Browsing Matematisk institutt by Title
Now showing items 1821-1840 of 3782
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(Research report / Forskningsrapport, 2010)
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(Research report / Forskningsrapport, 2007)In this paper we first deal with the problem of optimal control for zero-sum stochastic differential games. We give a necessary and sufficient maximum principle for that problem with partial information. Then we use the ...
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(Research report / Forskningsrapport, 1993)
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(Journal article / Tidsskriftartikkel / SubmittedVersion, 2013)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 an optimal consumption and portfolio problem in infinite ...
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(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 ...
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(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 ...
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(Research report / Forskningsrapport, 2008)We present various versions of the maximum principle for optimal control of forward-backward SDEs with jumps. Our study is motivated by risk minimization via g-expectations. We first prove a general sufficient maximum ...
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(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2023)
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(Research report / Forskningsrapport, 1992)
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(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2022)
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(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2019)Our purpose of this paper is to study stochastic control problems for systems driven by mean-field stochastic differential equations with elephant memory, in the sense that the system (like the elephants) never forgets its ...
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(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2019)
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(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2020)Given a set A in the unit interval and the associated Lebesgue measure λ, it is a natural question whether we may (in some sense) compute the measure λ(A) in terms of the set A. Under the moniker measure theoretic uniformity, ...
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(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2015)We report laboratory experiments and numerical simulations of the Zakharov equation, designed to have sufficient resolution in space and time to measure the dispersion relation for random surface gravity waves. The experiments ...
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(Master thesis / Masteroppgave, 2022)In-situ measurement data of ocean waves is important for the validation and tuning of several types of numerical models. A recent inexpensive alternative to the widely used buoy measurements is given by a wave sensor system ...
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(Research report / Forskningsrapport, 1998)
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(Journal article / Tidsskriftartikkel / PublishedVersion; Peer reviewed, 2017)Versatile instruments assembled from off-the-shelf sensors and open-source electronics are used to record wave propagation and damping measured by Inertial Motion Units (IMUs) in a grease ice slick near the shore in ...
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(Research report / Forskningsrapport, 2009)In Natvig and Gåsemyr (2009) dynamic and stationary measures of importance of a component in a binary system were considered. To arrive at explicit results the performance processes of the components were assumed to be ...
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(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 ...
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(Research report / Forskningsrapport, 1968)