Zobrazeno 1 - 10
of 65
pro vyhledávání: '"Dahl, Kristina Rognlien"'
Publikováno v:
Math Geosci (2022)
This study suggests a stochastic model for time series of daily-zonal (circumpolar) mean stratospheric temperature at a given pressure level. It can be seen as an extension of previous studies which have developed stochastic models for surface temper
Externí odkaz:
http://arxiv.org/abs/2107.00825
Digital twins are emerging in many industries, typically consisting of simulation models and data associated with a specific physical system. One of the main reasons for developing a digital twin, is to enable the simulation of possible consequences
Externí odkaz:
http://arxiv.org/abs/2103.07405
In this paper, we study the stochastic optimal control problem for the PReP vaccine in the stochastic model for HIV/AIDS with PReP. By using the stochastic maximum principle, we derive the stochastic optimal control of PReP for the unconstrained cont
Externí odkaz:
http://arxiv.org/abs/2009.03594
Publikováno v:
E-proceedings of the 30th European Safety and Reliability Conference and 15th Probabilistic Safety Assessment and Management Conference, Editors Piero Baraldi, Francesco Di Maio and Enrico Zio, 2020
Classical environmental contours are used in structural design in order to obtain upper bounds on the failure probabilities of a large class of designs. Buffered environmental contours serve the same purpose, but with respect to the so-called buffere
Externí odkaz:
http://arxiv.org/abs/2009.03569
Publikováno v:
Statistics and Computing, vol. 31, no. 27 (2021)
Structural reliability analysis is concerned with estimation of the probability of a critical event taking place, described by $P(g(\textbf{X}) \leq 0)$ for some $n$-dimensional random variable $\textbf{X}$ and some real-valued function $g$. In many
Externí odkaz:
http://arxiv.org/abs/2007.00402
The purpose of this paper is to investigate properties of self-exciting jump processes. We derive the Laplace transform of SDE driven self-exciting processes with independent, identically distributed jump sizes. By using this Laplace transform, we fi
Externí odkaz:
http://arxiv.org/abs/2006.16663
Autor:
Dahl, Kristina Rognlien
Stochastic differential equations with noisy memory are often impossible to solve analytically. Therefore, we derive a numerical Euler-Maruyama scheme for such equations and prove that the mean-square error of this scheme is of order $\sqrt{\Delta t}
Externí odkaz:
http://arxiv.org/abs/1902.11010
This paper studies a duopoly investment model with uncertainty. There are two alternative irreversible investments. The first firm to invest gets a monopoly benefit for a specified period of time. The second firm to invest gets information based on w
Externí odkaz:
http://arxiv.org/abs/1902.11009
Publikováno v:
Safety and Reliability - Safe Societies in a Changing World. Proceedings of ESREL 2018, June 17-21, 2018. Taylor & Francis. ISBN 9781351174657. 281. s 2285 - 2292
The main idea of this paper is to use the notion of buffered failure probability from probabilistic structural design, to introduce buffered environmental contours. Classical environmental contours are used in structural design in order to obtain upp
Externí odkaz:
http://arxiv.org/abs/1903.12067
Publikováno v:
Afrika Matematika, June 2016, Volume 27, Issue 3-4, pp 555-572
We show how a stochastic version of the Lagrange multiplier method can be combined with the stochastic maximum principle for jump diffusions to solve certain constrained stochastic optimal control problems. Two different terminal constraints are cons
Externí odkaz:
http://arxiv.org/abs/1902.10515