Zobrazeno 1 - 10
of 97
pro vyhledávání: '"Olofsson, Marcus"'
We use a dynamic programming approach to construct management strategies for a hydropower plant with a dam and a continuously adjustable unit. Along the way, we estimate unknown variables via simple models using historical data and forecasts. Our sug
Externí odkaz:
http://arxiv.org/abs/2310.04462
The local pivotal method (LPM) is a successful sampling method for taking well-spread samples from discrete populations. We show how the LPM can be utilized to sample from arbitrary continuous distributions and thereby give powerful variance reductio
Externí odkaz:
http://arxiv.org/abs/2305.02446
Motivated by a new formulation of the classical dividend problem, we show that Peskir's maximality principle can be transferred to singular stochastic control problems with 2-dimensional degenerate dynamics and absorption along the diagonal of the st
Externí odkaz:
http://arxiv.org/abs/2206.11534
We consider a resource extraction problem which extends the classical de Finetti problem for a Wiener process to include the case when a competitor, who is equipped with the possibility to extract all the remaining resources in one piece, may exist;
Externí odkaz:
http://arxiv.org/abs/2204.07016
We prove the existence of a unique viscosity solution to certain systems of fully nonlinear parabolic partial differential equations with interconnected obstacles in the setting of Neumann boundary conditions. The method of proof builds on the classi
Externí odkaz:
http://arxiv.org/abs/2105.01983
We consider a stochastic game of control and stopping specified in terms of a process $X_t=-\theta \Lambda_t+W_t$, representing the holdings of Player 1, where $W$ is a Brownian motion, $\theta$ is a Bernoulli random variable indicating whether Playe
Externí odkaz:
http://arxiv.org/abs/2010.03619
The mathematical theory for optimal switching is by now relatively well developed, but the number of concrete applications of this theoretical framework remains few. In this paper, we bridge parts of this gap by applying optimal switching theory to a
Externí odkaz:
http://arxiv.org/abs/2009.10554
We give a simple proof of the strong maximum principle for viscosity subsolutions of fully nonlinear elliptic PDEs on the form $$ F(x,u,Du,D^2u) = 0 $$ under suitable structure conditions on the equation allowing for non-Lipschitz growth in the gradi
Externí odkaz:
http://arxiv.org/abs/2005.03338
Autor:
Olofsson, Marcus
Ett CMS, vilket är en förkortning av Content Management System, är ett webbaserat program som bidrar med möjligheten för en användare utan programmeringskunskaper att separat uppdatera en hemsidas innehåll. Detta examensarbete går ut
Externí odkaz:
http://urn.kb.se/resolve?urn=urn:nbn:se:mau:diva-23071