5 citations · 9 across the 6 of their papers we have counts for
9 papers
Environmental contours and optimal design
Kristina Rognlien Dahl, Arne Bang Huseby
Classical environmental contours are used in structural design in order to obtain upper bounds on the failure probabilities of a large class of designs. Buffered environmental cont…
Sequential Bayesian optimal experimental design for structural reliability analysis
Christian Agrell, Kristina Rognlien Dahl
Structural reliability analysis is concerned with estimation of the probability of a critical event taking place, described by for some -dimensional ra…
Buffered environmental contours
Kristina Rognlien Dahl, Arne Bang Huseby
The main idea of this paper is to use the notion of buffered failure probability from probabilistic structural design, to introduce buffered environmental contours. Classical envir…
A duopoly preemption game with two alternative stochastic investment choices
Kristina Rognlien Dahl, Espen Stokkereit
This paper studies a duopoly investment model with uncertainty. There are two alternative irreversible investments. The first firm to invest gets a monopoly benefit for a specified…
Stochastic maximum principle with Lagrange multipliers and optimal consumption with Lévy wage
Kristina Rognlien Dahl, Espen Stokkereit
We show how a stochastic version of the Lagrange multiplier method can be combined with the stochastic maximum principle for jump diffusions to solve certain constrained stochastic…
Pricing of claims in discrete time with partial information
Kristina Rognlien Dahl
We consider the pricing problem of a seller with delayed price information. By using Lagrange duality, a dual problem is derived, and it is proved that there is no duality gap. Thi…