Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value...

In this paper we explain how the importance sampling technique can be generalized from simulating expectations to computing the initial value of backward SDEs with Lipschitz continuous driver. By means of a measure transformation we introduce a variance reduced version of the forward...

We apply set valued analysis techniques in order to characterize the input-to-state dynamical stability (ISDS) property, a variant of the well known input-to-state stability (ISS) property. Using a suitable augmented differential inclusion we are able to characterize the epigraphs of minimal...

We apply set valued analysis techniques in order to characterize the input-to-state dynamical stability (ISDS) property, a variant of the well known input-to-state stability (ISS) property. Using a suitable augmented differential inclusion we are able to characterize the epigraphs of minimal...

What has become known as the Freiburg School or the Ordo-liberal School was founded in the 1930s at the University of Freiburg in Germany by economist Walter Eucken (1891-1950) and two jurists, Franz Böhm (1895-1977) and Hans Großmann-Doerth (1894-1944). Freiburg University's "Fakultät für...

Validated continuation was introduced [S. Day, J.-P. Lessard, K. Mischaikow, Validated continuation for equilibria of PDEs, SIAM Journal on Numerical Analysis, in press] as means of checking that the classical continuation method applied to a Galerkin projection of a PDE provides a locally...