Now showing items 1-10 of 331
A Note on Stochastic Volatility, GARCH models, and Hyperbolic Distributions
We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions. These distributions have been found to fit exceptionally well to the empirical distribution of stock ...
Consistent initial values for DAE systems in circuit simulation
One of the difficulties of the numerical integration methods for differential-algebraic equations (DAEs) is computing consistent initial values before starting the integration, i.e. calculating values that satisfy the given ...
Global Weak Solutions and Well-Posedness of Weak Solutions for a Moving Boundary Problem for a Coupled System of Diffusion-Reaction Equations arising in the Corrosion Modeling of Concrete
The evolution of the corrosion interface separating the uncorroded concrete part and the corroded part of a partially wet concrete wall of a pipe under the influence of hydrogen sulfide can be modelled by a moving boundary ...
Error Control in h- and hp-adaptive FEM for Signorini's Problem
This paper presents a posteriori finite element error estimates for Signorini’s problem. The discretization is based on a mixed variational formulation proposed by Haslinger et al. which is extended to higher-order finite ...
LaGO - a (heuristic) Branch and Cut algorithm fornonconvex MINLPs
We present a Branch and Cut algorithm of the software package LaGO to solve nonconvex mixed-integer nonlinear programs. A linear outer approximation is constructed from a convex relaxation of the problem. Since we do not ...
Power Scheduling in a Hydro-Thermal System under Uncertainty
A multi-stage stochastic programming model for power scheduling under uncertainty in a generation system comprising thermal and pumped-storage hydro units is developed. For its computational solution two different decomposition ...
Efficient covariance estimation for asynchronous noisy high-frequency data
We focus on estimating the integrated covariance of log-price processes in the presence of market microstructure noise. We construct an efficient unbiased estimator for the quadratic covariation of two Itô processes in the ...