Zobrazeno 1 - 10 of 16 pro vyhledávání: '"Victor Rohde"'
1
Akademický článek
On nonnegative solutions of SDDEs with an application to CARMA processes
Autor: Mikkel Slot Nielsen, Victor Rohde
Publikováno v: Modern Stochastics: Theory and Applications, Vol 8, Iss 3, Pp 309-328 (2021)
This note provides a simple sufficient condition ensuring that solutions of stochastic delay differential equations (SDDEs) driven by subordinators are nonnegative. While, to the best of our knowledge, no simple nonnegativity conditions are available
Externí odkaz: https://doaj.org/article/10496ba100164411825b636ecf4dddb4
Zobrazit plný text záznamu
2
Akademický článek
On infinite divisibility of a class of two-dimensional vectors in the second Wiener chaos
Autor: Andreas Basse-O’Connor, Jan Pedersen, Victor Rohde
Publikováno v: Modern Stochastics: Theory and Applications, Vol 7, Iss 3, Pp 267-289 (2020)
Infinite divisibility of a class of two-dimensional vectors with components in the second Wiener chaos is studied. Necessary and sufficient conditions for infinite divisibility are presented as well as more easily verifiable sufficient conditions. Th
Externí odkaz: https://doaj.org/article/1f89af24f0c44d03b7cb8d63ff6c04e5
Zobrazit plný text záznamu
4
Multivariate continuous-time modeling of wind indexes and hedging of wind risk
Autor: Troels Sønderby Christensen, Victor Rohde, Fred Espen Benth
Publikováno v: Benth, F E, Christensen, T S & Rohde, V 2020, ' Multivariate continuous-time modeling of wind indexes and hedging of wind risk ', Quantitative Finance, vol. 21, no. 1, pp. 165-183 . https://doi.org/10.1080/14697688.2020.1804606
Benth, F E, Christensen, T S & Rohde, V 2021, ' Multivariate continuous-time modeling of wind indexes and hedging of wind risk ', Quantitative Finance, vol. 21, no. 1, pp. 165-183 . https://doi.org/10.1080/14697688.2020.1804606
With the introduction of the exchange-traded German wind power futures, opportunities for German wind power producers to hedge their volumetric risk are present. We propose two continuous-time multivariate models for wind power utilization at differe
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1df093d54f6856b7d9b7a03780ee2c98
https://doi.org/10.1080/14697688.2020.1804606
Zobrazit plný text záznamu
5
A surrogate model for estimating extreme tower loads on wind turbines based on random forest proximities
Autor: Mikkel Slot Nielsen, Victor Rohde
Publikováno v: Nielsen, M S & Rohde, V 2022, ' A surrogate model for estimating extreme tower loads on wind turbines based on random forest proximities ', Journal of Applied Statistics, vol. 49, no. 2, pp. 485-497 . https://doi.org/10.1080/02664763.2020.1815675
J Appl Stat
In the present paper we present a surrogate model, which can be used to estimate extreme tower loads on a wind turbine from a number of signals and a suitable simulation tool. Due to the requirements of the International Electrotechnical Commission (
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e3c9611a6630ce3c9f6a957d14ed00c9
https://doi.org/10.1080/02664763.2020.1815675
Zobrazit plný text záznamu
6
Stochastic differential equations with a fractionally filtered delay: A semimartingale model for long-range dependent processes
Autor: Victor Rohde, Mikkel Slot Nielsen, Richard A. Davis
Publikováno v: Bernoulli 26, no. 2 (2020), 799-827
Davis, R A, Nielsen, M S & Rohde, V U 2020, ' Stochastic differential equations with a fractionally filtered delay : A semimartingale model for long-range dependent processes ', Bernoulli, vol. 26, no. 2, pp. 799-827 . https://doi.org/10.3150/18-BEJ1086
In this paper, we introduce a model, the stochastic fractional delay differential equation (SFDDE), which is based on the linear stochastic delay differential equation and produces stationary processes with hyperbolically decaying autocovariance func
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fd37b97881df61783fe2a86694333ecd
https://doi.org/10.3150/18-bej1086
Zobrazit plný text záznamu
7
Stochastic delay differential equations and related autoregressive models
Autor: Victor Rohde, Andreas Basse-O'Connor, Jan Skov Pedersen, Mikkel Slot Nielsen
Publikováno v: Basse-O'Connor, A, Nielsen, M S, Pedersen, J & Rohde, V U 2020, ' Stochastic delay differential equations and related autoregressive models ', Stochastics: An International Journal of Probability and Stochastic Processes, vol. 92, no. 3, pp. 454-477 . https://doi.org/10.1080/17442508.2019.1635601
In this paper we suggest two continuous-time models which exhibit an autoregressive structure. We obtain existence and uniqueness results and study the structure of the solution processes. One of the models, which corresponds to general stochastic de
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::13db6dfdad45e47c5951c96f256ca7cd
https://pure.au.dk/portal/da/publications/stochastic-delay-differential-equations-and-related-autoregressive-models(4a98b86b-ad5e-447a-8c3c-2f61dab69918).html
Zobrazit plný text záznamu
8
Multivariate Continuous-Time Modeling of Wind Indexes and Hedging of Wind Risk
Autor: Victor Rohde, Troels Sønderby Christensen, Fred Espen Benth
Publikováno v: SSRN Electronic Journal.
With the introduction of the exchange-traded German wind power futures, opportunities for German wind power producers to hedge their volumetric risk are present. We propose two continuous-time multivariate models for the wind power utilization at dif
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::d861e06d9b6953a3b407202deaa123fc
https://doi.org/10.2139/ssrn.3500720
Zobrazit plný text záznamu
9
On non-negative modeling with CARMA processes
Autor: Fred Espen Benth, Victor Rohde
Publikováno v: Benth, F E & Rohde, V 2019, ' On non-negative modeling with CARMA processes ', Journal of Mathematical Analysis and Applications, vol. 476, no. 1, pp. 196-214 . https://doi.org/10.1016/j.jmaa.2018.12.055
Two stationary and non-negative processes that are based on continuous-time autoregressive moving average (CARMA) processes are discussed. First, we consider a generalization of Cox–Ingersoll–Ross (CIR) processes. Next, we consider CARMA processe
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c5fbd3eb219b14eb217f64a6452894aa
https://pure.au.dk/portal/da/publications/on-nonnegative-modeling-with-carma-processes(61888629-00fc-4f20-8afc-fa133319ebe0).html
Zobrazit plný text záznamu
10
Multivariate stochastic delay differential equations and CAR representations of CARMA processes
Autor: Victor Rohde, Andreas Basse-O'Connor, Jan Skov Pedersen, Mikkel Slot Nielsen
Publikováno v: Basse-O'Connor, A, Nielsen, M S, Pedersen, J & Rohde, V U 2019, ' Multivariate stochastic delay differential equations and CAR representations of CARMA processes ', Stochastic Processes and Their Applications, vol. 129, no. 10, pp. 4119-4143 . https://doi.org/10.1016/j.spa.2018.11.011
In this study we show how to represent a continuous time autoregressive moving average (CARMA) as a higher order stochastic delay differential equation, which may be thought of as a continuous-time equivalent of the AR($\infty$) representation. Furth
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e545f822e59a1dc97c8516af4bc53d5c
Zobrazit plný text záznamu

Vyhledávací nástroje:

Upřesnit hledání

Omezení vyhledávání
Plný text Recenzováno Digitální knihovna AV ČR
Zdroje