## Search

Now showing items 1-100 of 132

(Doctoral thesis / Doktoravhandling, 2018)

(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2017)

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 ...

(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2017)

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 ...

(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2017)

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, ...

(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2017)

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 ...

(Journal article / Tidsskriftartikkel / SubmittedVersion, 2017)

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 ...

(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2017)

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 ...

(Journal article / Tidsskriftartikkel / SubmittedVersion, 2017)

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 ...

(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2017)

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 ...

(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2016)

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. ...

(Doctoral thesis / Doktoravhandling, 2015)

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 ...

(Doctoral thesis / Doktoravhandling, 2014)

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

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 ...

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

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 ...

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

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 ...

(Journal article / Tidsskriftartikkel / SubmittedVersion, 2014)

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 ...

(Journal article / Tidsskriftartikkel / SubmittedVersion, 2014)

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 ...

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

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 ...

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

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 ...

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

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 ...

(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. ...

(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, ...

(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, 2009)

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 ...

(Doctoral thesis / Doktoravhandling, 2009)

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 ...

(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, 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, 2007)

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 ...

(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 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, 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, 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, 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, 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, 2002)

(Research report / Forskningsrapport, 2002)

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, 2002)

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 ...

(Research report / Forskningsrapport, 2002)

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 ...

(Research report / Forskningsrapport, 2002)

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 ...

(Research report / Forskningsrapport, 2002)

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 ...

(Research report / Forskningsrapport, 2001)

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 ...

(Research report / Forskningsrapport, 2001)

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 ...

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 1999)

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 ...

(Research report / Forskningsrapport, 1999)

(Research report / Forskningsrapport, 1999)

(Research report / Forskningsrapport, 1999)

(Research report / Forskningsrapport, 1999)

(Research report / Forskningsrapport, 1999)

(Research report / Forskningsrapport, 1998)

(Research report / Forskningsrapport, 1998)

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 ...

(Research report / Forskningsrapport, 1998)

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 ...

(Research report / Forskningsrapport, 1998)

(Research report / Forskningsrapport, 1998)

(Research report / Forskningsrapport, 1998)

(Research report / Forskningsrapport, 1998)

(Research report / Forskningsrapport, 1997)

(Research report / Forskningsrapport, 1997)

(Research report / Forskningsrapport, 1997)

(Research report / Forskningsrapport, 1997)

(Research report / Forskningsrapport, 1997)

(Research report / Forskningsrapport, 1997)

(Research report / Forskningsrapport, 1997)

(Research report / Forskningsrapport, 1996)

(Research report / Forskningsrapport, 1996)

(Research report / Forskningsrapport, 1996)

(Research report / Forskningsrapport, 1996)