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(Research report / Forskningsrapport, 2001)
The problem of irreversibly harvesting from a general one dimensional (Wiener-Poisson) jump diffusion population model is studied. For a wide class of models, including stochastic generalizations of the logistic model ...
(Research report / Forskningsrapport, 2001)
When portfolio choice in discontinuous asset price models is considered, the possibility of a jump to 0 is often overlooked. We solve the Merton problem for a (modified) HARA agent in a geometric Lévy market where the ...
(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)
The stochastic integral representation for an arbitrary random variable in a standard $L_2$-space is considered in a case of a general $L_2$-continuous martingale as integrator. In relation to this, a certain stochastic ...
(Research report / Forskningsrapport, 2001)
(Research report / Forskningsrapport, 2001)
We give a short introduction to some of the theory and methods involved in stochastic control with partial observation. As an illustration we use the stochastic maximum principle and the Kalman-Bucy filter to solve explicitly ...
(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)
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)
In a preceding paper, [7], physical optics was developed for a selection of discrete long wave solutions by application a perturbation expansion. Herein, we approach discrete optics from analysis of discrete energy, in the ...
(Research report / Forskningsrapport, 2001)
It is suggested that inference under the proportional hazard model can be carried out by programs for exact inference under the logistic regression model. Furthermore a different type of exact inference is developed under ...
(Research report / Forskningsrapport, 2001)
In this article we classify all the smooth 3-folds of P5 with an apparent 4-tuple point provided that the family of its 4-secant lines is an irreducible (first order) congruence. This is sufficient to conclude the ...
(Research report / Forskningsrapport, 2001)
(Research report / Forskningsrapport, 2001)
(Research report / Forskningsrapport, 2001)
(Research report / Forskningsrapport, 2001)
Background: According to published data, the ability to prevent various hypertension related events differs between the various anti-hypertensive drug groups. Although absolute drug effects with similar drugs also differ ...
(Research report / Forskningsrapport, 2001)
This survey is intended for estimating several types of copyright volume at different educational institutions in Norway. Using a calibration factor being equal to the ratio of the true number of machine pages taken from ...
(Research report / Forskningsrapport, 2001)
In the present paper we investigate three classes of reliability systems: regular clutters, total amenable clutters and clutters where a certain factoring strategy for computing reliability is in a sense optimal. In the ...
(Research report / Forskningsrapport, 2001)
This paper focus on experiments on run-up of strongly nonlinear waves on a moderately steep beach of 10.5deg inclination. Velocity fields are obtained by the PIV (Particle Image Velocimetry) technique. Acceleration ...
(Research report / Forskningsrapport, 2001)
In the present report we describe the geometrically nonlinear method for orthotropic (composite) materials that is implemented using the commercial C++ library Diffpack. The implementation is based on a module dealing with ...
(Research report / Forskningsrapport, 2001)
An industrial Navier-Stokes solver (FLUENT) is used to examine steep waves as they run up a steep beach (10.54$^0$). The volume of fluid method (VOF) is used to model the free surface. Comparison with experimental results ...
(Research report / Forskningsrapport, 2001)
We formulate generation of tsunamis by earthquakes as a linear potential flow problem with rapid in and out-flux at the sea bottom. Starting from solutions for a few simplified bottom deformations we proceed to establish ...
(Research report / Forskningsrapport, 2001)
(Research report / Forskningsrapport, 2001)
We give a verification theorem by employing Arrow's generalization of the Mangasarian sufficient condition to a general jump diffusion setting, and show the adjoint processes' connections to dynamic programming. The result ...
(Research report / Forskningsrapport, 2001)
We give a short introduction to some of the theory and methods involved in We prove a verification theorem for a class of singular control problems which model optimal harvesting with density-dependent prices or optimal ...
(Research report / Forskningsrapport, 2001)
We introduce and study several amenability properties for unitary corepresentations and *-representations of algebraic quantum groups, which may be used to characterize amenability or co-amenability of such groups. As a ...
(Research report / Forskningsrapport, 2001)
A Meyer-Tanaka formula involving weighted local time is derived for fractional Brownian motion and geometric fractional Brownian motion. The formula is applied to the study of the stop-loss-start-gain (SLSG) portfolio in ...
(Research report / Forskningsrapport, 2001)
For a wide class of models concerning the optimal harvesting of a natural resource, an expected profit maximizer will not deplete the resource completely if its relative growth rate is strictly greater than the interest ...
(Research report / Forskningsrapport, 2001)
We prove a sufficient maximum principle for the optimal control of systems described by a quasilinear stochastic heat equation. The result is applied to give a maximum principle solution method for stochastic control ...
(Research report / Forskningsrapport, 2001)
The problem of simultaneous decomposition of binary forms as sums of powers of linear forms is studied. For generic forms the minimal number of linear forms needed is found and the space parametrizing all the possible ...
(Research report / Forskningsrapport, 2001)
(Research report / Forskningsrapport, 2001)
We prove an existence and uniqueness result for a general class of backward stochastic partial differential equations. This is a type of equations which appear as adjoint equations in the maximum principle approach to ...
(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 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, 2001)
We define concepts of amenability and co-amenability for algebraic quantum groups in the sense of A. Van Daele [21]. We show that co-amenability of an algebraic quantum group always implies amenability of its dual. Various ...
(Research report / Forskningsrapport, 2001)
In this note we consider the asymptotic power functions of some bootstrap unit root tests under local alternatives and show that they are in fact the same as for ordinary unit root tests. This is regardless of whether the ...