| 1. |
- Dahlgren, Martin
(författare)
-
Optimal sale strategies in illiquid markets
- 2005
-
Ingår i: Mathematical Methods of Operations Research. - : Springer Science and Business Media LLC. - 1432-2994 .- 1432-5217. ; 61:2, s. 173-190
-
Tidskriftsartikel (refereegranskat)abstract
- The value of a position in a risky asset when optimally sold in an illiquid market is considered. The optimization problem is described as a stochastic impulse control problem, and it is shown that it is related to solving a system of quasi-variational inequalities. Existence of a solution to these inequalities are proved. A numerical implementation of the valuation algorithm is discussed and two numerical examples are presented. Further, two examples where the stochastic impulse control problem can be reduced to deterministic optimization problems are also given.
|
|
| 2. |
- Dahlgren, Martin
(författare)
-
Some Applications of Variational Inequalities in Mathematical Finance and Numerics
- 2005
-
Doktorsavhandling (övrigt vetenskapligt/konstnärligt)abstract
- This thesis contains two parts. The first part deals with a stochastic impulse control problem, subject to the restriction of a minimum time lapse in between interventions made by the controller. We prove existence of an optimal control and show that the value function of the control problem satisfies a system of quasi-variational inequalities. Furthermore, we apply the control method to price Swing options on the stock and commodity markets and to value a large position in a risky asset. In the second part we investigate a variational method for solving a class of linear parabolic partial differential equations. The method does not use time-stepping. The basic idea is to transform the non-coercive parabolic operators into equivalent coercive operators. We present one way to discretize the equations. We also give some numerical examples and results on convergence of the numerical scheme.
|
|
| 3. |
- Eklöf, Johan, 1978, et al.
(författare)
-
The importance of grazing intensity and frequency for physiological responses of the tropical seagrass Thalassia hemprichii
- 2008
-
Ingår i: Aquatic Botany. - : Elsevier BV. - 0304-3770. ; 89, s. 337-340
-
Tidskriftsartikel (refereegranskat)abstract
- Seagrass grazing is an intrinsic disturbance in primarily tropical and subtropical areas. While there is a general parabolic response in seagrass growth to grazing intensity, there is less knowledge on the role of grazing frequency, as well as potential interactions between grazing intensity and frequency. This study experimentally investigated physiological responses in Thalassia hemprichii to simulated (leaf cutting) grazing regimes with different intensities (25% vs. 75%) and frequencies (I times vs. 3 times) over 35 days in Chwaka Bay (Zanzibar, Tanzania). The results showed that the two high-intensity treatments (75% removal) had 37-41% lower growth rate than the low-intensity/low-frequency treatment, and rhizome sugar and starch content were both affected in a similar way. A 36% lower starch content in the simulated low-intensity/high-frequency regime (25% x 3) compared to the one of low-intensity/low-frequency (25% x I) also shows an interaction between grazing intensity and frequency. This suggests that high-intensity (and to some extent frequency) grazing regimes, in comparison to low-intensity regimes, could negatively affect T. hemprichii growth, energy reserves, and thereby the ability to deal with additional stress like light limitation or grazing. (C) 2008 Elsevier B.V. All rights reserved.
|
|
| 4. |
|
|
