Now showing items 1-10 of 330
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 ...
Solvability Properties of Linear Elliptic Boundary Value Problems with Non-smooth Data
In this paper linear elliptic boundary value problems of second order with non-smooth data (L∞-coefficients, Lipschitz domain, mixed boundary conditions) are considered. It is shown that the weak solutions are Hölder ...
A Global Lp-Gradient Estimate on Weak Solutions of Nonlinear Parabolic Systems under Mixed Boundary Conditions
In this paper, we prove the integrability of the spatial gradient Du to an exponent p>2 near the boundary, u being a weak solution of a nonlinear parabolic system under mixed boundary conditions. Our method of proof relies ...
Linear spaces for index 2 differential-algebraic equations
In this paper we consider solution spaces of linear index-2-tractable differential algebraic equations. Relations between the solutions of the adjoint equations and the corresponding solution spaces are derived and, thus, ...
Decomposition of a Multi-Stage Stochastic Programfor Power Dispatch
We develop a multi-stage stochastic program for the optimal dispatch of electric power under uncertain demand in a generation system comprising thermal and pumped storage hydro plants. Based on an abstract duality argument ...
Numerical stability criteria for differential-algebraic systems
In this paper we transfer classical results concerning Lyapunov stability of stationary solutions x* to the classes of DAEs being most interesting for circuit simulation, thereby keeping smoothness as low as possible. We ...