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math.PR2025
Red noise in continuous-time stochastic modelling
Andreas Morr, Dörte Kreher, Niklas Boers
The concept of time-correlated noise is important to applied stochastic modelling. Nevertheless, there is no generally agreed-upon definition of the term red noise in continuous-ti…
math.PR2024
A cross-border market model with limited transmission capacities
Cassandra Milbradt, Dörte Kreher
We develop a cross-border market model for two countries based on a continuous trading mechanism, in which the transmission capacities that enable transactions between market parti…