CMA Collected Preprint series

Link to previous series:
[2003] [2004] [2005] [2006] [2007] [2008] [2009] [2010]

2011:

1. Yuan, J; Bae, Egil; Tai, Xue-Cheng; Boykov, Y. A Fast Continuous Max-Flow Approach to Potts Model. CAM11.85, UCLA, USA, Dec 2011   
2. Bae, Egil; Yuan, J; Tai, Xue-Cheng. Simultaneous Convex Optimization of Regions and Region Parameters in Image Segmentation Models. CAM11-83, UCLA, USA, Dec 2011   
3. Bae, Egil; Tai, Xue-Cheng. Efficient Global Minimization Methods for Image Segmentation Models with Four Regions. CAM11-82, UCLA, USA, Dec 2011    
4. Benth, Fred Espen; Ebbeler, S; Kiesel, Rüdiger. Indifference pricing of weather derivatives based on electricity futures.
5. Benth, Fred Espen; Biegler-König, R; Kiesel, Rüdiger. An empirical study of the information premium in electricity markets
6. Bauer, D; Benth, Fred Espen; Kiesel, Rüdiger. Modelling the forward surface of mortality. Submitted to Siam Journal of Fin. Math.
7. Benth, Fred Espen; Dahl, Geir; Mannino, Carlo. Computing optimal recovery policies for financial markets. To appear in: Operations research
8. Benth, Fred Espen; Taib, Che Mohd Imran Che. Pricing of Temperature Index Insurance. To appear in Review of Development Finance
9. Benth, Fred Espen; Sørensen Torquil Macdonald. Lévy process simulation by stochastic step functions.arXiv:1110.2367v1
10. Benth, Fred Espen; Kluppelberg, C; Muller, G; Vos, Linda. Futures pricing in electricity markets based on stable CARMA spot models. Submitted
11. Benth, Fred Espen; Vos, Linda. Cross-commodity spot price modeling with stochastic volatility and leverage.Submitted
12. Benth, Fred Espen; Vos, Linda. Pricing of forwards and options in a multivariate non-Gaussian stochastic volatility model for energy markets. Submitted
13. Benth, Fred Espen; Di Nunno, Giulia; Khedher, Asma. Computation of Greeks in multi-factor models with applications to power and commodity markets. To appear in Journal of Energy Markets
14. Benth, Fred Espen. Modeling temperature for pricing weather derivatives.Submitted
15. Benth, Fred Espen. Stochastic volatility and dependency in energy markets multi-factor modeling.Submitted
16. Benth, Fred Espen; Schmeck, Maren. Stability of Merton's portfolio optimization problem for Lévy models. Math Preprint 2011;2
17. Biagini, Francesca; Meyer-Brandis, T; Hu, Yaozhong; Øksendal, Bernt. Insider trading equilibrium in a market with memory. Math Preprint 2011;11
18. Biagini, Francesca; Schreiber I. Risk-Minimization for Mortality Derivatives, LMU preprint 2011.
19. Biagini, Francesca; Föllmer H, Nedelcu S. A model for bubble formation, LMU preprint 2011.
20. Biagini, Francesca; Cretarola A, Platen E. Local risk-minimization via benchmark approach, LMU preprint 2011.
21. Biagini, Francesca; Fink H, Klüppelberg, C. A fractional credit model with long range dependent default rate,
    LMU preprint 2011.
22. Biagini, Francesca; Widenmann J. Pricing of unemployment insurance products with doubly stochastic Markov chains, LMU preprint 2011.
23. Biagini, Francesca; Rheinländer T,  Widenmann J.
    Hedging mortality claims with longevity bonds, LMU
    preprint 2011.
24. Dahl, Geir. Martingale matrix classes and polytopes. Submitted
25. Dahl, Geir. A matrix-based ranking method with application to tennis. Submitted
26. Brualdi, RA; Dahl, Geir. An extension of the polytope of doubly stochastic matrices. Submitted.
27. Di Nunno, Giulia; Bion-Nadal, J. Extension theorems for linear operators on L_|infty and application to price systems. Math Preprint 2011;4
28. Dokken, Tor; Lyche, Tom; Pettersen, KF. Locally Refined B-splines. December 2011
29. Eyjolfsson, Heidar; Benth, Fred Espen. Stochastic modelling of energy markets using stationary processes. Submitted
30. Halvorsen, Tore; Sørensen, Torquil Macdonald. Simplicial gauge theory and quantum gauge theory simulation. To appear in Nuclear Physics B.
31. Halvorsen, Tore; Sørensen, Torquil Macdonald. Simplicial gauge theory on spacetime. arxiv.org/abs/1107.1420
32. Grunert, K; Holden, Helge; Raynaud, Xavier. Global solutions for the two-component Camassa-Holm system. arXiv:1111.3188
33. Grunert, K; Holden, Helge; Raynaud, Xavier. Global conservative solutions of the Camassa-Holm equation for initial data nonvanishing asymptotics. arXiv:1106.4125
34. Holden, Helge; Karlsen, Kenneth Hvistendahl;Karper, TK. Operator splitting for two-dimensional incompressible fluid equations 2011
35. Bendahmane, M; Karlsen, Kenneth Hvistendahl. Nonlinear anisotropic elliptic and parabolic equations with variable exponents and data 2011
36. Chen, G-Q; Ding, Q; Karlsen, Kenneth Hvistendahl. On nonlinear stochastic balance laws 2011
37. Coclite, GM; Karlsen, Kenneth Hvistendahl; Mishra, Siddhartha; Risebro, Nils Henrik. A hyperbolic-elliptic model of two-phase flow in porous media – existence of entropy solutions 2011
38. Evje, S; Karlsen, Kenneth Hvistendahl. Analysis of a compressible gas-liquid model motivated by oil well control operations 2011
39. Kettler, Paul C. Stratification of an ideal aggregate when subject to the Brazil nut effect. Math Preprint 2011;3
    
40. Khedher, Asma. Computation of the delta in multidimensional jump-diffusion setting with applications to stochastic volatility models. Math preprint 2011;
41. Kiesel, Rüdiger; Scherer, M. Dynamic credit portfolio modelling in structural models with jumps, submitted to Journal of Credit Risk
42. Grüll, G; Kiesel, Rüdiger. Pricing CO2 permits using approximation approaches.
43. Kiesel, Rüdiger; Metka, K. A Multivariate Commodity Analysis with Time-Dependent Volatility: Evidence from the German Energy Market
44. Stahl, G; Zheng, J; Kiesel, Rüdiger; Rühlicke, R. Conceptionalizing Robustness in Risk Management
45. Lie, Knut-Andreas; Natvig, JR; Nilsen, HM. Discussion of dynamics and operator splitting techniques for two-phase flow with gravity. Accepted in Int. J Numer. Anal. Mod. Nov 2011
46. Alpak, FO; Pal, M; Lie, Knut-Andreas. A multiscale method for modeling flow in stratigraphically complex reservoirs. Accepted in SPE Journal Nov 2011
47. Nilsen, HM; Lie, Knut-Andreas; Natvig, JR. Accurate modelling of faults by multipoint, mimetic, and mixed methods. Accepted in SPE Journal May 2011
48. Mannino, Carlo; Nilssen, E; Nordlander, TE. A pattern based, robust approach to cyclic master surgery scheduling, To appear in Journal of Scheduling
49. D’Andreagiovanni, F; Mannino, Carlo; Sassano, A. GUB Covers and Power-Indexed formulation for Wireless Network Design, To appear in Management Science
50. Melvær, Eivind Lyche; Mørken, Knut; Samset, E. A motion constrained cross-wire phantom for tracked 2D ultrasound calibration, To appear in: International Journal of Computer Assisted Radiology and Surgery.
51. Mishra, Siddhartha; Tadmor, E. Constraint preserving schemes using potential based fluxes- III: divergence preserving central schemes for MHD equations. To appear in M2AN Math. Model. Num. Anal.
52. Mishra, Siddhartha; Schwab, C. Sparse tensor multi-level Monte Carlo finite volume methods for hyperbolic conservation laws with random initial data. To appear in Math. Comput.
53. Coclite, GM; Mishra, Siddhartha; Karlsen, Kenneth Hvistendahl; Risebro, Nils Henrik. Existence of solutions to a model of two-phase flow in porous media. To appear in Int. Jl. Num. Anal. Model
54. Fjordholm, US; Mishra, Siddhartha. Accurate Numerical discretizations of non-conservative hyperbolic systems, To appear in M2AN Math. Model. Num. Anal.
55. Fjordholm, US; Mishra, Siddhartha; Tadmor, E. Arbitrarily high order accurate entropy stable essentially non-oscillatory schemes for systems of conservation laws. To appear in SIAM Jl. Num. Anal.
56. Kumar, H; Mishra, Siddhartha. Entropy stable numerical schemes for two-fluid MHD equations. To appear in Jl. Sci. Comp.
57. Mishra, Siddhartha; Schwab, C; Šukys, J. Multi-level Monte Carlo finite volume methods for nonlinear systems of conservation laws in multi-dimensions. To appear in Jl. Comp. Phys.
58. Fjordholm, US; Mishra, Siddhartha; Tadmor, E. ENO reconstruction and ENO interpolation are stable. To appear in Jl. of Foundations of Computational Mathematics
59. Corti, P; Mishra, Siddhartha. Stable finite difference schemes for the magnetic induction equation with Hall effect
60. Castro, MJ; Fjordholm, US; Mishra, Siddhartha; Parés, C. Entropy conservative and entropy stable schemes for non-conservative hyperbolic systems
61. Mishra, Siddhartha; Spinolo, LV. Accurate numerical schemes for approximating intitial-boundary value problems for systems of conservation laws
62. Mishra, Siddhartha; Schwab, C; Sukys, J. Multi-level Monte Carlo finite volume methods for shallow water equations with uncertain topography in multi-dimensions
63. Ben-Zvi, D; Mishra, Siddhartha; Barkai, N. Scaling pattern with size by a morphogen directed cell division rule
64. Musco, Ilia; Miller, J. Primordial black hole formation in the early universe: critical behaviour and self-similarity. arXiv:1201.2379
65. Mørken, Knut  Martin; Bruvoll, Solveig; Lyche, Tom. Uniformly stable ‘wavelets’ on general triangulations. Submitted.
66. Pamen, Olivier Menoukeu; Meyer-Brandis, T; Proske, F; Salleh, HB. Malliavin Calculus Applied to Optimal Control of Stochastic Partial Dierential Equations with Jumps. To appear in Stochastics: An International Journal of Probability and Stochastic Processes
67. Pamen, Olivier Menoukeu; Meyer-Brandis, T; Nilssen, Torstein; Proske, F; Zhang, Tusheng. A variational approach to the construction and Malliavin differentiability of strong solutions of SDE's. Math preprint 2011;9
68. Pamen, Olivier Menoukeu; Momeya, R. Local risk minimization under a partially observed Markov modulated exponential Lèvy model. Math preprint 2011;5.
69. Pamen, Olivier Menoukeu. Malliavin differentiability of time-advanced backward stochastic differential equations. Math preprint 2011;15
70. Pamen, Olivier Menoukeu. Optimal control for stochastic delay system under model uncertainty: A stochastic differential game approach. Math preprint 2011;13.
71. Pamen, Olivier Menoukeu. Non-linear time-advanced backward stochastic partial differential equations with jumps.Math preprint 2011;14.
72. Piaskowska, Katarzyna. On a new turbulent flow model. Properties of solutions, numerical discretization and analysis
73. Dickenstein, A; Di Rocco, S; Piene, Ragni. Higher order duality and toric varieties. arXiv 2011:1111.4641
74. Postinghel, Elisa; Sottile, F; Villamizar, Nelly. Degenerations of irrational toric varieties
75. Postinghel, Elisa; Laface, A. Secant varieties of Segre-Veronese embeddings of (P^1)^r. arXiv:2011:1105.2136
76. Qviller, Nikolay. The Di Francesco-Itzykson-Göttsche Conjectures for Node Polynomials of P^2. To apperar in: International Journal of Mathematics
77. Qviller, Nikolay. Structure of Node Polynomials for Curves on Surfaces. arXiv 2011:1102.2092
78. Ta, An Thi Kieu; Pamen, Olivier Menoukeu. Portfolios optimization under constraint in incomplete markets based upon recursive utilities. Math preprint 2011;10.
79. Ta, An Thi Kieu. Optimal control of stochastic differential equations with delay driven by Lévy processes via backward stochastic differential equations.
80. Rosman, G; Wang, Y; Tai, Xue-Cheng; Kimmel, K; Bruckstein, A M. Fast Regularization of Matrix-Valued Images. CAM11-87, UCLA, USA, Dec 2011   
81. Yuan, J; Miles, B; Shi, J; Garvin, G; Tai, Xue-Cheng; Fenster, A. Efficient Convex Optimization Approaches to Variational Image Fusion. CAM11-86, UCLA, USA, Dec 2011   
82. Compton, R; Osher, S; Bouchard, L S; Tai, Xue-Cheng. Hybrid Regularization for MRI Reconstruction with Field Inhomogeneity Correction. CAM11-84, UCLA, USA, Dec 2011 
83. Tao, W; Tai, Xue-Cheng. A General Graph Decomposition and Minimum Cuts Composition Framework for Min-Cut Problem, CAM11-45, UCLA, USA, Jul 2011     
84. Gu, Y; Wang, L-L; Tai, Xue-Cheng. A Direct Approach Towards Global Minimization for Multiphase Labeling and Segmentation Problems, CAM11-44, UCLA, USA, Jul 2011     
85. Wang, L-L; Shi, Y; Tai, Xue-Cheng. Robust Edge Detection Using Mumford-Shah Model and Binary Level Set Method. Mar 2011     
86. Shi, J; Wan, M; Tai, Xue-Cheng; Wang, D. Curvature Minimization for Surface Reconstruction with Features, CAM11-19, UCLA, USA, Mar 2011     
87. Tong, W; Tai, Xue-Cheng. A Variational Approach for Detecting Feature Lines on Meshes, CAM11-18, UCLA, USA, Mar 2011     
88. Liu, J; Tai, Xue-cheng, Huang, H; Huan, Z. A Fast Segmentation Method Based on Constraint Optimization and Its Applications: Intensity Inhomogeneity and Texture Segmentation, CAM11-10, UCLA, USA, Feb 2011
89. Sulem, A; Zhang, Tusheng; Øksendal, Bernt. Stochastic control of stochastic delay equations and time advanced backward stochastic differential equations. To appear in Advances in Applied Probability.
90. Meyer-Brandis, T; Nilssen, Torstein; Pamen, Olivier Menoukeu; Proske, FN; Zhang, Tusheng. A variational approach to the construction and Malliavin differentiability of strong solutions of SDE's. Math preprint 2011
91. Sørensen, Torquil Macdonald. Comments on The Stochastic Nonlinear Schrödinger Equation in H1
92. Mourrain, B; Villamizar, Nelly. Bounds on the dimension of triangular splines
93. Sulem, A; Zhang, Tusheng; Øksendal, Bernt. Optimal partial information control of SPDEs with delay and time-advanced backwards SPDEs. Math preprint 2011;7
94. Sulem, A; Zhang, Tusheng; Øksendal, Bernt. Singular control of SPDEs and backwards SPDEs with reflection. Math preprint 2011;8
95. Øksendal, Bernt. Mathematics and Finance: The Black-Scholes Option Pricing Formula and Beyond. Math preprint 2011;11:12 pp
96. Øksendal, Bernt; Sandal, LK; Ubøe, Jan. Stochastic Stackelberg equilibria with applications to time dependent newsvendor models. Math preprint 2011;6
97. Øksendal, Bernt; Sulem, A. Forward-backward SDE games and stochastic control under model uncertainty. Math preprint 2011;12
98. Øksendal, Bernt; Sulem, A. Portfolio optimization under model uncertainty and BSDE games. Math preprint 2011;1
99. Aase, Knut. Long dated life insurance and pension contracts. Discussion Paper, NHH 2011:4(10):37 p.
100. Aase, Knut. The equity premium and the risk free rate in a production economy. A new perspective. Discussion Paper, NHH 2011;2(2): 31 p.
101. Aase, Knut. The long term equilibrium interest rate and risk premiums under uncertainty. Discussion Paper, NHH 2011;4(4):34 p.
102. Aase, Knut; Bjuland, T; Øksendal, Bernt. Partially informed liquidity traders. Discussion Paper, NHH 2011;16(21):16 p.
103. Aase, Knut; Bjuland, T; Øksendal, Bernt. Insider trading with partially informed traders. Math preprint 2011;16.