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(Research report / Forskningsrapport, 2005)
We consider Hamilton--Jacobi equations, where the Hamiltonian depends discontinuously on both the spatial and temporal location. Our main results is the existence of viscosity solution to the Cauchy problem, and that the ...
(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 elaborate on the interpretation of some mixed finite element spaces in terms of differential forms. First we develop a framework in which we show how tools from algebraic topology can be applied to the study of their ...
(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 consider a weakly dissipative hyperelastic-rod wave equation (or weakly dissipative Camassa-Holm equation) describing nonlinear dispersive dissipative waves in compressible hyperelastic rods. By fixed a smooth solution, ...
(Research report / Forskningsrapport, 2005)
We present an optimal portfolio problem with logarithmic utility in the following 3 cases:
\begin{itemize}
\item[(i)] The classical case, with complete information from the market available to the agent at all times. ...
(Research report / Forskningsrapport, 2005)
(Research report / Forskningsrapport, 2005)
This paper examines and applies methods for modelling of longitudinal binary data subject to both intermittent missingness and dropout. The paper is based around the analysis of data from a study into the health impact of ...
(Research report / Forskningsrapport, 2005)
Standard use of Cox's regression model and other relative risk regression models for censored survival data requires collection of covariate information on all individuals under study even when only a small fraction of ...
(Research report / Forskningsrapport, 2005)
We propose a spatial-temporal stochastic model for daily average temperature data. First we build a model for a single spatial location, independently on the spatial information. The model includes trend, seasonality and ...
(Research report / Forskningsrapport, 2005)
Copulae is a growing field of interest and application for dependency modelling. There is however no predominant way of choosing the copula model that best fits a given data set. We introduce a new goodness-of-fit test, ...
(Research report / Forskningsrapport, 2005)
(Research report / Forskningsrapport, 2005)
O'Hagan (2003) introduces some tools for criticism of Bayesian hierarchical models that can be applied at each node of the model, with a view to diagnosing problems of model fit at any point in the model structure. His ...
(Research report / Forskningsrapport, 2005)
We propose an mean-reverting model for the spot price dynamics of electricity which includes seasonality of the prices and spikes. The dynamics is a sum of non-Gaussian Ornstein-Uhlenbeck processes with jump processes ...
(Research report / Forskningsrapport, 2005)
We prove well-posedness (existence and uniqueness) results for aÊ class of degenerate reaction-diffusion systems. A prototype system belongingÊ to this class is provided by the bidomain model, which is frequently used toÊ ...
(Research report / Forskningsrapport, 2005)
The design of this study is to investigate the evolution of a stochastic price process consequent to discrete processes of bids and offers in a market microstructure setting. Under a set of flexible assumptions about agent ...
(Research report / Forskningsrapport, 2005)
In this article we introduce a general approach to dynamic path analysis. This is an extension of classical path analysis to the situation where variables may be time-dependent and where the outcome of main interest is a ...
(Research report / Forskningsrapport, 2005)
An insider is an agent who has access to larger information than the one given by the development of the market events and who takes advantage of this in optimizing his position in the market. In this paper we consider the ...
(Research report / Forskningsrapport, 2005)
We prove a reduction theorem for capacity of positive maps of finite dimensional C*-algebras, thus reducing the computation of capacity to the case when the image of a nonscalar projection is never a projection.
(Research report / Forskningsrapport, 2005)
ACI Committee 318 (Standard Building Code) established some time ago a Slender Column Task Group that was charged with formulating code provisions, to streamline, and if possible, to simplify the current requirements on ...
(Research report / Forskningsrapport, 2005)
Buckling of stiffened plates with arbitrary stiffener orientations and with constant or stepwise constant plate thickness are studied. The stiffeners are sniped at their ends and they are not subjected to an external ...
(Research report / Forskningsrapport, 2005)
In this report, the finite element method is applied to shells modeled using membrane and plate elements. The main objective of the work has been to evaluate the performance of in-plane 3-node membrane elements in an effort ...
(Research report / Forskningsrapport, 2005)
We propose an Ornstein-Uhlenbeck process with seasonal volatility to model the time dynamics of daily average temperatures. The model is fitted to almost 43 years of daily observations recorded in Stockholm, one of the ...
(Research report / Forskningsrapport, 2005)
Gear design, like many other areas in mechanical engineering, is influenced by a number of factors. Direct factors can be accounted for by the application of the physics and mathematics of the problem. In order to include ...
(Research report / Forskningsrapport, 2005)
Buckling of plates with arbitrarily oriented, sniped stiffeners are studied. The main objective is to present and validate an approximate, semi-analytical computational model for such plates subjected to in-plane loading. ...
(Research report / Forskningsrapport, 2005)
Discrete de Rham complexes are fundamental tools in the construction of stable elements for mixed finite element methods. The purpose of this paper is to discuss a new discrete de Rham complex in three space dimensions, ...
(Research report / Forskningsrapport, 2005)
This paper establishes the convergence of a multi point flux approximation control volume method on rough quadrilateral grids. By rough grids we refer to a family of refined quadrilateral grids where the cells are not ...
(Research report / Forskningsrapport, 2005)
This paper presents a convergence analysis of the multi point flux approximation control volume method, MPFA, in two space dimensions. The MPFA version discussed here is the so-called O-method on general quadrilateral ...
(Research report / Forskningsrapport, 2005)
The paper introduces the pyramid probability distribution through its density in two dimensions, and investigates its properties and those of its copula. The research focuses on ways in which the pyramid distribution ...
(Research report / Forskningsrapport, 2005)
We compare several accounting based models for bankruptcy prediction. The models are developed and tested on large data sets containing annual financial statements for Norwegian limited liability firms. Out-of-sample and ...
ARBITRAGE-FREE PRICING DYNAMICS OF INTEREST-RATE GUARANTEES BASED ON THE UTILITY INDIFFERENCE METHOD
(Research report / Forskningsrapport, 2005)
We consider the problem of utility indifference pricing of a put option written on a non-tradeable asset, where we can hedge in a correlated asset. The dynamics are assumed to be a two-dimensional geometric Brownian motion, ...
(Research report / Forskningsrapport, 2005)
In this paper we study perpetual integral functionals of diffusions. Our interest is focused on cases where such functionals can be expressed as first hitting times for some other diffusions. In particular, we generalize ...
(Research report / Forskningsrapport, 2005)
This paper focuses on variational solutions of the Cauchy problem for a nonlinear wave equation with space-time fractional Brownian noise driving force of Hurst index $H\in (1/2,1)$ and random initial data. It is shown ...
(Research report / Forskningsrapport, 2005)
(Research report / Forskningsrapport, 2005)
In this paper we consider the problem to find a market portfolio that minimizes the convex risk measure of the terminal wealth in a jump diffusion market. We formulate the problem as a two player (zero-sum) stochastic ...
(Research report / Forskningsrapport, 2005)
It is shown that certain quasi-free flows on the Cuntz algebra O∞ have the Rohlin property and therefore are cocycle-conjugate with each other. This, in particular, shows that any unital separable nuclear purely infinite ...
(Research report / Forskningsrapport, 2005)
(Research report / Forskningsrapport, 2005)
We analyze the equivariant restriction (or transfer) maps in topological Hochschild homology associated to inclusions of group rings of the form $R[H]\to R[G]$, where $R$ is a symmetric ring spectrum, $G$ is a discrete ...
(Research report / Forskningsrapport, 2005)
The main issue of this report is comparison and verification of long wave models with emphasis on variable depth effects. A selection of dispersive long wave theories are reviewed. Included are the so-called standard ...
(Research report / Forskningsrapport, 2005)
In this paper a simple of combined singular stochastic control and optimal stopping in the jump-diffusion model is formulated and solved. We give sufficient conditions for the existence of an optimal strategy which has the ...
(Research report / Forskningsrapport, 2005)
This report provides a discussion about the fundamentals of the frequentist approach to the classical nonlinear least squares head - discharge power-law rating curve model, which is a vital procedure in practical hydrology. ...
(Research report / Forskningsrapport, 2005)
When analyzing flight accident data over some period of time, it is clear that the rates of serious accidents per year show a steady decline. For a recent analysis of this see e.g., Landsberg [2]. However, by focusing only ...
(Research report / Forskningsrapport, 2005)
(Research report / Forskningsrapport, 2005)
We propose a quasi-Monte Carlo (qMC) algorithm to simulate variates from the normal inverse Gaussian (NIG) distribution. The algorithm is based on a Monte Carlo technique found in the Rydberg reference, and is based on ...
(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 introduce the notion of a Galois extension of commutative S-algebras (E∞ ring spectra), often localized with respect to a fixed homology theory. There are numerous examples, including some involving Eilenberg-Mac Lane ...
(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, 2005)
We show that under reasonable conditions, online learning for a nonlinear function near a local minimum is similar to a multivariate Ornstein Uhlenbeck process. This implies that the parameter state oscillates randomly ...
(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)
The topological Hochschild homology THH(R) of a commutative S-algebra (E∞ ring spectrum) R naturally has the structure of a Hopf algebra over R, in the homotopy category. We show that under a flatness assumption this makes ...
(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)
We consider a shallow water equation of Camassa-Holm type, containing nonlinear dispersive effects as well as fourth order dissipative effects. We prove that as the diffusion and dispersion parameters tend to zero, with a ...
(Research report / Forskningsrapport, 2005)
In frame structures, consisting of columns and beams, gravity loading on beams (floors) leads to moments as well as axial forces in the columns. In cases with slender columns, maximum moments may develop between columns ...
(Research report / Forskningsrapport, 2005)
(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)
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 study impulse control problems of jump diffusions with delayed reaction. This means that there is a delay $\delta>0$ between the time when a decision for intervention is taken and the time when the intervention is ...
(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 ...