## Search

Now showing items 301-400 of 1674

(Research report / Forskningsrapport, 2004)

We study the well-posedness of discontinuous entropy solutions to quasilinear aniso-tropic degenerate parabolic equations with explicit $(t,x)$--dependence:
$$ \pt u + \si \pxi f_i(u,t,x)=\sij \pxj\left(\aij(u,t,x)\pxi ...

(Research report / Forskningsrapport, 2004)

We present a general framework for deriving continuous dependence estimates for, possibly polynomially growing, viscosity solutions of fully nonlinear degenerate parabolic integro-PDEs. We use this framework to provide ...

(Research report / Forskningsrapport, 2004)

In this paper we study the solitary waves for the coupled system of Schrödinger-Maxwell equations in three-dimensional space. We prove the existence of a sequence of radial solitary waves for these equations with a fixed ...

(Research report / Forskningsrapport, 2004)

We point out that conventional methods for ties correction may be seriously biased when censoring times depend on covariates. We present a simple modification to the Efron correction method which appears to work remarkably ...

(Research report / Forskningsrapport, 2004)

(Research report / Forskningsrapport, 2004)

Pólya trees fix partitions and use random probabilities in order to construct random probability measures. With quantile pyramids we instead fix probabilities and use random partitions. For nonparametric Bayesian inference, ...

(Research report / Forskningsrapport, 2004)

The paper shows how Monte Carlo methods can be improved significantly by conditioning on a suitable variable or vector. In particular this principle is applied to system reliability evaluation. Different choices of variables ...

(Research report / Forskningsrapport, 2004)

Stochastic earthquake models are often based on a marked point process approach as for instance presented in Vere-Jones (1995).
This gives a fine resolution both in space and time making it possible to represent each ...

(Research report / Forskningsrapport, 2004)

In this paper a bootstrap algorithm Much data from spotted microarrays remain unused because obtained with different protocols, platforms or designs, making comparisons across experiments impossible. We have developed a ...

(Research report / Forskningsrapport, 2004)

We give a definition of human uncertainty through subjective likelihood estimates. The subject is asked for his estimated likelihood of a discrete variable, given a present piece of uncertain observation, under the ...

(Research report / Forskningsrapport, 2004)

In this paper a bootstrap algorithm for a reduced rank VAR-model with a restricted linear trend is analyzed. For testing the cointegration rank the asymptotic distribution under the hypothesis is the same as for the usual ...

(Research report / Forskningsrapport, 2004)

We present an approach for analysing internal dependencies in counting processes. This covers the case with repeated events on each of a number of individuals, and, more generally, the situation where several processes are ...

(Research report / Forskningsrapport, 2004)

Particle Image Velocimetry (PIV) has seen a rapid growth over the last two decades, much owing to the developments in digital cameras and solid state laser technologies. PIV can essentially be looked upon as an application ...

(Research report / Forskningsrapport, 2004)

We propose a method for path analysis of survival data with recurrent events. By applying an additive model for the intensity, concepts like direct, indirect and total effects may be defined in an analogous way as for ...

(Research report / Forskningsrapport, 2004)

Sea level and current measurements from Trondheimsleia have been analysed and the parameters of the tidal ellipses for the major tidal components <I>M</I><SUB>2</SUB>, <I>S</I><SUB>2</SUB>, <I>N</I> SUB>2</SUB>, and ...

(Research report / Forskningsrapport, 2004)

A hyperfinite Lévy process is an infinitesimal random walk (in the sense of nonstandard analysis) which with probability one is finite for all finite times. We develop the basic theory for hyperfinite Lévy processes and ...

(Research report / Forskningsrapport, 2004)

The purpose of this paper is to construct the calculus of variations for general zero mean processes with independent increments and, in particular for Lévy processes. The calculus based on the operators D and $\delta$, ...

(Research report / Forskningsrapport, 2004)

We introduce an imperative programming language equipped with variables of higher types. Fragments of this language characterize complexity classes (including the small and important classes LOGSPACE, LINSPACE, PSPACE, P, ...

(Research report / Forskningsrapport, 2004)

Differential equations with generalized coefficients by using the algebra of new generalized functions are investigated. It is shown that the different interpretations of the solutions of such equations can be described ...

(Research report / Forskningsrapport, 2004)

This article addresses issues of model choice in Bayesian contexts, and focusses on the use of the so-called posterior predictive p-values (ppp values). These involve a general discrepancy or conflict measure and depend ...

(Research report / Forskningsrapport, 2004)

We study a semi-discrete splitting method for computing approximate viscosity solutions of the initial value problem for a class of nonlinear degenerate parabolic equations with source terms. It is fairly standard to prove ...

(Research report / Forskningsrapport, 2004)

(Research report / Forskningsrapport, 2004)

We show existence of a unique, regular global solution of the parabolic-elliptic system
$u_t +f(t,x,u)_x+g(t,x,u)+P_x=(a(t,x) u_x)_x$
and $-P_{xx}+P=h(t,x,u,u_x)+k(t,x,u)$ with initial data
$u|_{t=0} = u_0$. Here ...

(Research report / Forskningsrapport, 2004)

We prove a comparison principle for unbounded semicontinuous viscosity sub- and supersolutions of nonlinear degenerate parabolic integro-partial differential equations coming from applications in mathematical finance in ...

(Research report / Forskningsrapport, 2004)

We give the first convergence proof for the Lax-Friedrichs finite difference scheme for non-convex genuinely nonlinear scalar conservation laws of the form
$$
u_t+f(k(x,t),u)_x=0,
$$
where the coefficient $k(x,t)$ is ...

(Research report / Forskningsrapport, 2004)

We consider doubly nonlinear anisotropic degenerate parabolic equations, supplemented with an initial condition and a homogeneous Dirichlet boundary condition. We introduce a notion of entropy solution and prove that the ...

(Research report / Forskningsrapport, 2004)

We consider a general version of the Skorohod integral and of the Malliavin derivative with respect to the Lévy stochastic measures on general topological spaces. The integral operator is introduced as a limit of appropriate ...

(Research report / Forskningsrapport, 2004)

(Research report / Forskningsrapport, 2004)

In this paper we first study the problem of minimal hedging for an insider trader in incomplete markets. We use the forward integral in order to model the insider portfolio and consider a general larger filtration. We ...

(Research report / Forskningsrapport, 2004)

We consider an orthogonal system of stochastic polynomials with respect to a Lévy stoachastic measure on a general topological space. In the case the stochastic measure is Gaussian or of the Poisson type, this orthogonal ...

(Research report / Forskningsrapport, 2004)

We prove existence results for distributional solutions of anisotropic nonlinear elliptic systems with a measure valued right-hand side. The functional setting involves anisotropic Sobolev spaces as well as weak Lebesgue ...

(Research report / Forskningsrapport, 2004)

(Research report / Forskningsrapport, 2004)

We present a method to study strong solutions of stochastic differential equations driven by Lévy processes, whose coefficients are admitted to be irregular. Furthermore we give explicit representations of solutions of such SDE's.

(Research report / Forskningsrapport, 2004)

We consider a generalized hyperelastic-rod wave equation (or generalized Camassa--Holm equation) describing nonlinear dispersive waves in compressible hyperelastic rods. We establish existence of a strongly continuous ...

(Research report / Forskningsrapport, 2004)

We prove that the versal deformation space R of a (not necessarily indecomposable) maximal Cohen-Macaulay module M on a simple singularity X of even dimension is irreducible (in contrast to the odd dimensional case). ...

(Research report / Forskningsrapport, 2004)

A system for displaying tidal currents in an electronic chart display and information system (ECDIS) has been developed and implemented in compliance with the standards of the International Hydrographic Organization (IHO). ...

(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)

We model the daily average temperature variations with a mean-reverting Ornstein-Uhlenbeck process driven by generalized hyperbolic Lévy process and having seasonal mean and volatility. It is emirically demonstrated that ...

(Research report / Forskningsrapport, 2004)

(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 ...

(Research report / Forskningsrapport, 2004)

We consider linear parabolic stochastic integro-PDE's of Feynman-Kac type associated to Lévy-Itô diffusions. The solution of such equations can be represented as certain Feynman-Kac functionals of the associated diffusion ...

(Research report / Forskningsrapport, 2004)

We develop a new method to study the existence of global strong solutions of stochastic differential equations with non-Lipschitzian coefficients driven by a Brownian motion. We derive explicit formulas for strong solutions ...

(Research report / Forskningsrapport, 2004)

We analyze the classical Merton's portfolio optimization problem when the risky asset follows an exponential Ornstein-Uhlenbeck process, also known as the Schwartz mean-reversion dynamics. The corresponding Hamilton-Jacobi-Bellman ...

(Research report / Forskningsrapport, 2004)

Several maps of deformation functors of modules are given which generalise the maps induced by the Knörrer functors. These maps become isomorphisms after introducing linear equations in the target functor. In this manner ...

(Research report / Forskningsrapport, 2004)

We use the dynamic programming approach to derive an equation for the utility indifference price of Markovian claims in a stochastic volatility model proposed by Barndorff-Nielsen and Shephard (2001). The pricing equation ...

(Research report / Forskningsrapport, 2004)

The aim of the paper is to derive essential elements of quantum mechanics from a parametric structure extending that of traditional mathematical statistics. The main extensions relate to symmetry, the choice between ...

(Research report / Forskningsrapport, 2004)

In this paper we review the theory of importance measures for multicomponent binary systems starting out with the classical Birnbaum measure. We then move on to various time independent measures for systems which do not ...

(Research report / Forskningsrapport, 2004)

We study a general optimal stopping problem for a strong Markov process in the case when there is a time lag $\delta>0$ from the time $\tau$ when the decision to stop is taken (a stopping time) to the time $\tau+\delta$ ...

(Research report / Forskningsrapport, 2004)

In this paper we present a method to derive explicit representations of strong solutions of forward stochastic differential equations driven by a Brownian motion. These representations open new perspectives in the study ...

(Research report / Forskningsrapport, 2004)

This article is concerned with variable selection methods for the proportional hazards regression model. Including too many covariates causes extra variability and inflated confidence intervals for regression parameters, ...

(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)

This paper extends the scope of empirical likelihood methodology in three directions: to allow for plug-in estimates of nuisance parameters in estimating equations, slower than √n-rates of convergence, and settings in which ...

(Research report / Forskningsrapport, 2003)

The traditional use of model selection methods in practice is to proceed as if the final selected model had been chosen in advance, without acknowledging the additional uncertainty introduced by model selection. This often ...

(Research report / Forskningsrapport, 2003)

To test if a density <I>f</I> is equal to a specified <I>f</I><SUB>0</SUB>, one knows by the Neyman-Pearson lemma the form
of the optimal test at a specified alternative <I>f</I><SUB>1</SUB>.
Any nonparametric density ...

(Research report / Forskningsrapport, 2003)

We consider classification of a realization of the multivariate spatial-temporal Gaussian random field into one of two populations with different regression mean models and factorized covariance matrices. Unknown means and ...

(Research report / Forskningsrapport, 2003)

In this note we consider testing of a type of linear restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for <I>I</I>(1) variables when there in addition is a restriction ...

(Research report / Forskningsrapport, 2003)

In this paper we explicitly solve a non-linear filtering problem with mixed observations, modelled by a Brownian motion and a generalized Cox process, whose jump intensity is given in terms of a Lévy measure. Motivated by ...

(Research report / Forskningsrapport, 2003)

We describe all operators on scalar finite element spaces which appear as the restriction of a second order (linear) differential operator. More precisely we provide a family of isomorphisms between this space of discrete ...

(Research report / Forskningsrapport, 2003)

A variant of Murat and Tartar's div-curl lemma is stated and proved for Nédélec's edge elements. For sequences of vector fields in sequences of such finite element spaces the hypothesis on the divergence can be put into a ...

(Research report / Forskningsrapport, 2003)

Structural frame systems may be analyzed and designed based on forces from conventional first order theory when second order effects of axial forces on displacements in the compression members of the system are negligible. ...

(Research report / Forskningsrapport, 2003)

The Dirichlet process has been extensively studied over the last thirty years, along with various generalisations, and remains a fundamental tool for nonparametric Bayesian statistics. The probabilistic structure of its ...

(Research report / Forskningsrapport, 2003)

Two characterisations of a random mean from a Dirichlet process, as a limit of finite sums of a simple symmetric form and as a solution of certain stochastic equations, are investigated. These are used to reach results on ...

(Research report / Forskningsrapport, 2003)

In Gåsemyr and Natvig (2001) partial monitoring of components with applications to preventive system maintenance was considered for a binary monotone system of binary components. The purpose of the present paper is to ...

(Research report / Forskningsrapport, 2003)

We explore the consequences of adjoining a symmetry group to a statistical model. Group actions are first induced on the sample space, and then on the parameter space. It is argued that the right invariant measure induced ...

(Research report / Forskningsrapport, 2003)

Generalising the standard frailty models of survival analysis, we propose to model frailty as a weighted Lévy process. Hence the frailty of an individual is not a given quantity, but develops over time. Formulae for the ...

(Research report / Forskningsrapport, 2003)

The intersection set of Bayesian and nonparametric statistics was almost empty until about 1973, but now seems to be growing at a healthy rate. This chapter gives an overview of various theoretical and applied research ...

(Research report / Forskningsrapport, 2003)

A family of nonparametric prior distributions which extends the Dirichlet process is introduced and studied. Such family is first constructed by normalising suitable compound Poisson processes. An alternative derivation ...

(Research report / Forskningsrapport, 2003)

(Research report / Forskningsrapport, 2003)

In this paper we perform a spectral analysis for the kernel operator associated with the transition kernel for the Metropolis-Hastings algorithm that uses a fixed, location independent proposal distribution. Our main ...

(Research report / Forskningsrapport, 2003)

We introduce the forward integral with respect to a pure jump Lévy process and we prove and formula for this integral. Then we use Mallivin calculus to establish a relationship between the forward integral and the Skorohod ...

(Research report / Forskningsrapport, 2003)

In this paper we demonstrate how concepts of white noise analysis can be used to give an explicit solution to a stochastic transport equation driven by space-time Lévy white noise.

(Research report / Forskningsrapport, 2003)

The purpose of this paper is to establish a relation between Wick version of analytic functions with respect to the brownian motion and its associated semigroup.

(Research report / Forskningsrapport, 2003)

We give an explicit formula for the Donsker delta function of a certain class of Lévy processes in the Lévy-Hida distribution space. As an application we use the Donsker delta function to derive an explicit chaos expansion ...

(Research report / Forskningsrapport, 2003)

We propose and prove convergence of a front tracking method for scalar conservation laws with source term. The method is based on writing the single conservation law as a 2x2 quasilinear system without a source term, and ...

(Research report / Forskningsrapport, 2003)

We continue the work that was initiated in [7] on a fast marching-like method for simulating two-phase incompressible immiscible flow of water and oil in a porous medium. The purpose ot the present paper is threefold: (1) ...

(Research report / Forskningsrapport, 2003)

The well-known Lighthill-Whitham-Richards kinematic traffic flow model for unidirectional flow on a single-lane highway is extended to include both abruptly changing road surface conditions and drivers' reaction time and ...

(Research report / Forskningsrapport, 2003)

We derive arbitrage-free pricing dynamics for claims on temperature, where the temperature follows a fractional Ornstein-Uhlenbeck process. Using a fractional white noise calculus, we can express the dynamics as a special ...

(Research report / Forskningsrapport, 2003)

We formulate and prove a non-local ``maximum principle for semicontinuous functions'' in the setting of fully nonlinear degenerate elliptic integro-partial differential equations with integro operators of second order. ...

(Research report / Forskningsrapport, 2003)

We prove well posedness (existence and uniqueness) of renormalized entropy solutions to the Cauchy problem for quasilinear anisotropic degenerate parabolic equations with L1 data. This paperÊ complements the work by Chen ...

(Research report / Forskningsrapport, 2003)

(Research report / Forskningsrapport, 2003)

This Statistical Research Report contains the complete written discussion generated by the two papers “Frequentist Model Average Estimators”, by Hjort and Claeskens, and “The Focussed Information Criterion”, by Claeskens ...

(Research report / Forskningsrapport, 2003)

In this report, finite element models of shells built up of membrane and plate elements are studied. The main objective of the work, presented as thesis for the cand. scient. degree (master equivalent), has been to compare ...

(Research report / Forskningsrapport, 2003)

We propose a Kruzkov-type entropy condition for nonlinear degenerate parabolic equations with discointinuous coefficients. We establish L1 stability, and thus uniqueness, for weak solutions satisfying the entropy condition, ...

(Research report / Forskningsrapport, 2003)

We give an explicit representation of strong solutions of Itô-SDE's in Hilbert spaces in terms of a non linear operation on a stochastic distribution space. This formula can be potentially used to obtain solutions of SDE's ...

Knekning av plater og skall i skipskonstruksjoner / Buckling of plates and shells in ship structures

(Research report / Forskningsrapport, 2003)

Buckling of stiffened plates with arbitrarily oriented stiffeners and of shells are considered. The main objective of the work, presented as a thesis for a cand. scient. degree (master equivalent) at the University of Oslo, ...

(Research report / Forskningsrapport, 2003)

By an approach based on results of A. Ishii, we describe the versal deformation space of any reflexive module on the cone over the rational normal curve of degree m. To each component a resolution is given as the total ...

(Research report / Forskningsrapport, 2003)

(Research report / Forskningsrapport, 2003)

The main objectives of this study have been 1) to carry out impact experiments of fibre reinforced polymer composite plates and 2) numerical simulations of these impacts. Two impact devices were used: a Rosand Instrumented ...

(Research report / Forskningsrapport, 2003)

We determine a new explicit representation of the strong solution of Itô-diffusions and elicit its correspondence to the general stochastic transport equation. We apply this formula to deduce an explicit Donsker delta ...

(Research report / Forskningsrapport, 2003)

Given a B-module M and any presentation B=A/J, the obstruction theory of M as B-module is determined by the usual obstruction class oA for deforming M as A-module and a new obstruction class oJ. These two classes give the ...

(Research report / Forskningsrapport, 2003)

An integral type representation and various extension theorems for monotone linear operators in Lp-spaces are considered in relation to market prices modeling. In particular a characterization of the existence of a ...

(Research report / Forskningsrapport, 2003)

No abstract

(Research report / Forskningsrapport, 2003)

(Research report / Forskningsrapport, 2003)

We prove dimension formulas for the cotangent spaces T1 and T2 for a class of rational surface singularities by calculating a correction term in the general dimension formulas. We get that it is zero if the dual graph of ...

(Research report / Forskningsrapport, 2003)

We study the optimal portfolio problem for an insider, in the case that the performance is measured in terms of the logarithm of the terminal wealth minus a term measuring the roughness and the growth of the portfolio. We ...

(Research report / Forskningsrapport, 2003)

(Research report / Forskningsrapport, 2003)

Under general conditions stated in Rheinländer 30], we prove that in a stochastic volatility market the Radon-Nikodym density of the minimal entropy martingale measure can be expressed in terms of the solution of a semilinear ...

(Research report / Forskningsrapport, 2003)

We show that the isomorphism class of a finite p-group G is determined by the group algebra of G over the field of p elements, hence solving the modular isomorphism problem.

(Research report / Forskningsrapport, 2003)

We model spot prices in energy markets with exponential non-Gaussian Ornstein-Uhlenbeck processes. We generalize the classical geometric Brownian motion and Schwartz' mean-reversion model by introducing Lévy processes as ...

(Research report / Forskningsrapport, 2003)

The main focus of this study is on two parts: a testing part and a numerical simulation part. Three different tests are performed: four point bending testing, static deflection and drop weight impact tests.
The four ...