsrapport, 2009)
In this paper we study the Cauchy problem for the wave equation with space-time Lévy noise initial data in the Kondratiev space of stochastic distributions. We prove that this problem has a strong and unique C2-solution, ...
(Research report / Forskningsrapport, 2009)
In the first part of the paper, we obtain existence and characterizations of an optimal control for a linear quadratic control problem of linear stochastic Volterra equations. In the second part, using the Malliavin calculus ...
(Research report / Forskningsrapport, 2009)
In this note we extend Radner's ([6]) result on the revealing properties of a rational expectations equilibrium to the case of an infinite dimensional probability space. Radner's auxiliary proposition, which states that ...
(Research report / Forskningsrapport, 2009)
(Research report / Forskningsrapport, 2009)
(Research report / Forskningsrapport, 2009)
In Natvig and Gåsemyr (2009) dynamic and stationary measures of importance of a component in a binary system were considered. To arrive at explicit results the performance processes of the components were assumed to be ...
(Research report / Forskningsrapport, 2009)
In Norwegian defined benefit pensions, assets corresponding to the premium reserve and premium fund are guaranteed a minimum return of a fixed rate r. This r is the same interest rate used for discounting when calculating ...
(Research report / Forskningsrapport, 2009)
A great challenge using the traditional regression based Bermuda option valuation based on Longstaff and Schwartz (LS) (see Longstaff and Schwartz [10]) is the stability of solutions for different basis functions. In this ...
(Research report / Forskningsrapport, 2009)
Spot prices in energy markets exhibit special features like price spikes, mean-reversion inverse, stochastic volatility, inverse leverage effect and co-integration between the different commodities. In this paper a ...
(Research report / Forskningsrapport, 2009)
In this paper we suggest a general stochastic maximum principle for optimal control of anticipating stochastic differential equations driven by a Lévy type of noise. We use techniques of Malliavin calculus and forward ...
(Research report / Forskningsrapport, 2009)
Minkowski Pythagorean hodograph curves are polynomial curves with polynomial speed, measured with respect to Minkowski norm. Curves of this special class are particularly well suited for representing medial axis transforms ...
(Research report / Forskningsrapport, 2009)
In this paper we use techniques of Malliavin calculus and forward integration to present a general stochastic maximum principle for anticipating stochastic differential equations driven by a Lévy type of noise. We apply ...
(Research report / Forskningsrapport, 2009)
(Master thesis / Masteroppgave, 2009)
In this thesis I study alternatives to the geometric Brownian motion where the log-return follow Lévy processes with jumps, in particular the normal invers Gaussian and the CGMY Lévy processes. With focus on Merton's ...
(Master thesis / Masteroppgave, 2009)
Cluster analysis is a field of study where the aim is to discover distinct groups or clusters in a data set. The objects in the same groups should be similar to each other in some respect, while at the same time dissimilar ...
(Master thesis / Masteroppgave, 2009)
Det har lenge vært klart at dødelighet oppfører seg på en stokastisk måte, og at livselskap som følge av forpliktelser som ofte varer i 30 år er sterkt utsatt for risiko som følge av nedgående dødelighet. For å sikre seg ...
Pulsatile flow in bifurcation with aneurysm using µPTV technique Restricted Access
(Master thesis / Masteroppgave, 2009)
An important topic in biomechanical flow is the study of aneurysms. Aneurysm can be found in bifurcation and curved blood vessels. These can rupture leading to life threatening situations.
In this thesis we will look at ...
(Research report / Forskningsrapport, 2009)
The first part of the paper is an overview of the theory of approximation of wave equations by Galerkin methods. It treats convergence theory for linear second order evolution equations and includes studies of consistency ...
(Research report / Forskningsrapport, 2009)
In this paper we introduce Skorohod-semimartingales as an expanded concept of classical semimartingales in the setting of Lévy processes. We show under mild conditions that Skorohod-semimartingales similarly to semimartingales ...
(Research report / Forskningsrapport, 2009)
In this paper, we study backward stochastic differential equations with respect to general filtrations. The results are used to find the optimal consumption rate for an insider from a cash flow modeled as a generalized ...
(Research report / Forskningsrapport, 2009)
Étant donné un complexe cellulaire constitué de polyèdres, plongé dans un espace Euclidien, nous construisons des espaces d'éléments finis de formes différentielles contenant celles qui sont polynomiales de degré maximal ...
(Research report / Forskningsrapport, 2009)
Our aim in this paper is to find a market portfolio and equivalent martingale measure (EMM) that minimizes risk as defined in [1], but in the jump diffusion market. We use optimal control methods for the determination of ...
(Research report / Forskningsrapport, 2009)
New current modified Schrödinger equations are derived suited to study waves on both potential and non-potential inhomogeneous currents. Split-step schemes of first, second, and fourth order are discussed. Different results ...
(Research report / Forskningsrapport, 2009)
We study an optimal stopping problem for a stochastic differential equation with delay driven by a Lévy noise. Approaching the problem by its infinite-dimensional representation, we derive conditions yielding an explicit ...
(Research report / Forskningsrapport, 2009)
This study provides three results of note. First, analysis of information can be abstracted from monetary values in special cases to variability of returns in general cases. Second, with an appropriately chosen model one ...