Browsing Matematisk institutt by Title
Now showing items 1761-1780 of 3782
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(Research report / Forskningsrapport, 1984)
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(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2023)Matrix majorization is a generalization of the classical majorization for vectors. We study several basic questions concerning matrix majorization for (0;±1)-matrices, i.e., matrices whose entries are restricted to 0, 1 ...
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(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2020)
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(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2018)We introduce a new majorization order for classes (sets) of matrices which generalizes several existing notions of matrix majorization. Roughly, the notion says that every matrix in one class is majorized by some matrix ...
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Making the most of data in dairy farming research-how twenty-first century statistical learning methods can contributeRestricted Access (Master thesis / Masteroppgave, 2020)
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(Research report / Forskningsrapport, 2003)We introduce the forward integral with respect to a pure jump Lévy process and we prove and formula for this integral. Then we use Mallivin calculus to establish a relationship between the forward integral and the Skorohod ...
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(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2015)Solutions of stochastic Volterra (integral) equations are not Markov processes, and therefore, classical methods, such as dynamic programming, cannot be used to study optimal control problems for such equations. However, ...
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(Research report / Forskningsrapport, 2007)In this paper we employ Malliavin calculus to derive a general stochastic maximum principle for stochastic partial di¨eremtial equations with jumps under partial information. We apply this result to solve an optimal ...
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(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 ...
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(Research report / Forskningsrapport, 2005)
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(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 ...
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(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.
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(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2017)In this paper we develop a Malliavin–Skorohod type calculus for additive processes in the L1 and L1 settings, extending the probabilistic interpretation of the Malliavin–Skorohod operators to this context. We prove calculus ...
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(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2019)We consider a stochastic hydroelectric power plant management problem in discrete time with arbitrary scenario space. The inflow to the system is some stochastic process, representing the precipitation to each dam. The ...
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(Master thesis / Masteroppgave, 2012)Når vi estimerer effekten av behandling for HIV vil ikke standard metoder gi korrekte resultater når vi har intermediate time-dependent confounders. Marginal Structural Models er en metode som kan brukes og vil korrigere ...
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(Master thesis / Masteroppgave, 2010)This thesis is divided into two parts. The first part involves the new solvency directive for the insurance industry in the European Union, Solvency II, which will be implemented in 2012. The second part involves valuation ...
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(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 ...
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(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2014)We consider a financial market model with a single risky asset whose price process evolves according to a general jump-diffusion with locally bounded coefficients and where market participants have only access to a partial ...
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(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 ...
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(Master thesis / Masteroppgave, 2022)The objective of the thesis is to investigate Markov structures of time changed Lévy processes. Moreover we investigate the Markov structures of stochastic differential equations driven by Brownian motion with a view towards ...