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Now showing items 301-400 of 2076

Stackelberg equilibria in continuous newsvendor models with uncertain demand and delayed information

(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2014)

We consider explicit formulae for equilibrium prices in a continuous-time vertical contracting model. A manufacturer sells goods to a retailer, and the objective of both parties is to maximize expected profits. Demand is ...

(Journal article / Tidsskriftartikkel / SubmittedVersion, 2014)

We develop a general approach to portfolio optimization in futures markets. Following the Heath–Jarrow–Morton (HJM) approach, we model the entire futures price curve at once as a solution of a stochastic partial differential ...

(Journal article / Tidsskriftartikkel / SubmittedVersion, 2014)

(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 ...

(Doctoral thesis / Doktoravhandling, 2013)

(Research report / Forskningsrapport, 2013)

We consider a class of Hilbert-space valued SDE’s where the drift coefficients are non- Lipschitzian in the sense of Hölder-continuity. Using a novel technique based on Malliavin calculus we show in this paper the existence ...

(Doctoral thesis / Doktoravhandling, 2013)

(Doctoral thesis / Doktoravhandling, 2013)

(Doctoral thesis / Doktoravhandling, 2013)

(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2013)

This is an Author's Accepted Manuscript of an article published in Linear and Multilinear Algebra
Volume 61, Issue 3, 2013. Published online: 07 Jun 2012. Copyright Taylor & Francis, available online

(Conference object / Konferansebidrag, 2013)

Joint International Meeting of the AMS and the Romanian Mathematical Society, Alba Iulia, 2013-06-27-2013-06-30.

(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2013)

J. Noncommut. Geom. 7 (2013), 525–546 Copyright 2013 European Mathematical Society.

(Chapter / Bokkapittel / PublishedVersion; Peer reviewed, 2013)

(Research report / Forskningsrapport, 2013)

The aim of the present work is to predict the ultimate strength of simply supported plates subjected to in-plane compressive load using a semi-analytical method. Based on large deflection theory in combination with first ...

(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2013)

(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, 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 ...

(Doctoral thesis / Doktoravhandling, 2013)

(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2013)

We study stochastic differential games of jump diffusions driven by Brownian motions and compensated Poisson random measures, where one of the players can choose the stochastic control and the other player can decide when ...

(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2013)

We prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. We establish first and second sufficient stochastic maximum principles as well as necessary conditions for that problem. ...

(Research report / Forskningsrapport, 2013)

(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 ...

(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2013)

The study of chromatin 3D structure has recently gained much focus owing to novel techniques for detecting genome-wide chromatin contacts using next-generation sequencing. A deeper understanding of the architecture of the ...

(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2013)

(Research report / Forskningsrapport, 2013)

We propose a finite difference scheme to simulate solutions to a certain type of hyperbolic stochastic partial differential equation (SPDE). These solutions can in turn estimate so called volatility modulated Volterra (VMV) ...

(Research report / Forskningsrapport, 2013)

We find a maximum principle for processes driven by martingale random fields. We do so by describing the adjoint processes with non-anticipating stochastic derivatives. In the case of the Levy processes this mimics maximum ...

(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2013)

We consider the pricing problem of a seller with delayed price information. By using Lagrange duality, a dual problem is derived, and it is proved that there is no duality gap. This gives a characterization of the seller’s ...

(Research report / Forskningsrapport, 2013)

We consider a backward stochastic di erential equation with jumps (BSDEJ) which is driven by a Brownian motion and a Poisson random measure. We present two candidate-approximations to this BSDEJ and we prove that the ...

(Research report / Forskningsrapport, 2013)

A general market model with memory is considered. The formulation is given in terms of stochastic functional di erential equations, which allow for exibility in the modeling of market memory and delays. We focus on the ...

(Research report / Forskningsrapport, 2013)

Two independent sets of analytical solutions, one based on matrix inversion and one based on iteration, are derived for the displacement field and corresponding stress state in multi-layer cylinders subjected to pressure ...

(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2013)

We provide a generalization of the algorithm of Eklund, Jost and Peterson for computing Segre classes of closed subschemes of projective k-space. The algorithm is here generalized to computing the Segre classes of closed ...

(Doctoral thesis / Doktoravhandling, 2013)

The first part of this thesis deals with cuspidal curves on Hirzebruch surfaces. Bounds are given on the number and type of cusps on cuspidal curves, and rational cuspidal curves are constructed using birational ...

(Research report / Forskningsrapport, 2013)

Simply supported plates of laminated composite material subjected to uniaxial in-plane compression have been investigated. The ultimate strength analysis has been performed using a semi-analytical method based on large ...

(Chapter / Bokkapittel / AcceptedVersion; Peer reviewed, 2013)

Numerical simulations using non-linear finite element analysis have been perform to study ship grounding. The results are compared with experimental tests which was performed in USA in 1995 and good agreement is achieved. ...

(Research report / Forskningsrapport, 2013)

In their paper Barndorff-Nielsen, Benth and Veraart employ so called Ambit fields to model electricity spot-forward dynamics. We briefly introduce and discuss Ambit fields in the setting of modelling electricity forward ...

(Doctoral thesis / Doktoravhandling, 2013)

(Doctoral thesis / Doktoravhandling, 2013)

The current study is comprised of two aspects of research i.e. numerical and experimental. The Numerical investigations enhance and verify experimental observations. In the first task, an effort was made to numerically ...

(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2013)

An interaction of internal solitary waves with the shelf edge in the time periods related to the presence of a pronounced seasonal pycnocline in the Red Sea and in the Alboran Sea is analysed via satellite photos and SAR ...

(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2013)

[1] A model for the turbulence dissipation rate in stably stratified shear turbulence is developed and validated. The functional dependence of the model is derived from first principles and it represents a conceptually new ...

(Doctoral thesis / Doktoravhandling, 2013)

(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2013)

The immense increase in availability of genomic scale datasets, such as those provided by the ENCODE and Roadmap Epigenomics projects, presents unprecedented opportunities for individual researchers to pose novel falsifiable ...

(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2013)

We prove that every circled domain in the Riemann sphere admits a proper holomorphic embedding into the affine plane C^2.

(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2013)

We introduce a simplex spline basis for a space of C^1-quadratics on the well-known Powell-Sabin 12-split triangular region. Among its many important desirable properties, we show that it has an associated recurrence ...

(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2013)

Background
Hyperemesis gravidarum (HG) characterized by excessive nausea and vomiting in early pregnancy, is reported to be associated with increased risks for low birthweight (LBW), preterm birth (PTB), ...

(Journal article / Tidsskriftartikkel / SubmittedVersion, 2013)

We study presentations of Cox rings of K3 surfaces of Picard number 2. In particular we consider the Cox rings of classical examples of K3 surfaces, such as quartic surfaces containing a line and doubly elliptic K3 surfaces.

(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2013)

We provide a notion of finite element system, that enables the construction spaces of differential forms, which can be used for the numerical solution of variationally posed partial difeerential equations. Within this ...

(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, 2013)

We study optimal stochastic control problems of general coupled systems of forward- backward stochastic di erential equations with jumps. By means of the Itô-Ventzell formula the system is transformed to a controlled ...

(Journal article / Tidsskriftartikkel / SubmittedVersion, 2013)

In this paper, we prove a maximum principle for general stochastic differential Stackelberg games, and apply the theory to continuous time newsvendor problems. In the newsvendor problem, a manufacturer sells goods to a ...

(Journal article / Tidsskriftartikkel / SubmittedVersion, 2013)

We prove maximum principles for the problem of optimal control for a jump diffusion with infinite horizon and partial information. The results are applied to an optimal consumption and portfolio problem in infinite ...

(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2013)

Tsunamis induced by rock slides plunging into fjords constitute a severe threat to local coastal communities. The rock slide impact may give rise to highly non-linear waves in the near field, and because the wave lengths ...

(Research report / Forskningsrapport, 2013)

Sequential Monte Carlo (SMC) methods are one of the most important computational tool to deal with intractability in complex statistical models. In those techniques, the distribution of interest is approximated by a set ...

(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2013)

We give a short introduction to energy markets, describing how they function and what products are traded. Next we survey some of the popular models that have been proposed in the literature. We extend the analysis of one ...

(Journal article / Tidsskriftartikkel / SubmittedVersion, 2013)

We consider a general class of high order weak approximation schemes for stochastic differential equations driven by Lévy processes with infinite activity. These schemes combine a compound Poisson approximation for the ...

(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2013)

Extreme weather conditions represent serious natural hazards to ship operations and may be the direct cause or contributing factor to maritime accidents. Such severe environmental conditions can be taken into account in ...

(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2013)

We define a discrete gauge-invariant Yang–Mills–Higgs action on spacetime cylindrical meshes with simplicial spatial base. The formulation is a generalization of classical lattice gauge theory, and we prove consistency of ...

(Research report / Forskningsrapport, 2012)

Revised version July 2014

(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, 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 ...

(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 ...

(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2012)

The single auction equilibrium of Kyle’s (1985) is studied, in which noise traders may be partially informed, or alternatively they can be manipulated. Unlike Kyle’s assumption that the quantity traded by the noise traders ...

(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2012)

We study partial information, possibly non-Markovian, singular stochastic control of Itô--Lévy processes and obtain general maximum principles. The results are used to find connections between singular stochastic control, ...

(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2012)

The aim of this paper is to study pricing of weather insurance contracts based on temperature indices. Three different pricing methods are analysed: the classical burn approach, index modelling and temperature modelling. ...

(Research report / Forskningsrapport, 2012)

(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 ...

(Journal article / Tidsskriftartikkel / SubmittedVersion, 2012)

We study the robustness of options prices to model variation in a multidimensional jump-diffusion framework. In particular, we consider price dynamics in which small variations are modeled either by a Poisson random measure ...

(Research report / Forskningsrapport, 2012)

We study the pricing of spread options. We consider a bivariate jump-diffusion model for the price process and we obtain a Margrabe type formula for the evaluation of the spread option. Moreover, we consider models in which ...

(Research report / Forskningsrapport, 2012)

In an L<sub>2</sub>-framework, we study various aspects of stochastic calculus with respect to the centered doubly stochastic Poisson process. We introduce an orthogonal basis via multilinear forms of the value of the ...

(Research report / Forskningsrapport, 2012)

We prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. We establish first and second sufficient stochastic maximum principles as well as necessary conditions for that problem. ...

(Research report / Forskningsrapport, 2012)

(Research report / Forskningsrapport, 2012)

(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2012)

We show experimental evidence that as relatively long unidirectional waves propagate over a sloping bottom, from a deeper to a shallower domain, there can be a local maximum of kurtosis and skewness close to the shallower ...

(Research report / Forskningsrapport, 2012)

We prove maximum principles for the problem of optimal control for a jump diffusion with infinite horizon and partial information. The results are applied to partial information optimal consumption and portfolio problems ...

(Research report / Forskningsrapport, 2012)

In this paper we develop a method for constructing strong solutions of one-dimensional SDE’s where the drift may be discontinuous and unbounded. The driving noise is the Brownian Motion. In addition to existence and ...

(Journal article / Tidsskriftartikkel / SubmittedVersion, 2012)

In this paper we present a stochastic model for daily average temperature. The model contains seasonality, a low-order autoregressive component and a variance describing the heteroskedastic residuals. The model is estimated ...

(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2012)

On 11 March 2011 the Tohoku tsunami devastated the east coast of Japan, claiming thousands of casualties and destroying coastal settlements and infrastructure. In this paper tsunami generation, propagation, and inundation ...

(Doctoral thesis / Doktoravhandling, 2012)

(Doctoral thesis / Doktoravhandling, 2012)

In the process of modeling, the agent has to make a number of decisions. Therefore two agents can set up different models. This thesis compares the influence of different model choices to stochastic control theory and ...

(Doctoral thesis / Doktoravhandling, 2012)

(Doctoral thesis / Doktoravhandling, 2012)

(Doctoral thesis / Doktoravhandling, 2012)

(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2012)

Atlantic salmon populations are reported to be declining throughout its range, raising major management concerns. Variation in adult fish abundance may be due to variation in survival, growth, and timing of life history ...

(Journal article / Tidsskriftartikkel / SubmittedVersion, 2012)

We study the geometry underlying the difference between non-negative polynomials and sums of squares (SOS). The hypersurfaces that discriminate these two cones for ternary sextics and quaternary quartics are shown to be ...

(Doctoral thesis / Doktoravhandling, 2012)

(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2012)

In this paper, we initiate a study on optimal control problem for stochastic differential games under generalized expectation via backward stochastic differential equations and partial information. We first prove a sufficient ...

(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2012)

We study the optimal stopping problem proposed by Dupuis and Wang (Adv. Appl. Probab. 34:141–157, 2002). In this maximization problem of the expected present value of the exercise payoff, the underlying dynamics follow a ...

(Journal article / Tidsskriftartikkel / SubmittedVersion, 2012)

In power markets one frequently encounters a risk premium being positive in the short end of the forward curve and negative in the long end. Economically it has been argued that the positive premium is reflecting retailers ...

(Journal article / Tidsskriftartikkel / SubmittedVersion, 2012)

This is the pre-peer reviewed version of the following article: Benth, Fred Espen; Lempa, Jukka; Nilssen, Trygve Kastberg, On the optimal exercise of swing options in electricity markets, Journal of Energy Markets. 2012, ...

(Research report / Forskningsrapport, 2011)

In an L∞-framework, we present a few extension theorems for linear operators. We focus the attention on majorant preserving and sandwich preserving types of extensions. These results are then applied to the study of price ...

(Research report / Forskningsrapport, 2011)

(Research report / Forskningsrapport, 2011)

We consider a time-advanced backward stochastic di erential equations (AB-SDEs). We study Malliavin di erentiability of solutions of such equations and derive equations satis ed by the Malliavin derivative processes.

(Research report / Forskningsrapport, 2011)

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, 2011)

Predicting the reliability of software systems based on a component-based approach is inherently difficult, in particular due to failure dependencies between software components. One possible way to assess and include ...

(Research report / Forskningsrapport, 2011)

(Research report / Forskningsrapport, 2011)

(Research report / Forskningsrapport, 2011)

We study optimal stochastic control problems under model uncertainty. We rewrite such problems as (zero-sum) stochastic di erential games of forward-backward stochastic di erential equations. We prove general stochastic ...

(Research report / Forskningsrapport, 2011)

Climate change will affect the insurance industry. We develop a Bayesian hierarchical statistical approach to explain and predict insurance losses due to weather events at a local geographical scale. The number of ...

(Research report / Forskningsrapport, 2011)

The aim of this paper is to study pricing of weather insurance contracts based on temperature indices. Three different pricing methods are analysed: the classical burn approach, index modelling and temperature modelling. ...

(Research report / Forskningsrapport, 2011)

We prove an existence and uniqueness result for non-linear time-advanced backward stochastic partial di erential equations with jumps (ABSPDEJs). We then apply our results to study a time-advanced backward type of stochastic ...