## Search

Now showing items 1-100 of 455

(Journal article / Tidsskriftartikkel / SubmittedVersion, 2009)

We consider a combinatorial problem motivated by a special simplified timetabling problem for subway networks. Mathematically the problem is to find (pairwise) disjoint congruence classes modulo certain given integers; ...

(Research report / Forskningsrapport, 2009)

(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, 2009)

We propose a method to compute approximate eigenpairs of the Schrödinger operator on a bounded domain in the presence of an electromagnetic field. The method is formulated for the simplicial grids that satisfy the discrete ...

(Research report / Forskningsrapport, 2009)

(Research report / Forskningsrapport, 2009)

(Research report / Forskningsrapport, 2009)

The first part of the paper is an overview of the theory of approximation of wave equations by Galerkin methods. It treats convergence theory for linear second order evolution equations and includes studies of consistency ...

(Research report / Forskningsrapport, 2009)

In this paper we introduce Skorohod-semimartingales as an expanded concept of classical semimartingales in the setting of Lévy processes. We show under mild conditions that Skorohod-semimartingales similarly to semimartingales ...

(Research report / Forskningsrapport, 2009)

In this paper, we study backward stochastic differential equations with respect to general filtrations. The results are used to find the optimal consumption rate for an insider from a cash flow modeled as a generalized ...

(Research report / Forskningsrapport, 2009)

This study provides three results of note. First, analysis of information can be abstracted from monetary values in special cases to variability of returns in general cases. Second, with an appropriately chosen model one ...

(Research report / Forskningsrapport, 2009)

Étant donné un complexe cellulaire constitué de polyèdres, plongé dans un espace Euclidien, nous construisons des espaces d'éléments finis de formes différentielles contenant celles qui sont polynomiales de degré maximal ...

(Research report / Forskningsrapport, 2009)

Our aim in this paper is to find a market portfolio and equivalent martingale measure (EMM) that minimizes risk as defined in [1], but in the jump diffusion market. We use optimal control methods for the determination of ...

(Research report / Forskningsrapport, 2009)

New current modified Schrödinger equations are derived suited to study waves on both potential and non-potential inhomogeneous currents. Split-step schemes of first, second, and fourth order are discussed. Different results ...

(Research report / Forskningsrapport, 2009)

We study an optimal stopping problem for a stochastic differential equation with delay driven by a Lévy noise. Approaching the problem by its infinite-dimensional representation, we derive conditions yielding an explicit ...

(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2009)

Background
Survival prediction from high-dimensional genomic data is an active field in today's medical research. Most of the proposed prediction methods make use of genomic data alone without considering ...

(Research report / Forskningsrapport, 2009)

We propose and analyze a finite element method for a semi-stationary
Stokes system modeling compressible fluid flow subject to a Navier-slip boundary condition. The velocity (momentum) equation is approximated by a mixed ...

(Research report / Forskningsrapport, 2009)

We propose a nonconforming finite element method for isentropic viscous gas flow in situations where convective effects may be neglected. We approximate the continuity equation by a piecewise constant discontinuous Galerkin ...

(Research report / Forskningsrapport, 2009)

The electrowetting process is commonly used to handle very small amounts of liquid on a solid surface. This process can be modelled mathematically with the help of the shape optimization theory. However, solving numerically ...

(Research report / Forskningsrapport, 2009)

In this paper, we derive the evolution of a stock price from the dynamics of the "best bid" and "best ask". Under the assumption that the bid and ask prices are described by semimartingales, we study the completeness and ...

(Research report / Forskningsrapport, 2009)

We develop a viscosity solution theory for a system of nonlinear degenerate parabolic integro-partial differential equations (IPDEs) related to stochastic optimal switching and control problems or stochastic games. In the ...

(Research report / Forskningsrapport, 2009)

We investigate Hopf algebroids in the category of <I>L</I>-complete modules over a commutative Noetherian regular complete local ring. The main examples of interest in algebraic topology are the Hopf algebroids associated ...

(Research report / Forskningsrapport, 2009)

We study the robustness of the sensitivity with respect to parameters in expectation functionals with respect to various approximations of a Lévy process. As sensitivity parameter, we focus on the delta of an European ...

(Research report / Forskningsrapport, 2009)

As an example of a simple constrained geometric non-linear wave equation, we study a numerical approximation of the Maxwell Klein Gordon equation. We consider an existing constraint preserving semi-discrete scheme based ...

(Research report / Forskningsrapport, 2009)

In this note we extend Radner's ([6]) result on the revealing properties of a rational expectations equilibrium to the case of an infinite dimensional probability space. Radner's auxiliary proposition, which states that ...

(Research report / Forskningsrapport, 2009)

In the first part of the paper, we obtain existence and characterizations of an optimal control for a linear quadratic control problem of linear stochastic Volterra equations. In the second part, using the Malliavin calculus ...

(Research report / Forskningsrapport, 2009)

(Research report / Forskningsrapport, 2009)

In this paper we study the Cauchy problem for the wave equation with space-time Lévy noise initial data in the Kondratiev space of stochastic distributions. We prove that this problem has a strong and unique C2-solution, ...

(Research report / Forskningsrapport, 2009)

In Natvig and Gåsemyr (2009) dynamic and stationary measures of importance of a component in a binary system were considered. To arrive at explicit results the performance processes of the components were assumed to be ...

(Research report / Forskningsrapport, 2009)

In Norwegian defined benefit pensions, assets corresponding to the premium reserve and premium fund are guaranteed a minimum return of a fixed rate r. This r is the same interest rate used for discounting when calculating ...

(Research report / Forskningsrapport, 2009)

A great challenge using the traditional regression based Bermuda option valuation based on Longstaff and Schwartz (LS) (see Longstaff and Schwartz [10]) is the stability of solutions for different basis functions. In this ...

(Doctoral thesis / Doktoravhandling, 2009)

This thesis deals with modeling and understanding the processes in the atmosphere of the Sun. The solar climate has implications for Earth's climate and effects many of our systems, for instance the Global Positioning ...

(Doctoral thesis / Doktoravhandling, 2009)

(Research report / Forskningsrapport, 2009)

Spot prices in energy markets exhibit special features like price spikes, mean-reversion inverse, stochastic volatility, inverse leverage effect and co-integration between the different commodities. In this paper a ...

(Research report / Forskningsrapport, 2009)

In this paper we suggest a general stochastic maximum principle for optimal control of anticipating stochastic differential equations driven by a Lévy type of noise. We use techniques of Malliavin calculus and forward ...

(Research report / Forskningsrapport, 2009)

Minkowski Pythagorean hodograph curves are polynomial curves with polynomial speed, measured with respect to Minkowski norm. Curves of this special class are particularly well suited for representing medial axis transforms ...

(Research report / Forskningsrapport, 2009)

In this paper we use techniques of Malliavin calculus and forward integration to present a general stochastic maximum principle for anticipating stochastic differential equations driven by a Lévy type of noise. We apply ...

(Research report / Forskningsrapport, 2009)

(Research report / Forskningsrapport, 2009)

(Doctoral thesis / Doktoravhandling, 2009)

During the past few years there has been a revolution in the design of desktop computers. Most processors today include more than one processor core, allowing parallel execution of programs. Furthermore, most commodity ...

(Doctoral thesis / Doktoravhandling, 2009)

For many people the behaviour of stock prices may appear to be unpredictable. The price dynamics seem to exhibit no regularity. Although it might be hard to believe, mathematicians and physisists have managed to explain ...

(Doctoral thesis / Doktoravhandling, 2009)

(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2009)

First published in Geometry & Topology Monographs series, in 16 (2009) 401–544, published by Mathematical Sciences Publishers. Copyright Geometry & Topology Publications.

(Research report / Forskningsrapport, 2008)

No abstract

(Research report / Forskningsrapport, 2008)

The main objective of this work is to construct optimal temperature futures from available market-traded contracts to hedge spatial risk. Temperature dynamics are modelled by a stochastic differential equation with spatial ...

(Research report / Forskningsrapport, 2008)

The present work is a numerical investigation on waves generated by a pressure disturbance moving at constant speed in a channel with a variable cross-channel depth profile. The channel profile, which is uniform in the ...

(Research report / Forskningsrapport, 2008)

This report is the documentation of a new model for large scale solution of the Boussinesq equations. The equations are briefly presented with emphasis on the inclusion of spherical coordinates and the Coriolis force. We ...

(Research report / Forskningsrapport, 2008)

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 the ...

(Research report / Forskningsrapport, 2008)

A main field and satellite fields consist of several separate reservoirs with gas cap and/or oil rim. A processing facility on the main field receives and processes the oil, gas and water from all the reservoirs. This ...

(Research report / Forskningsrapport, 2008)

(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2008)

Background
It is of biological interest to make genome-wide predictions of the locations of DNA melting bubbles using statistical mechanics models. Computationally, this poses the challenge that a generic ...

(Research report / Forskningsrapport, 2008)

Electricity is a commodity which is non-storable, and therefore difficult to move forward in time. Hence, forward looking information about market conditions is not necessarily incorporated in today's prices, and the typical ...

(Research report / Forskningsrapport, 2008)

Warren M. Hirsch posed the conjecture which bears his name in a letter of 1957 to George B. Dantzig. Simply stated in geometric terms, Hirsch proposed that a polytope in dimension d with n facets admits a path of at most ...

(Research report / Forskningsrapport, 2008)

This paper addresses the advantages and disadvantages of pre-rounding vs. post-rounding in a floating-point register. In this day when high speed computers with long registers are the norm, one may think that a rounding ...

(Research report / Forskningsrapport, 2008)

(Research report / Forskningsrapport, 2008)

(Research report / Forskningsrapport, 2008)

This monograph sets forth the results of a study of the geometry of a simplex, multiply-cut by hyperplanes, and its implications for constrained optimization. First, the study presents basic cases about the polytope which ...

(Research report / Forskningsrapport, 2008)

We study the pricing of American put and call options in a market with jumps. We extend and make rigorous previous work that characterizes the price as a solution of an integro-differential equation set on the whole domain. ...

(Research report / Forskningsrapport, 2008)

We investigate a constrained stochastic control problem connected to a financial contract representing a virtual factory. Commonly known as tolling agreements, these contracts are traded in free energy markets and include ...

(Research report / Forskningsrapport, 2008)

(Research report / Forskningsrapport, 2008)

We study a large financial market where the discounted asset prices are modeled by martingale random fields. This approach allows the treatment of both the cases of a market with a countable amount of assets and of a market ...

(Research report / Forskningsrapport, 2008)

In a continuous time market model we consider the problem of existence of an equivalent martingale measure with density lying within given lower and upper bounds and we characterize a necessary and sufficient condition for ...

(Research report / Forskningsrapport, 2008)

We study the linearization of three dimensional Regge calculus around Euclidean metric. We provide an explicit formula for the corresponding quadratic form and relate it to the curl T curl operator which appears in the ...

(Research report / Forskningsrapport, 2008)

Wachspress and mean value coordinates are two generalizations of triangular barycentric coordinates to convex polygons and have recently been used to construct mappings between polygons, with application to curve deformation ...

(Research report / Forskningsrapport, 2008)

In this article we show convergence of Lattice Gauge Theory with gauge group U(1) in the energy norm. This is done by stability analysis and comparison with the classical Yee-scheme which is convergent.

(Research report / Forskningsrapport, 2008)

This paper considers a controlled Itô-Lévy process the information available to the controller is possibly less than the overall information. All the system coefficients and the objective performance functional are allowed ...

(Research report / Forskningsrapport, 2008)

In the present paper we use discrete event simulation in order to analyze a binary monotone system of repairable components. Asymptotic statistical properties of such a system, e.g., the asymptotic system availability and ...

(Research report / Forskningsrapport, 2008)

In the present paper the Natvig measures of component importance for repairable systems, and its extended version are analysed for two three component systems and a bridge system. The measures are also applied to an offshore ...

(Research report / Forskningsrapport, 2008)

In this paper we study the approximation of a sum of assets having marginal logreturns being multivariate normal inverse Gaussian distributed. We analyse the choice of a univariate exponential NIG distribution, where the ...

(Research report / Forskningsrapport, 2008)

In Dahl et al. (2007) we extended and refined some tools given in O'Hagan (2003) for criticism of Bayesian hierarchical models. Especially, avoiding double use of data by a data splitting approach was a main concern. Such ...

(Research report / Forskningsrapport, 2008)

When estimating parametric copula models by the semiparametric pseudo maximum likelihood procedure (MPLE), many practitioners have used the Akaike Information Criterion (AIC) for model selection in spite of the fact that ...

(Research report / Forskningsrapport, 2008)

In this paper we will approximate the sum of the margins from a two dimensional lognormal variable by moment matching with a one dimensional lognormal variable. We will look at different cases of correlation and volatility ...

(Research report / Forskningsrapport, 2008)

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 commodities per unit of time. In order to ...

(Research report / Forskningsrapport, 2008)

This paper introduces a new way of estimating parameters in a Brownian motion regime switching asset model to incorporate volatility clustering. The regime switching model is then applied to pricing of up-and-in barrier ...

(Research report / Forskningsrapport, 2008)

Investigators have incorporated copula theories into their studies of multivariate dependency phenomena for many years. Copulas in general, which include the basic probability version as well as the Lévy and utility ...

(Research report / Forskningsrapport, 2008)

Small deformations of a viscoelastic body are considered through the linear Maxwell and Kelvin-Voigt models in the quasi-static equilibrium. A robust mixed finite element method, enforcing the symmetry of the stress tensor ...

(Research report / Forskningsrapport, 2008)

Present approximate second order methods for the analysis of unbraced multistorey frames may significantly underestimate moments in single curvature regions. To clarify reasons for this that may not be well understood, the ...

(Research report / Forskningsrapport, 2008)

A large deflection, semi-analytical method for pre- and postbuckling analysis of stiffened plates with a free edge is presented. The stiffeners can be oriented in both directions parallel and perpendicular to the free edge, ...

(Research report / Forskningsrapport, 2008)

Present approximate second order methods for the analysis of frames with sway are not capable of reflecting the transition from sway to partly braced, and nearly fully braced behaviour of individual columns in the frames. ...

(Research report / Forskningsrapport, 2008)

We develop a white noise framework for Lévy processes on Hilbert spaces. As the main result of this paper, we then employ the white noise technique to explicitly represent strong solutions of stochastic differential equations ...

(Research report / Forskningsrapport, 2008)

In this article we study the discretization of the Maxwell-Klein-Gordon equation from a variational point of view. We first solve the problem with an action corresponding to the Yee scheme for the Maxwell part, which is ...

(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, 2008)

We consider the stochastic control problem in a financial market model driven by a Lévy process. In the market, we assume that there are two kinds of investors with different levels of information: auninformed agent whose ...

(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, 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 present a random walk approximation to fractional Brownian motion where the increments of the fractional random walk are defined as a weighted sum of the past increments of a Bernoulli random walk.

(Research report / Forskningsrapport, 2007)

(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 use some ideas of Cornet and de Boisdeffre to study the concept of arbitrage under asymmetric information. The mathematical framework is a separable probability space where the agents' information are ...

(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2007)

Introduction
Gene expression profiling of breast carcinomas has increased our understanding of the heterogeneous biology of this disease and promises to impact clinical care. The aim of this study was to ...

(Research report / Forskningsrapport, 2007)

In recent decades, there has been a growing interest for utility indifference based approaches to solve the question of pricing of derivatives in incomplete markets. In this paper we consider a stochastic volatility model ...

(Research report / Forskningsrapport, 2007)

Several copula goodness-of-fit approaches are examined, three of which are proposed in this paper. Results are presented from an extensive Monte Carlo study, where we examine the effect of dimension, sample size and strength ...

(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 ...

(Book / Bok / PublishedVersion, 2007)

I artikkelsamlingen kan du lese om pedagogiske endringer i krysningspunktet mellom teknologi, organisering og læring. Du finner artikler fra en rekke ulike fagmiljøer som beskriver prosjekter av mange ulike slag. Erfaringene ...

(Research report / Forskningsrapport, 2007)

This paper introduces the concept of the utility copula, a function which incorporates the dependence information between (or among) variables of a utility function. A utility copula is a natural extension of the ordinary ...

(Research report / Forskningsrapport, 2007)

A Bayes type formula is derived for the non-linear filter where the observation contains both general Gaussian noise as well as Cox noise whose jump intensity depends on the signal. This formula extends the well know ...

(Research report / Forskningsrapport, 2007)

We give a short introduction to the white noise theory for multiparameter Lévy processes and its application to stochastic partial differential equations driven by such processes. Examples include temperature distribution ...

(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)

Topological André-Quillen homology for commutative S-algebras was introduced by Basterra following work of Kriz, and has been intensively studied by several authors. In this paper we discuss it as a homology theory on CW ...

(Research report / Forskningsrapport, 2007)

In this paper we develop a model for electricity spot price dynamics. The spot price is assumed to follow an exponential Ornstein-Uhlenbeck (OU) process with an added compound Poisson process, therefore the model allows ...