## Search

Now showing items 1-95 of 95

(Research report / Forskningsrapport, 2017)

There are many different numerical methods for solving the Navier-Stokes equations for problems with a free surface. Some examples are volume of fluid (VOF), Marker and cell (MAC), level set, smooth particle hydrodynamics ...

(Research report / Forskningsrapport, 2017)

We consider a Navier-Stokes equation in two and three space dimensions subject to periodic boundary conditions and perturbed by a transport type noise. The perturbation is sufficiently smooth in space, but rough in time. ...

(Research report / Forskningsrapport, 2017)

(Research report / Forskningsrapport, 2016)

(Research report / Forskningsrapport, 2015)

We study a hierarchical dynamic state-space model for abundance estimation. A generic data fusion approach for combining computer simulated posterior samples of catch output data with observed re- search survey indices ...

(Research report / Forskningsrapport, 2015)

Quantifying operational risk exposure typically involves gathering information from several sources, including historical data as well as subjective assessments. Using historical data one can estimate both an incident ...

(Research report / Forskningsrapport, 2014)

The present report is concerned with the evolution of boundary layers during runup of solitary waves on a beach in a wave tank of depth 0.2m. It comprises both theory and high resolution PIV measurements of velocity profiles. ...

(Research report / Forskningsrapport, 2014)

Accurate determination of pipeline eigenfrequencies and mode shapes is essential to free span design. For pipelines resting on rough seabeds, multiple free spans are commonly located sufficiently close to be interacting, ...

(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, 2014)

In this paper we show that solutions of stochastic partial differ- ential equations driven by Brownian motion can be approximated by stochastic partial differential equations forced by pure jump noise/random kicks. ...

(Research report / Forskningsrapport, 2013)

We consider a class of Hilbert-space valued SDE’s where the drift coefficients are non- Lipschitzian in the sense of Hölder-continuity. Using a novel technique based on Malliavin calculus we show in this paper the existence ...

(Research report / Forskningsrapport, 2013)

We study backward stochastic differential equations (BSDE's) for time-changed Lévy noises when the time-change is independent of the Lévy process. We prove existence and uniqueness of the solutions. Explicit formulae for ...

(Research report / Forskningsrapport, 2013)

The present paper discusses Levy semistationary processes in the context of power markets. A Fourier simulation scheme for obtaining trajectories of these processes is discussed and its rate of convergence is analysed. ...

(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, 2013)

A general market model with memory is considered. The formulation is given in terms of stochastic functional di erential equations, which allow for exibility in the modeling of market memory and delays. We focus on the ...

(Research report / Forskningsrapport, 2013)

We find a maximum principle for processes driven by martingale random fields. We do so by describing the adjoint processes with non-anticipating stochastic derivatives. In the case of the Levy processes this mimics maximum ...

(Research report / Forskningsrapport, 2013)

We consider a backward stochastic di erential equation with jumps (BSDEJ) which is driven by a Brownian motion and a Poisson random measure. We present two candidate-approximations to this BSDEJ and we prove that the ...

(Research report / Forskningsrapport, 2013)

We propose a finite difference scheme to simulate solutions to a certain type of hyperbolic stochastic partial differential equation (SPDE). These solutions can in turn estimate so called volatility modulated Volterra (VMV) ...

(Research report / Forskningsrapport, 2013)

Two independent sets of analytical solutions, one based on matrix inversion and one based on iteration, are derived for the displacement field and corresponding stress state in multi-layer cylinders subjected to pressure ...

(Research report / Forskningsrapport, 2013)

Simply supported plates of laminated composite material subjected to uniaxial in-plane compression have been investigated. The ultimate strength analysis has been performed using a semi-analytical method based on large ...

(Research report / Forskningsrapport, 2013)

In their paper Barndorff-Nielsen, Benth and Veraart employ so called Ambit fields to model electricity spot-forward dynamics. We briefly introduce and discuss Ambit fields in the setting of modelling electricity forward ...

(Research report / Forskningsrapport, 2013)

We study optimal stochastic control problems of general coupled systems of forward- backward stochastic di erential equations with jumps. By means of the Itô-Ventzell formula the system is transformed to a controlled ...

(Research report / Forskningsrapport, 2013)

Sequential Monte Carlo (SMC) methods are one of the most important computational tool to deal with intractability in complex statistical models. In those techniques, the distribution of interest is approximated by a set ...

(Research report / Forskningsrapport, 2012)

Revised version July 2014

(Research report / Forskningsrapport, 2012)

We study the pricing of spread options. We consider a bivariate jump-diffusion model for the price process and we obtain a Margrabe type formula for the evaluation of the spread option. Moreover, we consider models in which ...

(Research report / Forskningsrapport, 2012)

In an L<sub>2</sub>-framework, we study various aspects of stochastic calculus with respect to the centered doubly stochastic Poisson process. We introduce an orthogonal basis via multilinear forms of the value of the ...

(Research report / Forskningsrapport, 2012)

We prove maximum principles for the problem of optimal control for a jump diffusion with infinite horizon and partial information. The results are applied to partial information optimal consumption and portfolio problems ...

(Research report / Forskningsrapport, 2012)

We prove a maximum principle of optimal control of stochastic delay equations on infinite horizon. We establish first and second sufficient stochastic maximum principles as well as necessary conditions for that problem. ...

(Research report / Forskningsrapport, 2012)

(Research report / Forskningsrapport, 2012)

In this paper we develop a method for constructing strong solutions of one-dimensional SDE’s where the drift may be discontinuous and unbounded. The driving noise is the Brownian Motion. In addition to existence and ...

(Research report / Forskningsrapport, 2012)

(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, 2012)

(Research report / Forskningsrapport, 2012)

Fast and accurate methods for determining pipeline eigenfrequencies and associated bending stresses are essential to free span design, and hence of great interest to the pipeline industry. The Rayleigh-Ritz approach has ...

(Research report / Forskningsrapport, 2011)

Merton's classical portfolio optimisation problem for an investor, who can trade in a risk-free bond and a stock, can be extended to the case where the driving noise of the log-returns is a pure jump process instead of a ...

(Research report / Forskningsrapport, 2011)

We study the problem of recursive utility maximization in the presence of nonlinear constraint on the wealth for a model driven by L evy processes. We extend the notion of W-divergence to vector valued functions and then ...

(Research report / Forskningsrapport, 2011)

(Research report / Forskningsrapport, 2011)

(Research report / Forskningsrapport, 2011)

(Research report / Forskningsrapport, 2011)

The aim of this paper is to study pricing of weather insurance contracts based on temperature indices. Three different pricing methods are analysed: the classical burn approach, index modelling and temperature modelling. ...

(Research report / Forskningsrapport, 2011)

In this paper, the option hedging problem for a Markov-modulated exponential Lévy model is examined. We employ the local risk-minimization approach to study optimal hedging strategies for Europeans derivatives under both ...

(Research report / Forskningsrapport, 2011)

We prove an existence and uniqueness result for non-linear time-advanced backward stochastic partial di erential equations with jumps (ABSPDEJs). We then apply our results to study a time-advanced backward type of stochastic ...

(Research report / Forskningsrapport, 2011)

In this paper, we study a robust recursive utility maximization problem for time-delayed stochastic di erential equation with jumps. This problem can be written as a stochastic delayed di erential game. We suggest a maximum ...

(Research report / Forskningsrapport, 2011)

(Research report / Forskningsrapport, 2011)

Climate change will affect the insurance industry. We develop a Bayesian hierarchical statistical approach to explain and predict insurance losses due to weather events at a local geographical scale. The number of ...

(Research report / Forskningsrapport, 2011)

The single auction equilibrium of Kyle's (1985) is studied, in which noise traders may be partially informed, or alternatively they can be manipulated. Unlike Kyle's assumption that the quantity traded by the noise traders ...

(Research report / Forskningsrapport, 2011)

(Research report / Forskningsrapport, 2011)

We study optimal stochastic control problems under model uncertainty. We rewrite such problems as (zero-sum) stochastic di erential games of forward-backward stochastic di erential equations. We prove general stochastic ...

(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, 2011)

This paper addresses the levels in an aggregate at which one may find particles of a specified size. Assumed are the size distribution and the allocation of the particles to strata according to the Brazil nut effect, i.e., ...

(Research report / Forskningsrapport, 2011)

Predicting the reliability of software systems based on a component-based approach is inherently difficult, in particular due to failure dependencies between software components. One possible way to assess and include ...

(Research report / Forskningsrapport, 2011)

A variety of model selection criteria have been developed, of general and specific types. Most of these aim at selecting a single model with good overall properties, e.g. formulated via average prediction quality or shortest ...

(Research report / Forskningsrapport, 2011)

In this paper, we prove a maximum principle for general stochastic differential Stackelberg games, and apply the theory to continuous time newsvendor problems. In the newsvendor problem, a manufacturer sells goods to a ...

(Research report / Forskningsrapport, 2010)

The continuous-time version of Kyle's [6] model, known as the Back's [2] model, of asset pricing with asymmetric information, is studied. A larger class of price processes and a larger classes of noise traders' processes ...

(Research report / Forskningsrapport, 2010)

This paper investigates a problem arising in asset-liability management in life insurance. As shown by other authors, an insurance company can guarantee its solvency by purchasing a Margrabe option enabling it to exchange ...

(Research report / Forskningsrapport, 2010)

In this paper we derive an explicit representation for strong solutions of a class of forward stochastic differential equations with reflections (FSDER's). Our approach relies on techniques from white noise analysis. The ...

(Research report / Forskningsrapport, 2010)

In this paper we study the problem of risk indifference pricing of interest rate claims which are functionals of a bond yield surface under partial information. Our approach to solve this problem relies on a maximum principle ...

(Research report / Forskningsrapport, 2010)

This paper presents the corner velocity interpolation as bilinear and trilinear mixed finite elements on quadrilaterals and hexhahedra. The corner velocity interpolations are bilinear or trilinear vertex based barycentric ...

(Research report / Forskningsrapport, 2010)

(Research report / Forskningsrapport, 2010)

The analysis of the Multi point flux approximation (MPFA) method has so far relied on the possibility of seeing it as a mixed finite element method for which the convergence is then established. This type of analysis has ...

(Research report / Forskningsrapport, 2010)

(Research report / Forskningsrapport, 2010)

Predicting the reliability of software systems based on a component approach is inherently difficult, in particular due to failure dependencies between the software components. Since it is practically difficult to include ...

(Research report / Forskningsrapport, 2010)

Multistate monotone systems are used to describe technological or biological systems when the system itself and its components can perform at different operationally meaningful levels. This generalizes the binary monotone ...

(Research report / Forskningsrapport, 2010)

The use of the Local critique plot is illustrated by three different applications. The applications involve directed acyclic graph (DAG) models of varying complexity and structure, and they illustrate different aspects and ...

(Research report / Forskningsrapport, 2010)

A numerical strategy for solving low-dimensional Bellman equations through the traditional backwards recursion is formulated. A simple error analysis suggests that the approach handles many multi-period portfolio selection ...

(Research report / Forskningsrapport, 2010)

In the present paper we consider a multistate monotone system of multistate components. Following a Bayesian approach, the ambition is to arrive at the posterior distributions of the system availabilities and unavailabilities ...

(Research report / Forskningsrapport, 2010)

Climate change will affect the insurance industry. We develop a Bayesian hierarchical statistical approach to explain and predict insurance losses due to weather events at a local geographical scale. The number of ...

(Research report / Forskningsrapport, 2010)

We show that the full group C*-algebra of the free product of two nontrivial countable amenable discrete groups, where at least one of them has more than two elements, is primitive. We also show that in many cases, this ...

(Research report / Forskningsrapport, 2010)

(Research report / Forskningsrapport, 2010)

(Research report / Forskningsrapport, 2010)

(Research report / Forskningsrapport, 2010)

We study partial information, possibly non-Markovian, singular stochastic control of Itô-Lévy processes and obtain general maximum principles. The results are used to find connections between singular stochastic control, ...

(Research report / Forskningsrapport, 2010)

(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, 2010)

(Research report / Forskningsrapport, 2010)

We study the optimal stopping problem proposed by Dupuis and Wang in [9]. In this maximiza- tion problem of expected present value of exercise payo?, the underlying dynamics follow a linear diffusion. The decision maker ...

(Research report / Forskningsrapport, 2010)

We study the computation of the Greeks of options written on assets modelled by a multi-factor dynamics. For this purpose, we apply the conditional density method in which the knowledge of the density of one factor is ...

(Research report / Forskningsrapport, 2010)

(Research report / Forskningsrapport, 2010)

We study optimal timing of irreversible investment decisions under return and time uncertainty. The considered models are formulated as maximization problems of the expected present value of the exercise payoff, where the ...

(Research report / Forskningsrapport, 2010)

Bond duration in its basic deterministic form is a concept well understood. Its meaning in the context of a yield curve on a stochastic path is less well developed. We extend the basic idea to a stochastic setting. More ...

(Research report / Forskningsrapport, 2010)

We study the robustness of option prices to model variation within a jump-diffusion framework. In particular we consider models in which the small variations in price dynamics are modeled with a Poisson random measure with ...

(Research report / Forskningsrapport, 2010)

In this paper, we develop a variational approach to study perturbation problems of ordinary differential equations (ODE's) with discontinuous coefficients. We propose a mathematical framework which can be used to construct ...

(Research report / Forskningsrapport, 2010)

We study the robustness of option prices to model variation after a change of measure where the measure depends on the model choice. We consider geometric Lévy models in which the infinite activity of the small jumps is ...

(Research report / Forskningsrapport, 2010)

In [10] dynamic and stationary measures of importance of a component in a repairable multistate system were introduced. For multistate systems little has been published until now on such measures even in the nonrepairable ...

(Research report / Forskningsrapport, 2010)

(Research report / Forskningsrapport, 2010)

We study optimal investment in assets subject to risk of default for investors that rely on different levels of information. The price dynamics can include noises both from a Wiener process and a Poisson random measure ...

(Research report / Forskningsrapport, 2010)