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Now showing items 1-100 of 685

(Research report / Forskningsrapport, 2014)

A semi-analytical model for ultimate strength prediction of simply supported, rectangular, composite plates has been presented previously. The model is based on large deflection theory in combination with first order shear ...

(Research report / Forskningsrapport, 2014)

Hierarchical models defined by means of directed, acyclic graphs are a power- ful and widely used tool for Bayesian analysis of problems of varying degrees of complexity. A simulation based method for model criticism in ...

(Research report / Forskningsrapport, 2014)

(Research report / Forskningsrapport, 2014)

(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 ...

(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 ...

(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 ...

(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 ...

(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, 2010)

We study a Dynkin game with asymmetric information. The game has a random expiry time, which is exponentially distributed and independent of the underlying process. The players have asymmetric information on the expiry ...

(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 ...

(Research report / Forskningsrapport, 2009)

(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, 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, 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)

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, 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 ...

(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, 2007)

Various strength criteria that may be used in semi-analytical methods for ultimate strength prediction of arbitrarily stiffened plates are studied. The main objective is to evaluate the applicability of the criteria in ...

(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 ...

(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, 2006)

The non-anticipating stochastic derivative represents the integrand in the best L2-approximation for any random variables by the Itô non-anticipating integrals with respect to a general stochastic measure with independent ...

(Research report / Forskningsrapport, 2006)

A computationally efficient method for elastic buckling and buckling strength analysis of biaxially loaded, stiffened plates with varying, stepwise constant thickness, are presented. The stiffeners may be sniped or end-loaded ...

(Research report / Forskningsrapport, 2006)

We derive error estimates for certain approximate solutions of Bellman equations associated to a class of controlled jump-diffusion (Lévy) processes. These Bellman equations are fully nonlinear degenerate integro-PDEs ...

(Research report / Forskningsrapport, 2006)

(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, 2005)

The main objective of the work has been to develop theoretical methods that allow prediction of the strength of different adhesively bonded joints, and to evaluate the methods by comparing predictions with results achieved ...

(Research report / Forskningsrapport, 2005)

We prove an existence and uniqueness result for a general class of backward stochastic partial differential equations with jumps. This is a type of equations which appear as adjoint equations in the maximum principle ...

(Research report / Forskningsrapport, 2005)

A well-studied one-dimensional model for the operation of clarifier-thickener units in engineering applications can be expressed as a conservation law with a flux that is discontinuous with respect to the spatial variable. ...

(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)

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)

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)

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 ...

(Research report / Forskningsrapport, 2002)

(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, 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, 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, 2001)

We investigate a class of optimal consumption problems where the wealth X(t) at time t is given by a stochastic differential delay equation with a parameter. Not only the present value X(t), but also X(t-\delta) and some ...

(Research report / Forskningsrapport, 2001)

(Research report / Forskningsrapport, 2001)

(Research report / Forskningsrapport, 2001)

In a market driven by a Lévy martingale, we consider a claim x. We study the problem of minimal variance hedging and we give an explicit formula for the minimal variance portfolio in terms of Malliavin derivatives. We ...

(Research report / Forskningsrapport, 2001)

We consider optimal control problems where the state X(t) at time t of the system is given by a stochastic differential delay equation. The growth at time t not only depends on the present value X(t), but also on X(t-d) ...

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

Multiparameter fractional Brownian motion and quasi-linear stochastic partial differential equations

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

Date of this version: 9 December 1999

(Research report / Forskningsrapport, 2000)

(Research report / Forskningsrapport, 2000)

Date of this version: 22 November 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)