## Search

Now showing items 201-300 of 1676

(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)

We derive error estimates for finite difference-quadrature schemes approximating viscosity solutions of nonlinear degenerate parabolic integro-PDEs with variable diffusion coefficients. The relevant equations can be viewed ...

(Research report / Forskningsrapport, 2007)

(Research report / Forskningsrapport, 2006)

Tidevannsstrømmen i Tjeldsundet og Ramsundet i Ofoten er simulert med en numerisk havmodell med horisontal gitteroppløsning 25-50 meter. Middelstrømmen i vannsøylen er beregnet for de tre viktigste halvdaglige ...

(Research report / Forskningsrapport, 2006)

We consider a fully parabolic model for chemotaxis with volume-filling effect and a nonlinear diffusion that degenerates in a two-sided fashion. We address the questions of existence of weak solutions and of their regularity ...

(Research report / Forskningsrapport, 2006)

We consider general triangular systems of conservation laws which arise in applications like multi-phase flows in porous media and are non-strictly hyperbolic. We device simple and efficient finite volume schemes of the ...

(Research report / Forskningsrapport, 2006)

We study the problem of optimal control of a jump diffusion, i.e. a process which is the solution of a stochastic differential equation driven by Lévy processes. It is required that the control process is adapted to a given ...

(Research report / Forskningsrapport, 2006)

There exist many methods for survival prediction from high-dimensional genomic data. Most of them combine the Cox proportional hazards model with some dimension reduction estimation technique, like partial least squares ...

(Research report / Forskningsrapport, 2006)

Data from egg sampling surveys often contain a large proportion of zeros. We examine the time and location of collected walleye pollock egg counts from the western Gulf of Alaska, from Kodiak Island to Unimah Pass, in the ...

(Research report / Forskningsrapport, 2006)

We first point out that variance estimates for regression coefficients in exposure stratified case-cohort studies (Borgan et al., 2000) can easily be obtained from influence terms routinely calculated in standard software ...

(Research report / Forskningsrapport, 2006)

In this paper the Barlow and Proschan (1975) measure of the importance of a component in a binary coherent system is revisited. This measure is for the case of components not undergoing repair equal to the probability of ...

(Research report / Forskningsrapport, 2006)

In a market driven by Lévy processes, we consider an optimal portfolio problem for a dealer who has access to some information in general smaller than the one generated by the market events, in this sense we refer to this ...

(Research report / Forskningsrapport, 2006)

This paper proposes a general non-Gaussian Ornstein-Uhlenbeck model for a joint financial process based on marginal Lévy measures joined by a Lévy copula. Simulated processes then result from choices of marginal measures ...

(Research report / Forskningsrapport, 2006)

The development of smoothed projections, constructed by combining the canonical interpolation operators defined from the degrees of freedom with a smoothing operator, have proved to be an effective tool in finite element ...

(Research report / Forskningsrapport, 2006)

We propose and analyse a finite volume scheme of the Godunov type that preserves discrete steady states. The scheme works in resonance regime as well as for problems with discontinuous flux. Moreover, no additional ...

(Research report / Forskningsrapport, 2006)

We study scalar conservation laws in one dimension with the flux function being discontinuous in the space variable. The existence and stability of infinitely many entropy solutions is shown. The existence is a consequence ...

(Research report / Forskningsrapport, 2006)

Two different quantities have been suggested for quantification of evidence in cases where a suspect is found by a search through a database of DNA profiles. The likelihood ratio, typically motivated from a Bayesian setting, ...

(Research report / Forskningsrapport, 2006)

We consider a scalar conservation law with discontinuous flux function. The fluxes are non-convex, have multiple extrema and arbitrary intersections. We propose an entropy formulation based on interface connections and ...

(Research report / Forskningsrapport, 2006)

We consider a stochastic differential game in a financial jump diffusion market, where the agent chooses a portfolio which maximizes the utility of her terminal wealth, while the market chooses a scenario (represented by ...

(Research report / Forskningsrapport, 2006)

We study convergence and summation processes of Fourier series in reduced twisted group C*-algebras of discrete groups.

(Research report / Forskningsrapport, 2006)

We consider a matrix approximation problem arising in the study of entanglement in quantum physics. This notion represents a certain type of correlations between subsystems in a composite quantum system. The states of a ...

(Research report / Forskningsrapport, 2006)

We study a stochastic control problem where the state process is described by a stochastic differential equation driven by a Brownian motion and a Poisson random measure, being affine in both the state and the control. The ...

(Research report / Forskningsrapport, 2006)

We use white noise calculus for Lévy processes to obtain a representation formula for the functionals of a jump diffusion. Then we use this to find an explicit formula for the Donsker delta function of a jump diffusion and ...

(Research report / Forskningsrapport, 2006)

We consider higher-order Camassa--Holm equations describing exponential curves of the manifold of smooth orientation preserving diffeomorphisms of the unit circle in the plane. We establish the existence of a strongly ...

(Research report / Forskningsrapport, 2006)

We propose a non-symmetric copula to model the evolution of electricity and gas prices by a bivariate non-Gaussian Ornstein- Uhlenbeck pure jump process. We identify the marginal processes as driven by normal inverse ...

(Research report / Forskningsrapport, 2006)

This paper focuses on variational solutions of the Cauchy problem for a non- linear wave equation with space-time fractional Brownian noise driving force of Hurst index H.

(Research report / Forskningsrapport, 2006)

Following the increasing awareness of the risk from volatility fluctuations the markets for hedging contracts written on realised volatility has surged. Companies looking for means to secure against unexpected accumulation ...

(Research report / Forskningsrapport, 2006)

We present a well-balanced, large time stepping method for conservation laws with source terms. The numerical method is based on a local reformulation of the balance law as a conservation law with a discontinuous flux ...

(Research report / Forskningsrapport, 2006)

We suggest a finite dfference scheme for the Camassa-Holm equation that can handle general H1 initial data. The form of the difference scheme is judiciously chosen to ensure that it satisfies a total energy inequality. We ...

(Research report / Forskningsrapport, 2006)

Recent work [4] has shown that the Degasperis-Procesi equation is well-posed in the class of (discontinuous) entropy solutions. In the present paper we construct numerical schemes and prove that they converge to entropy ...

(Research report / Forskningsrapport, 2006)

Consider a uniformly strongly consistent statistical functional. We present a new method for extracting limit distributions of the type "the last time" and "the number of times" an error larger than $\epsilon$ is committed ...

(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, 2006)

The non-anticipating stochastic derivative represents the integrand in the best L2-approximation for any random variables by the Itô non-anticipating integrals with respect to a general stochastic measure with independent ...

(Research report / Forskningsrapport, 2006)

A computationally efficient method for elastic buckling and buckling strength analysis of biaxially loaded, stiffened plates with varying, stepwise constant thickness, are presented. The stiffeners may be sniped or end-loaded ...

(Research report / Forskningsrapport, 2006)

We derive error estimates for certain approximate solutions of Bellman equations associated to a class of controlled jump-diffusion (Lévy) processes. These Bellman equations are fully nonlinear degenerate integro-PDEs ...

(Research report / Forskningsrapport, 2006)

(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, 2005)

We propose a quasi-Monte Carlo (qMC) algorithm to simulate variates from the normal inverse Gaussian (NIG) distribution. The algorithm is based on a Monte Carlo technique found in the Rydberg reference, and is based on ...

(Research report / Forskningsrapport, 2005)

We consider Hamilton--Jacobi equations, where the Hamiltonian depends discontinuously on both the spatial and temporal location. Our main results is the existence of viscosity solution to the Cauchy problem, and that the ...

(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, 2005)

We analyze the equivariant restriction (or transfer) maps in topological Hochschild homology associated to inclusions of group rings of the form $R[H]\to R[G]$, where $R$ is a symmetric ring spectrum, $G$ is a discrete ...

(Research report / Forskningsrapport, 2005)

This paper presents a convergence analysis of the multi point flux approximation control volume method, MPFA, in two space dimensions. The MPFA version discussed here is the so-called O-method on general quadrilateral ...

(Research report / Forskningsrapport, 2005)

We present an optimal portfolio problem with logarithmic utility in the following 3 cases:
\begin{itemize}
\item[(i)] The classical case, with complete information from the market available to the agent at all times. ...

(Research report / Forskningsrapport, 2005)

(Research report / Forskningsrapport, 2005)

(Research report / Forskningsrapport, 2005)

It is shown that certain quasi-free flows on the Cuntz algebra O∞ have the Rohlin property and therefore are cocycle-conjugate with each other. This, in particular, shows that any unital separable nuclear purely infinite ...

(Research report / Forskningsrapport, 2005)

This paper examines and applies methods for modelling of longitudinal binary data subject to both intermittent missingness and dropout. The paper is based around the analysis of data from a study into the health impact of ...

(Research report / Forskningsrapport, 2005)

In this article we introduce a general approach to dynamic path analysis. This is an extension of classical path analysis to the situation where variables may be time-dependent and where the outcome of main interest is a ...

(Research report / Forskningsrapport, 2005)

We propose a spatial-temporal stochastic model for daily average temperature data. First we build a model for a single spatial location, independently on the spatial information. The model includes trend, seasonality and ...

(Research report / Forskningsrapport, 2005)

We show that under reasonable conditions, online learning for a nonlinear function near a local minimum is similar to a multivariate Ornstein Uhlenbeck process. This implies that the parameter state oscillates randomly ...

(Research report / Forskningsrapport, 2005)

ARBITRAGE-FREE PRICING DYNAMICS OF INTEREST-RATE GUARANTEES BASED ON THE UTILITY INDIFFERENCE METHOD

(Research report / Forskningsrapport, 2005)

We consider the problem of utility indifference pricing of a put option written on a non-tradeable asset, where we can hedge in a correlated asset. The dynamics are assumed to be a two-dimensional geometric Brownian motion, ...

(Research report / Forskningsrapport, 2005)

Discrete de Rham complexes are fundamental tools in the construction of stable elements for mixed finite element methods. The purpose of this paper is to discuss a new discrete de Rham complex in three space dimensions, ...

(Research report / Forskningsrapport, 2005)

This paper establishes the convergence of a multi point flux approximation control volume method on rough quadrilateral grids. By rough grids we refer to a family of refined quadrilateral grids where the cells are not ...

(Research report / Forskningsrapport, 2005)

The paper introduces the pyramid probability distribution through its density in two dimensions, and investigates its properties and those of its copula. The research focuses on ways in which the pyramid distribution ...

(Research report / Forskningsrapport, 2005)

We introduce the notion of a Galois extension of commutative S-algebras (E∞ ring spectra), often localized with respect to a fixed homology theory. There are numerous examples, including some involving Eilenberg-Mac Lane ...

(Research report / Forskningsrapport, 2005)

In this paper a simple of combined singular stochastic control and optimal stopping in the jump-diffusion model is formulated and solved. We give sufficient conditions for the existence of an optimal strategy which has the ...

(Research report / Forskningsrapport, 2005)

O'Hagan (2003) introduces some tools for criticism of Bayesian hierarchical models that can be applied at each node of the model, with a view to diagnosing problems of model fit at any point in the model structure. His ...

(Research report / Forskningsrapport, 2005)

We study impulse control problems of jump diffusions with delayed reaction. This means that there is a delay $\delta>0$ between the time when a decision for intervention is taken and the time when the intervention is ...

(Research report / Forskningsrapport, 2005)

This report provides a discussion about the fundamentals of the frequentist approach to the classical nonlinear least squares head - discharge power-law rating curve model, which is a vital procedure in practical hydrology. ...

(Research report / Forskningsrapport, 2005)

When analyzing flight accident data over some period of time, it is clear that the rates of serious accidents per year show a steady decline. For a recent analysis of this see e.g., Landsberg [2]. However, by focusing only ...

(Research report / Forskningsrapport, 2005)

We compare several accounting based models for bankruptcy prediction. The models are developed and tested on large data sets containing annual financial statements for Norwegian limited liability firms. Out-of-sample and ...

(Research report / Forskningsrapport, 2005)

The main issue of this report is comparison and verification of long wave models with emphasis on variable depth effects. A selection of dispersive long wave theories are reviewed. Included are the so-called standard ...

(Research report / Forskningsrapport, 2005)

Standard use of Cox's regression model and other relative risk regression models for censored survival data requires collection of covariate information on all individuals under study even when only a small fraction of ...

(Research report / Forskningsrapport, 2005)

Copulae is a growing field of interest and application for dependency modelling. There is however no predominant way of choosing the copula model that best fits a given data set. We introduce a new goodness-of-fit test, ...

(Research report / Forskningsrapport, 2005)

In this paper we study perpetual integral functionals of diffusions. Our interest is focused on cases where such functionals can be expressed as first hitting times for some other diffusions. In particular, we generalize ...

(Research report / Forskningsrapport, 2005)

We elaborate on the interpretation of some mixed finite element spaces in terms of differential forms. First we develop a framework in which we show how tools from algebraic topology can be applied to the study of their ...

(Research report / Forskningsrapport, 2005)

This paper focuses on variational solutions of the Cauchy problem for a nonlinear wave equation with space-time fractional Brownian noise driving force of Hurst index $H\in (1/2,1)$ and random initial data. It is shown ...

(Research report / Forskningsrapport, 2005)

(Research report / Forskningsrapport, 2005)

In this paper we consider the problem to find a market portfolio that minimizes the convex risk measure of the terminal wealth in a jump diffusion market. We formulate the problem as a two player (zero-sum) stochastic ...

(Research report / Forskningsrapport, 2005)

Buckling of plates with arbitrarily oriented, sniped stiffeners are studied. The main objective is to present and validate an approximate, semi-analytical computational model for such plates subjected to in-plane loading. ...

(Research report / Forskningsrapport, 2005)

We prove a reduction theorem for capacity of positive maps of finite dimensional C*-algebras, thus reducing the computation of capacity to the case when the image of a nonscalar projection is never a projection.

(Research report / Forskningsrapport, 2005)

We propose an mean-reverting model for the spot price dynamics of electricity which includes seasonality of the prices and spikes. The dynamics is a sum of non-Gaussian Ornstein-Uhlenbeck processes with jump processes ...

(Research report / Forskningsrapport, 2005)

We prove well-posedness (existence and uniqueness) results for aÊ class of degenerate reaction-diffusion systems. A prototype system belongingÊ to this class is provided by the bidomain model, which is frequently used toÊ ...

(Research report / Forskningsrapport, 2005)

We consider a weakly dissipative hyperelastic-rod wave equation (or weakly dissipative Camassa-Holm equation) describing nonlinear dispersive dissipative waves in compressible hyperelastic rods. By fixed a smooth solution, ...

(Research report / Forskningsrapport, 2005)

Gear design, like many other areas in mechanical engineering, is influenced by a number of factors. Direct factors can be accounted for by the application of the physics and mathematics of the problem. In order to include ...

(Research report / Forskningsrapport, 2005)

An insider is an agent who has access to larger information than the one given by the development of the market events and who takes advantage of this in optimizing his position in the market. In this paper we consider the ...

(Research report / Forskningsrapport, 2005)

In this report, the finite element method is applied to shells modeled using membrane and plate elements. The main objective of the work has been to evaluate the performance of in-plane 3-node membrane elements in an effort ...

(Research report / Forskningsrapport, 2005)

We propose an Ornstein-Uhlenbeck process with seasonal volatility to model the time dynamics of daily average temperatures. The model is fitted to almost 43 years of daily observations recorded in Stockholm, one of the ...

(Research report / Forskningsrapport, 2005)

We consider a shallow water equation of Camassa-Holm type, containing nonlinear dispersive effects as well as fourth order dissipative effects. We prove that as the diffusion and dispersion parameters tend to zero, with a ...

(Research report / Forskningsrapport, 2005)

ACI Committee 318 (Standard Building Code) established some time ago a Slender Column Task Group that was charged with formulating code provisions, to streamline, and if possible, to simplify the current requirements on ...

(Research report / Forskningsrapport, 2005)

Buckling of stiffened plates with arbitrary stiffener orientations and with constant or stepwise constant plate thickness are studied. The stiffeners are sniped at their ends and they are not subjected to an external ...

(Research report / Forskningsrapport, 2005)

The design of this study is to investigate the evolution of a stochastic price process consequent to discrete processes of bids and offers in a market microstructure setting. Under a set of flexible assumptions about agent ...

(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, 2005)

We develop a white noise framework and the theory of stochastic distribution spaces for Hilbert space valued Lévy processes in order to study generalized solutions of stochastic evolution equations in these spaces driven ...

(Research report / Forskningsrapport, 2005)

We derive error estimates for approximate (viscosity) solutions of Bellman equations associated to controlled jump-diffusion processes, which are fully nonlinear integro-partial differential equations. Two main results are ...

(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, 2005)

(Research report / Forskningsrapport, 2005)

This paper presents an analytic approximation for the pricing dynamics of spark spread options in terms of Fourier transforms. We propose to model the spark spread, that is, the price difference of electricity and gas, ...

(Research report / Forskningsrapport, 2005)

We prove existence of a renormalized soluion to a system of nonlinear partial differential equations with anisotropic diffusivities and transport effects, supplemented with initial and Dirichlet boundary conditions. The ...

(Research report / Forskningsrapport, 2005)

The main objective of the work has been to develop theoretical methods that allow prediction of the strength of different adhesively bonded joints, and to evaluate the methods by comparing predictions with results achieved ...

(Research report / Forskningsrapport, 2005)

We prove an existence and uniqueness result for a general class of backward stochastic partial differential equations with jumps. This is a type of equations which appear as adjoint equations in the maximum principle ...

(Research report / Forskningsrapport, 2005)

A well-studied one-dimensional model for the operation of clarifier-thickener units in engineering applications can be expressed as a conservation law with a flux that is discontinuous with respect to the spatial variable. ...

(Research report / Forskningsrapport, 2005)

In frame structures, consisting of columns and beams, gravity loading on beams (floors) leads to moments as well as axial forces in the columns. In cases with slender columns, maximum moments may develop between columns ...

(Research report / Forskningsrapport, 2005)

(Research report / Forskningsrapport, 2004)

In this paper we obtain existence and uniqueness of solutions of forward stochastic differential equations driven by compensated Poisson random measures. To this end, an Itô-Ventzell formula for jump processes is proved ...

(Research report / Forskningsrapport, 2004)

Given an ordinary elliptic curve on Hesse form over a finite field of characteristic three, we give a sequence of elliptic curves which leads to an effective construction of the canonical lift, and obtain an algorithm for ...

(Research report / Forskningsrapport, 2004)

The existence of a positive solution in a weighted Sobolev space for an homogeneous semilinear elliptic integro-differential Dirichlet problem is proved. The integral operator of the equation depends on a nonlinear function ...