Search
Now showing items 1-26 of 26
(Research report / Forskningsrapport, 2002)
We develop an anticipative calculus for Lévy processes with finite second moment. The calculus is based on the chaos expansion of square-integrable random variables in terms of iterated integrals of the compensated Poisson ...
(Research report / Forskningsrapport, 2002)
This paper shows a version of Arrow's generalization of Mangasarian's sufficient conditions valid for controlled stochastic differential equations driven by semimartingales. The infinite case is covered. An example is given.
(Research report / Forskningsrapport, 2002)
In this paper we define a class of MCMC algorithms, the generalized self regenerative chains (GSR), generalizing the SR chain of Sahu and Zhigljavski (2001), which contains rejection sampling as a special case. We show ...
(Research report / Forskningsrapport, 2002)
(Research report / Forskningsrapport, 2002)
(Research report / Forskningsrapport, 2002)
(Research report / Forskningsrapport, 2002)
It is well known that a wide range of impulse control problems are continuous, but not differentiable, with respect to intervention cost as it approaches zero. We show a similar non-C1 result, assuming that the problem and ...
(Research report / Forskningsrapport, 2002)
Effects of axial forces on the displacements in compression members, generally termed second order effects, are small and can be neglected in a great many structures. In recognition of this, most design codes and standards ...
(Research report / Forskningsrapport, 2002)
The paper presents an adaptive method for the evaluation of multidimensional integrals over the unit cube. The measure used to partition the domain is suited for integrands which are monotonic in each dimension individually, ...
(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, 2002)
(Research report / Forskningsrapport, 2002)
We develop a white noise theory for Poisson random measures associated with a Lévy process. The starting point of this theory is a chaos expansion with kernels of polynomial type. We use this to construct the white noise ...
(Research report / Forskningsrapport, 2002)
The basic multistate reliability theory was developed in the eighties and the beginning of the nineties, replacing traditional reliability theory where the system and the components are always described as functioning or ...
(Research report / Forskningsrapport, 2002)
Multi-state models are used to describe situations where individuals may move among a finite number of states defined by specific conditions of health, including death. The transition intensities of the models are described ...
(Research report / Forskningsrapport, 2002)
The stability of barotropic and baroclinic shelf slope currents currents is investigated. Assuming periodic small amplitude perturbation in along shelf direction the stability problem is reduced to an eigenvalue problem ...
(Research report / Forskningsrapport, 2002)
We discuss the extension to the multi-dimensional case of the Wick-Itô integral with respect to fractional Brownian motion, introduced by [DHP] in the 1-dimensional case. We prove a multi-dimensional Itô type isometry for ...
(Research report / Forskningsrapport, 2002)
(Research report / Forskningsrapport, 2002)
For stochastic functions over the product of a general space and a time interval, the standard type non-anticipating integration scheme is applied with respect to the stochastic measures with independent values. In this ...
(Research report / Forskningsrapport, 2002)
This is part two of a work on adaptive integration methods aimed at multidimensional option pricing problems in finance. It presents simulation results of an adaptive method developed in a companion article for the evaluation ...
(Research report / Forskningsrapport, 2002)
Second order effects of axial forces on displacements in compression members are small and can be neglected in a great many structures, which may then be designed for forces obtained by conventional first order theory. ...
(Research report / Forskningsrapport, 2002)
(Research report / Forskningsrapport, 2002)