This article studies singular mean field control problems and singular mean field two-players stochastic differential games. Both sufficient and necessary conditions for the optimal controls and for the Nash equilibrium ...

It is argued that the accuracy of risk aggregation in Solvency II can be improved by updating skewness recursively. A simple scheme based on the log-normal distribution is developed and shown to be superior to the standard ...

As modern biotechnologies advance, it has become increasingly frequent that different modalities of high-dimensional molecular data (termed “omics” data in this paper), such as gene expression, methylation, and copy number, ...

We show that the Cuntz splice induces stably isomorphic graph C∗-algebras. This result is a key step towards the recent complete classification of unital graph C∗-algebras both with respect to K-theoretical classification ...

We study methods for solving stochastic control problems of systems offorward–backward mean-field equations with delay, in finite and infinite time horizon.Necessary and sufficient maximum principles under partial information ...

By a memory mean-field process we mean the solution X(\cdot ) of a stochastic mean-field equation involving not just the current state X(t) and its law \mathcal {L}(X(t)) at time t, but also the state values X(s) and its ...

In recent years, renewable energy has gained importance in producing power in many markets. The aim of this article is to model photovoltaic (PV) production for three transmission operators in Germany. PV power can only ...

Influential points can cause severe problems when deriving a multivariable regression model. A novel approach to check for such points is proposed, based on the variable inclusion matrix, a simple way to summarize results ...

We introduce the notion of accurate foundation sets and the accurate refinement property for right LCM semigroups. For right LCM semigroups with this property, we derive a more explicit presentation of the boundary quotient. ...

Banebrytende forskningsmodeller innenfor viktige tema/fagområder som blant annet klima, menneskekroppen og jordskorpen tar alle utgangspunkt i kompliserte dataprogrammer, og krever ofte flere dager for en super-datamaskin ...

This paper presents a nonconforming finite element approximation of the space of symmetric tensors with square integrable divergence, on tetrahedral meshes. Used for stress approximation together with the full space of ...

We give a short introduction to the stochastic calculus for Itô-Lévy processes and review briefly the two main methods of optimal control of systems described by such processes: (i) Dynamic programming and the ...

In this paper an infinite-dimensional approach to model energy forward markets is introduced. Similar to the Heath–Jarrow–Morton framework in interest-rate modelling, a first-order hyperbolic stochastic partial differential ...

We study valuation of swing options on commodity markets when the commodity prices are driven by multiple factors. The factors are modeled as diffusion processes driven by a multidimensional Lévy process. We set up a ...

In this paper we propose a new modelling framework for electricity futures markets based on so-called ambit fields. The new model can capture many of the stylised facts observed in electricity futures and is highly ...

We study optimal stochastic control problems with jumps under model uncertainty. We rewrite such problems as stochastic differential games of forward–backward stochastic differential equations. We prove general stochastic ...

We consider a financial market model with a single risky asset whose price process evolves according to a general jump-diffusion with locally bounded coefficients and where market participants have only access to a partial ...

This paper is mainly a survey of recent research developments regarding methods for risk minimization in financial markets modeled by Itô-Lévy processes, but it also contains some new results on the underlying stochastic ...

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 ...

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 ...

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 ...

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 ...

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 ...

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. ...

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 ...

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 ...

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 ...

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 ...

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, ...

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 ...

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.

Use of auxiliary variables for generating proposal variables within a Metropolis-Hastings setting has been suggested in many different settings. This has in particular been of interest for simulation from complex distributions ...

When a large oil or gas field is produced, several reservoirs often share the same processing facility. This facility is typically capable of processing only a limited amount of oil, gas and water per unit of time. In order ...

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 ...

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 ...

The recent deregulation of electricity markets has led to the creation of energy exchanges, where the electricity is traded like any other com- modity. In this paper, we study the most salient statistical features of ...

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 ...

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 ...

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 ...

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 ...

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> ...

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 ...

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 ...

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 ...

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 ...

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 ...

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, ...

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 ...

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 ...

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 ...

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 ...

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 ...

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 ...

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 ...

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, ...

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.

In this paper we investigate the recently introduced Malliavin approach compared to more classical approaches to find sensitivities of options in commodity and energy markets. The Malliavin approach has been developed in ...

We develop a white noise calculus for pure jump Lévy processes on Poisson space. This theory covers the treatment of Lévy processes of unbounded variation. The starting point of the theory is a novel construction of a ...

In this paper we develop a white noise framework for the study of stochastic partial differential equations driven by a d-parameter (pure jump) Lévy white noise. As an example we use this theory to solve the stochastic ...

Let G be a finite p-group. The problem whether (the isomorphism class of) G is determined by its group algebra over the field of p elements (the modular group algebra) is usually referred to as the modular isomorphism ...

While it is common knowledge that portfolio separation in a continuous-time lognormal market is due to the basic properties of the normal distribution, the usual exposition found in text books relies on dynamic programming ...

We continue our study of the concepts of amenability and co-amenability for algebraic quantum groups in the sense of A. Van Daele and our investigation of their relationship with nuclearity and injectivity. One major tool ...

The Shanley model concept is used for simulating the elastic non-linear interaction between local buckling and overall buckling of thin-walled columns subjected to axial compression. The spring foundation is given a general ...

The report summarizes the work performed at the Department of Mathematics, during the first year of the European research project GITEC-TWO (contract ENV4-U96-0297). Some of the result will subsequently be published elsewhere ...

The perturbation method is applied in an incremental scheme for tracing non-linear equilibrium paths of structures which are subjected to a set of simultaneously acting external loads. The method is based on the discretesized ...