2 citations · 4 across the 4 of their papers we have counts for
6 papers
On non-negative solutions of SDDEs with an application to CARMA processes
Mikkel Slot Nielsen, Victor Rohde
This note provides a simple sufficient condition ensuring that solutions of stochastic delay differential equations (SDDEs) driven by subordinators are non-negative. While, to the…
A surrogate model for estimating extreme tower loads on wind turbines based on random forest proximities
Mikkel Slot Nielsen, Victor Rohde
In the present paper we present a surrogate model, which can be used to estimate extreme tower loads on a wind turbine from a number of signals and a suitable simulation tool. Due…
Stochastic differential equations with a fractionally filtered delay: a semimartingale model for long-range dependent processes
Richard A. Davis, Mikkel Slot Nielsen, Victor Rohde
In this paper we introduce a model, the stochastic fractional delay differential equation (SFDDE), which is based on the linear stochastic delay differential equation and produces…
Multivariate stochastic delay differential equations and CAR representations of CARMA processes
Andreas Basse-O'Connor, Mikkel Slot Nielsen, Jan Pedersen +1
In this study we show how to represent a continuous time autoregressive moving average (CARMA) as a higher order stochastic delay differential equation, which may be thought of as…
On infinite divisibility of a class of two-dimensional vectors in the second Wiener chaos
Andreas Basse-O'Connor, Jan Pedersen, Victor Rohde
Infinite divisibility of a class of two-dimensional vectors with components in the second Wiener chaos is studied. Necessary and sufficient conditions for infinite divisibility is…
Continuous-time models with an autoregressive structure
Andreas Basse-O'Connor, Mikkel Slot Nielsen, Jan Pedersen +1
In this paper we suggest two continuous-time models which exhibit an autoregressive structure. We obtain existence and uniqueness results and study the structure of the solution pr…