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 ...

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 ...

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 ...

The classiffication of space curves, i.e. embeddings of compact Riemann surfaces into IP3(IC) is an old problem in algebraic geometry. In this paper the problem is studied under the point of view: What is the structure of ...

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, ...

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 ...

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 ...