0000000000133079

AUTHOR

Jürgen Potthoff

showing 2 related works from this author

Finite propagation speed for solutions of the wave equation on metric graphs

2012

We provide a class of self-adjoint Laplace operators on metric graphs with the property that the solutions of the associated wave equation satisfy the finite propagation speed property. The proof uses energy methods, which are adaptions of corresponding methods for smooth manifolds.

Finite propagation speedClass (set theory)Property (philosophy)Laplace transformMathematical analysisFOS: Physical sciencesMathematical Physics (math-ph)Wave equation34B45 35L05 35L20530Laplace operatorsMetric (mathematics)Energy methodWave equationMetric graphsMathematical PhysicsAnalysisMathematics
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Hedging of Spatial Temperature Risk with Market-Traded Futures

2011

The main objective of this work is to construct optimal temperature futures from available market-traded contracts to hedge spatial risk. Temperature dynamics are modelled by a stochastic differential equation with spatial dependence. Optimal positions in market-traded futures minimizing the variance are calculated. Examples with numerical simulations based on a fast algorithm for the generation of random fields are presented.

Mathematical optimizationStochastic differential equationWork (thermodynamics)Random fieldApplied MathematicsStochastic simulationEconometricsVariance (accounting)Spatial dependenceHedge (finance)Futures contractFinanceMathematicsApplied Mathematical Finance
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