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Sökning: WFRF:(Wiktorsson S)

  • Resultat 1-7 av 7
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  • Wiktorsson, Magnus, et al. (författare)
  • An optimal production flow control problem with impulsive demand
  • 1997
  • Ingår i: Mathematical and computer modelling. - 0895-7177 .- 1872-9479. ; 26:2, s. 53-67
  • Tidskriftsartikel (refereegranskat)abstract
    • We consider a system consisting of a single machine cell and producing one part type. The machine cell has a finite capacity and is reliable. We consider a finite planning horizon containing N impulsive demands. The demand occurs instantaneously. Each such demand is known by its size and when it occurs in the planning horizon. In order to keep the production as close to the demand as possible there is a trade off between building up inventory and letting customers wait. An optimal control problem is formulated to determine the optimal production strategy. Solution technique is developed via Pontryagin's Minimum Principle.
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  • Rasmus, Sebastian, et al. (författare)
  • Pricing of some exotic options with NIG-Levy input
  • 2004
  • Ingår i: Computational Science - ICCS 2004. Proceedings Part IV. (Lecture Notes in Computer Science). - Berlin, Heidelberg : Springer Berlin Heidelberg. - 0302-9743 .- 1611-3349. - 9783540221296 ; 3039, s. 795-802
  • Konferensbidrag (refereegranskat)abstract
    • We study the problem of pricing barrier options and Russian options driven by exponential NIG Levy processes by simulation. Simulating at a discrete grid creates a systematic bias because the minimum and maximum in between grid points is neglected. The proposed solution is to simulate the large jumps only and use a Brownian approximation for the rest combined with explicit formulas for Brownian minima and maxima.
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  • Rubenthaler, S, et al. (författare)
  • Improved convergence rate for the simulation of stochastic differential equations driven by subordinated Levy processes
  • 2003
  • Ingår i: Stochastic Processes and their Applications. - 1879-209X. ; 108:1, s. 1-26
  • Tidskriftsartikel (refereegranskat)abstract
    • We consider the Euler approximation of stochastic differential equations (SDEs) driven by Levy processes in the case where we cannot simulate the increments of the driving process exactly. In some cases, where the driving process Y is a subordinated stable process, i.e., Y = Z(V) with V a subordinator and Z a stable process, we propose an approximation Y by Z(V-n) where V-n is an approximation of V. We then compute the rate of convergence for the approximation of the solution X of an SDE driven by Y using results about the stability of SDEs. (C) 2003 Elsevier B.V. All rights reserved.
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  • Resultat 1-7 av 7

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