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Now showing items 2101-2200 of 3734
(Master thesis / Masteroppgave, 2009)
The fractional Brownian motion (fBm) has recently drawn a lot of attention and has been studied in several directions, such as stochastic integration, stochastic differential equations, financial applications, and solutions ...
(Research report / Forskningsrapport, 2008)
No abstract
(Research report / Forskningsrapport, 2008)
The main objective of this work is to construct optimal temperature futures from available market-traded contracts to hedge spatial risk. Temperature dynamics are modelled by a stochastic differential equation with spatial ...
(Master thesis / Masteroppgave, 2008)
The abstract is in English, however the master thesis itself is written in Norwegian. The thesis consists of four main parts. Firstly we introduce the concepts of general mathematical optimization and convex optimization. ...
(Master thesis / Masteroppgave, 2008)
This master’s thesis explains how a 2D Navier-Stokes solver can be implemented. The numerical methods used, how the solver works and how it can be used to solve flow problems are documented in detail.
The Navier-Stokes ...
(Master thesis / Masteroppgave, 2008)
Ischemic heart disease is the single most frequent cause of death in the world today. Electrocardiogram (ECG) exercise testing is a common tool for diagnosing this disease. With the ECG exercise test one can compare the ...
(Master thesis / Masteroppgave, 2008)
The aim of this thesis was to model blood pressure by using measurements from medical research. The available measurements contain the heart rate, systolic and diastolic pressure and cardiac output. We could show that the ...
(Master thesis / Masteroppgave, 2008)
In this thesis I describe a procedure for forecasting the propagation of ocean surface waves. I start by developing the third order Schrödinger equations in chapter 1, show how one can extract the initial state from surface ...
(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 ...
(Master thesis / Masteroppgave, 2008)
In this master thesis we investigate the properties of a chi-squared goodness-of-fit test for case-control data, of Grønnesby and Borgan (1996). This goodness-of-fit test is based on a comparison of observed and expected ...
(Research report / Forskningsrapport, 2008)
The present work is a numerical investigation on waves generated by a pressure disturbance moving at constant speed in a channel with a variable cross-channel depth profile. The channel profile, which is uniform in the ...
(Master thesis / Masteroppgave, 2008)
Abstrakt
Varmetransport og grunnligninger relatert til strømmende råloje i horisontalt rør under voks deponering er betraktet. I den forbindelse, er en serie eksperimenter utført av Forskningsavdelingen til StatoilHydro ...
(Master thesis / Masteroppgave, 2008)
Summary
In a world where global warming has become an every day expression, the focus on alternative energy sources is rising. The use of wind power has long been an environment friendly option to other more pollutional ...
(Research report / Forskningsrapport, 2008)
This paper considers a controlled Itô-Lévy process the information available to the controller is possibly less than the overall information. All the system coefficients and the objective performance functional are allowed ...
(Research report / Forskningsrapport, 2008)
In the present paper we use discrete event simulation in order to analyze a binary monotone system of repairable components. Asymptotic statistical properties of such a system, e.g., the asymptotic system availability and ...
(Research report / Forskningsrapport, 2008)
In the present paper the Natvig measures of component importance for repairable systems, and its extended version are analysed for two three component systems and a bridge system. The measures are also applied to an offshore ...
(Research report / Forskningsrapport, 2008)
In this paper we study the approximation of a sum of assets having marginal logreturns being multivariate normal inverse Gaussian distributed. We analyse the choice of a univariate exponential NIG distribution, where the ...
(Research report / Forskningsrapport, 2008)
(Research report / Forskningsrapport, 2008)
We study a large financial market where the discounted asset prices are modeled by martingale random fields. This approach allows the treatment of both the cases of a market with a countable amount of assets and of a market ...
(Research report / Forskningsrapport, 2008)
In a continuous time market model we consider the problem of existence of an equivalent martingale measure with density lying within given lower and upper bounds and we characterize a necessary and sufficient condition for ...
(Research report / Forskningsrapport, 2008)
We study the linearization of three dimensional Regge calculus around Euclidean metric. We provide an explicit formula for the corresponding quadratic form and relate it to the curl T curl operator which appears in the ...
(Research report / Forskningsrapport, 2008)
Wachspress and mean value coordinates are two generalizations of triangular barycentric coordinates to convex polygons and have recently been used to construct mappings between polygons, with application to curve deformation ...
(Research report / Forskningsrapport, 2008)
In this article we show convergence of Lattice Gauge Theory with gauge group U(1) in the energy norm. This is done by stability analysis and comparison with the classical Yee-scheme which is convergent.
(Research report / Forskningsrapport, 2008)
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 commodities per unit of time. In order to ...
(Research report / Forskningsrapport, 2008)
This paper introduces a new way of estimating parameters in a Brownian motion regime switching asset model to incorporate volatility clustering. The regime switching model is then applied to pricing of up-and-in barrier ...
(Research report / Forskningsrapport, 2008)
Investigators have incorporated copula theories into their studies of multivariate dependency phenomena for many years. Copulas in general, which include the basic probability version as well as the Lévy and utility ...
(Research report / Forskningsrapport, 2008)
Small deformations of a viscoelastic body are considered through the linear Maxwell and Kelvin-Voigt models in the quasi-static equilibrium. A robust mixed finite element method, enforcing the symmetry of the stress tensor ...
Cooperative and non-cooperative management for a grazer-plant system Restricted Access
(Master thesis / Masteroppgave, 2008)
Consider a common pasture owned by $N$ herders. We consider first a scenario where the herders are individualistic and only interested in the maximization of their personal yield, neglecting their influence on the vegetation ...
(Research report / Forskningsrapport, 2008)
In Dahl et al. (2007) we extended and refined some tools given in O'Hagan (2003) for criticism of Bayesian hierarchical models. Especially, avoiding double use of data by a data splitting approach was a main concern. Such ...
(Research report / Forskningsrapport, 2008)
When estimating parametric copula models by the semiparametric pseudo maximum likelihood procedure (MPLE), many practitioners have used the Akaike Information Criterion (AIC) for model selection in spite of the fact that ...
(Research report / Forskningsrapport, 2008)
In this paper we will approximate the sum of the margins from a two dimensional lognormal variable by moment matching with a one dimensional lognormal variable. We will look at different cases of correlation and volatility ...
(Research report / Forskningsrapport, 2008)
Present approximate second order methods for the analysis of unbraced multistorey frames may significantly underestimate moments in single curvature regions. To clarify reasons for this that may not be well understood, the ...
(Research report / Forskningsrapport, 2008)
A large deflection, semi-analytical method for pre- and postbuckling analysis of stiffened plates with a free edge is presented. The stiffeners can be oriented in both directions parallel and perpendicular to the free edge, ...
(Master thesis / Masteroppgave, 2008)
This thesis treats traffic as flow in static and dynamic networks. This may be any kind of traffic; cars, information etc. Two flows are of particular interest: The system optimum, which minimizes total travel time for all ...
(Master thesis / Masteroppgave, 2008)
In "Information Retrieval", relevance is a numerical score assigned to a search result, representing how well the results meet the information need of the user that issued the search query. In many cases, a result's relevance ...
(Master thesis / Masteroppgave, 2008)
We study a mean-reverting model for interest rates. The model is an extension of the Vasicek model and is a sum of non-Gaussian Ornstein-Uhlenbeck processes with subordinators, i.e. Lévy processes with only positive jumps, ...
(Research report / Forskningsrapport, 2008)
Present approximate second order methods for the analysis of frames with sway are not capable of reflecting the transition from sway to partly braced, and nearly fully braced behaviour of individual columns in the frames. ...
Workover analysis at ultradeep water structural/fatigue Restricted Access
(Master thesis / Masteroppgave, 2008)
This thesis describes briefly the main components of a deep water WOR and presents results of the structural and fatigue analyses on some of the most critical regions of the riser under normal conditions. The thesis considers ...
Calibration of Claim Size Processes in Non-Life Insurance by Non-Linear Filtering for Lévy Processes Restricted Access
(Master thesis / Masteroppgave, 2008)
This thesis deals with infinitely divisible distributions, Poisson process, Stochastic Partial Differential Equations and Lévy processes.
Keywords: Infinitely divisible distributions, stable distributions, compensated ...
(Research report / Forskningsrapport, 2008)
Warren M. Hirsch posed the conjecture which bears his name in a letter of 1957 to George B. Dantzig. Simply stated in geometric terms, Hirsch proposed that a polytope in dimension d with n facets admits a path of at most ...
(Research report / Forskningsrapport, 2008)
This paper addresses the advantages and disadvantages of pre-rounding vs. post-rounding in a floating-point register. In this day when high speed computers with long registers are the norm, one may think that a rounding ...
(Research report / Forskningsrapport, 2008)
(Research report / Forskningsrapport, 2008)
Electricity is a commodity which is non-storable, and therefore difficult to move forward in time. Hence, forward looking information about market conditions is not necessarily incorporated in today's prices, and the typical ...
(Research report / Forskningsrapport, 2008)
This monograph sets forth the results of a study of the geometry of a simplex, multiply-cut by hyperplanes, and its implications for constrained optimization. First, the study presents basic cases about the polytope which ...
(Research report / Forskningsrapport, 2008)
We study the pricing of American put and call options in a market with jumps. We extend and make rigorous previous work that characterizes the price as a solution of an integro-differential equation set on the whole domain. ...
(Research report / Forskningsrapport, 2008)
We investigate a constrained stochastic control problem connected to a financial contract representing a virtual factory. Commonly known as tolling agreements, these contracts are traded in free energy markets and include ...
(Research report / Forskningsrapport, 2008)
(Research report / Forskningsrapport, 2008)
This report is the documentation of a new model for large scale solution of the Boussinesq equations. The equations are briefly presented with emphasis on the inclusion of spherical coordinates and the Coriolis force. We ...
(Research report / Forskningsrapport, 2008)
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 the ...
(Research report / Forskningsrapport, 2008)
A main field and satellite fields consist of several separate reservoirs with gas cap and/or oil rim. A processing facility on the main field receives and processes the oil, gas and water from all the reservoirs. This ...
(Research report / Forskningsrapport, 2008)
(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2008)
Background
It is of biological interest to make genome-wide predictions of the locations of DNA melting bubbles using statistical mechanics models. Computationally, this poses the challenge that a generic ...
(Master thesis / Masteroppgave, 2008)
In the last decade we have seen a tremendous growth in the issuance of derivatives linked to the credit risk of an individual, or a pool of obligors. While some have been around for a while, some are relatively new. One ...
(Master thesis / Masteroppgave, 2008)
A classical problem in algebraic geometry is the question of how many and what kind of singularities a plane curve of a given degree can have. In this thesis we investigate this problem for rational curves where all the ...
(Master thesis / Masteroppgave, 2008)
In this paper we will prove Clifford chain theorem for general lines in the plane by using real cross ratio lemma. We will then discuss the Clifford chain theorem for degenerate lines and will obtain 6 types of Clifford ...
(Master thesis / Masteroppgave, 2008)
I denne oppgaven har vi sett på konsekvenser av økt levetid for den norske befolkningen. Vi modellerer en dynamisk dødelighetsmodell ved å bruke historiske dødelighetsdata og deretter predikere en fremtidig modell. Vi ...
(Master thesis / Masteroppgave, 2008)
Generell innføring av Elektroniske anbefalingsystemer. Presentasjon av de vanligste metodene, inkludert K-Nærmeste Naboer, Matrise Faktorisering, Begrensede Boltzmann maskiner.
Presentasjon av Netflix konkurransen og noen ...
(Master thesis / Masteroppgave, 2008)
In reservoir simulation, the modeling and the representation of wells are critical factors. The standard approach for well modeling is to couple the well to the reservoir through the use of a well index, which relates the ...
Investigating Positive Mean Value interpolation Restricted Access
(Master thesis / Masteroppgave, 2008)
Positive Mean Value interpolasjon har blitt presentert som en ny metode for å interpolere funksjoner definert på randa av et planart domene. Metoden er basert på Mean Value interpolasjon, og har vist seg å være nyttig i ...
(Research report / Forskningsrapport, 2008)
We develop a white noise framework for Lévy processes on Hilbert spaces. As the main result of this paper, we then employ the white noise technique to explicitly represent strong solutions of stochastic differential equations ...
(Master thesis / Masteroppgave, 2008)
To protect sensitive equipment from the inhospitable environment, offshore installations in arctic regions often depend on placing this equipment on the seabed. Installations on the surface will be subjected to environmental ...
(Master thesis / Masteroppgave, 2008)
In this assignment we've been looking at the problem of transporting oil, gass and water from an FPSO-Floating Production, Storage and Offloading system, to a tankship. The possibility of doing this with a pipe from one ...
(Master thesis / Masteroppgave, 2008)
We consider the problem of locating buried objects by generating an acoustic wavefield in the medium and using data from the detected waves. Making images that displays such targets can be done with little interfering of ...
Oppsveiset rammehjørne av stål i flytende offshoreinnretninger : Kapasitet og spenningskonsentrasjoner Restricted Access
(Master thesis / Masteroppgave, 2008)
In this master thesis we study a corner detail between a deck and bulkhead plate, located inside a semi submersible platform. The platform structure is made from steel components such as plates, stiffeners, girders, and ...
Lastkapasitet for BubbleDeck påført punktlaster : Summary Restricted Access
(Master thesis / Masteroppgave, 2008)
This paper is compilated as a masters degree assignment at the Faculty of Mathematics and Natural Science, University of Oslo.
Today, Bubble Deck is used to reduce the net weight of a concrete slab. This is done by casting ...
(Master thesis / Masteroppgave, 2008)
In this thesis we provide a detailed analysis of the power penalty method for American options using the theory of viscosity solutions. The method is a recent improvement of the classical penalty method, and in the thesis ...
(Master thesis / Masteroppgave, 2008)
We present a computational environment for hypernuclear structure calculations consisting of a program library for Python and several applications.
The program library is capable of obtaining matrix elements of a two-particle ...
(Master thesis / Masteroppgave, 2008)
In this study, we develop cyclic singular homology, which is a modification of singular homology in much the same way cyclic homology is a modification of Hochschild homology, and which is a generalized homology theory in ...
Kortform i linje- og sirkelgeometri Restricted Access
(Master thesis / Masteroppgave, 2008)
I denne oppgaven ser vi på trilineære koordinater og hvordan vi ved å skrive på kortform kan regne i disse koordiatene. Ved å regne eksempler om trekanter og sirkler i kartesiske koordinater og på kortform finner vi en ...
(Master thesis / Masteroppgave, 2008)
Parametric roll may be defined as the spontaneous rolling motion of the ship moving in head or following seas that comes about as a result of the dynamic instability of motion. The development of the parametric roll occurs ...
(Master thesis / Masteroppgave, 2008)
In this master thesis we propose a nonparametric Bayesian approach to estimating dependency in stationary time series and in second-order stationary spatial models over continuous domains.Our main focus will be the estimation ...
(Master thesis / Masteroppgave, 2008)
In Europe, statistical evidence shows a decline in human mortality over the 20th century. The growing mortality concern led actuaries to consider a dynamic and stochastic survival model in order to forecast realistic ...
(Research report / Forskningsrapport, 2008)
In this article we study the discretization of the Maxwell-Klein-Gordon equation from a variational point of view. We first solve the problem with an action corresponding to the Yee scheme for the Maxwell part, which is ...
(Research report / Forskningsrapport, 2008)
In this paper we consider a general partial information stochastic differential game where the state process is a controlled Itô-Lévy process. We use Malliavin calculus to derive a maximum principle for general stochastic ...
(Research report / Forskningsrapport, 2008)
We consider the stochastic control problem in a financial market model driven by a Lévy process. In the market, we assume that there are two kinds of investors with different levels of information: auninformed agent whose ...
(Research report / Forskningsrapport, 2008)
We present various versions of the maximum principle for optimal control of forward-backward SDEs with jumps. Our study is motivated by risk minimization via g-expectations. We first prove a general sufficient maximum ...
(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, 2007)
(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 ...
(Research report / Forskningsrapport, 2007)
In this paper we use some ideas of Cornet and de Boisdeffre to study the concept of arbitrage under asymmetric information. The mathematical framework is a separable probability space where the agents' information are ...
(Research report / Forskningsrapport, 2007)
In this paper we develop a model for electricity spot price dynamics. The spot price is assumed to follow an exponential Ornstein-Uhlenbeck (OU) process with an added compound Poisson process, therefore the model allows ...
(Research report / Forskningsrapport, 2007)
In this article we review models for construction of higher-dimensional dependence that have arisen recent years. A multivariate data set, which exhibit complex patterns of dependence, particularly in the tails, can be ...
(Research report / Forskningsrapport, 2007)
In this paper we develop statistical models for bankruptcy prediction of Norwegian firms in the limited liability sector using annual balance sheet information. We fit generalized linear-, generalized linear mixed- and ...
(Research report / Forskningsrapport, 2007)
The asymptotic behavior of several goodness-of-fit statistics for copula families is obtained under contiguous alternatives. Many comparisons between a Craméer-von Mises functional of the empirical copula process and new ...
(Research report / Forskningsrapport, 2007)
In this paper we present a general method to study stochastic equations for a broader class of driving noises. We explain the main principles of this approach in the case of stochastic differential equations driven by a ...
(Research report / Forskningsrapport, 2007)
(Research report / Forskningsrapport, 2007)
In this paper we aim at establishing a necessary and sufficient maximum principle for partial information control of general stochastic games, where the controlled process is given by a stochastic reaction-diffusion equation ...
(Research report / Forskningsrapport, 2007)
The continuous-time version of Kyle's (1985) model of asset pricing with asymmetric information is studied, and generalized in various directions, i.e., by allowing time-varying noise trading, and by allowing the orders ...
(Research report / Forskningsrapport, 2007)
Transfinite mean value interpolation has recently emerged as a simple and robust way to interpolate a function f defined on the boundary of a planar domain. In this paper we study basic properties of the interpolant, ...
(Research report / Forskningsrapport, 2007)
When an oil or gas field development project is evaluated, having a satisfactory production model is very important. Since the first attempts in the 40's, many different models have been developed for this purpose. Such a ...
(Research report / Forskningsrapport, 2007)
We study discretizations of the Maxwell-Klein-Gordon equation as an example of a constrained geometric non-linear evolution partial differential equation. For the temporal gauge we propose a fully discrete scheme which ...
(Research report / Forskningsrapport, 2007)
One inherent weakness of traditional reliability theory (see eqr 340) is that the system and the components are always described just as functioning or failed. The first attempts to replace this by a theory for multistate ...
(Research report / Forskningsrapport, 2007)
Several aspects of nonslender (short) column limits are considered. Such limits, below which it is acceptable to ignore local second-order effects that may cause maximum moment to develop between member ends, are generally ...
(Research report / Forskningsrapport, 2007)
We derive derivative-free formulas for the delta and other Greeks of options written on an asset modeled by a geometric Brownian motion with stochastic volatility of Barndorff-Nielsen and Shephard type. The method applies ...
(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, 2007)
In this paper we first deal with the problem of optimal control for zero-sum stochastic differential games. We give a necessary and sufficient maximum principle for that problem with partial information. Then we use the ...
(Research report / Forskningsrapport, 2007)
Several copula goodness-of-fit approaches are examined, three of which are proposed in this paper. Results are presented from an extensive Monte Carlo study, where we examine the effect of dimension, sample size and strength ...
(Research report / Forskningsrapport, 2007)
In recent decades, there has been a growing interest for utility indifference based approaches to solve the question of pricing of derivatives in incomplete markets. In this paper we consider a stochastic volatility model ...
(Research report / Forskningsrapport, 2007)
A Bayes type formula is derived for the non-linear filter where the observation contains both general Gaussian noise as well as Cox noise whose jump intensity depends on the signal. This formula extends the well know ...
(Research report / Forskningsrapport, 2007)
This paper introduces the concept of the utility copula, a function which incorporates the dependence information between (or among) variables of a utility function. A utility copula is a natural extension of the ordinary ...