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Now showing items 71-80 of 3781
(Journal article / Tidsskriftartikkel / SubmittedVersion, 2017)
We study methods for solving stochastic control problems of systems offorward–backward mean-field equations with delay, in finite and infinite time horizon.Necessary and sufficient maximum principles under partial information ...
(Research report / Forskningsrapport, 1985)
(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 ...
(Master thesis / Masteroppgave, 2015)
The frequency of demands are crucial when analysing a safety instrumented system (SIS). IEC 61508 distinguishes between low and high demand mode when calculating risk for such a system. In reality there are systems that ...
(Research report / Forskningsrapport, 2003)
In this paper we explicitly solve a non-linear filtering problem with mixed observations, modelled by a Brownian motion and a generalized Cox process, whose jump intensity is given in terms of a Lévy measure. Motivated by ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2014)
This paper presents a nonconforming finite element approximation of the space of symmetric tensors with square integrable divergence, on tetrahedral meshes. Used for stress approximation together with the full space of ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2014)
In this paper an infinite-dimensional approach to model energy forward markets is introduced. Similar to the Heath–Jarrow–Morton framework in interest-rate modelling, a first-order hyperbolic stochastic partial differential ...
(Journal article / Tidsskriftartikkel / AcceptedVersion; Peer reviewed, 2014)
We give a short introduction to the stochastic calculus for Itô-Lévy processes and review briefly the two main methods of optimal control of systems described by such processes:
(i) Dynamic programming and the ...
(Journal article / Tidsskriftartikkel / SubmittedVersion, 2013)
Due to the non-storability of electricity and the resulting lack of arbitrage-based arguments to price electricity forward contracts, a significant time-varying risk premium is exhibited. Using EEX data during the introduction ...
(Journal article / Tidsskriftartikkel / SubmittedVersion, 2013)
The aim of this paper is to introduce a new numerical algorithm for solving the continuous time nonlinear filtering problem. In particular, we present a particle filter that combines the Kusuoka–Lyons–Victoir (KLV) cubature ...