Victor Rohde
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View article: Multivariate Continuous-Time Modeling of Wind Indexes and Hedging of Wind Risk
Multivariate Continuous-Time Modeling of Wind Indexes and Hedging of Wind Risk Open
With the introduction of the exchange-traded German wind power futures, opportunities for German wind power producers to hedge their volumetric risk are present. We propose two continuous-time multivariate models for wind power utilization…
View article: On nonnegative solutions of SDDEs with an application to CARMA processes
On nonnegative solutions of SDDEs with an application to CARMA processes Open
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 best of our knowledge, no simple non-negativity conditions …
View article: Multivariate continuous-time modeling of wind indexes and hedging of wind risk
Multivariate continuous-time modeling of wind indexes and hedging of wind risk Open
With the introduction of the exchange-traded German wind power futures, opportunities for German wind power producers to hedge their volumetric risk are present. We propose two continuous-time multivariate models for wind power utilization…
View article: On non-negative solutions of SDDEs with an application to CARMA\n processes
On non-negative solutions of SDDEs with an application to CARMA\n processes Open
This note provides a simple sufficient condition ensuring that solutions of\nstochastic delay differential equations (SDDEs) driven by subordinators are\nnon-negative. While, to the best of our knowledge, no simple non-negativity\nconditio…
View article: A surrogate model for estimating extreme tower loads on wind turbines based on random forest proximities
A surrogate model for estimating extreme tower loads on wind turbines based on random forest proximities Open
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 to the requirements of the International Electrotechnical C…
View article: Stochastic differential equations with a fractionally filtered delay: A semimartingale model for long-range dependent processes
Stochastic differential equations with a fractionally filtered delay: A semimartingale model for long-range dependent processes Open
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 stationary processes with hyperbolically decaying autocovar…
View article: On infinite divisibility of a class of two-dimensional vectors in the second Wiener chaos
On infinite divisibility of a class of two-dimensional vectors in the second Wiener chaos Open
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 are presented as well as more easily verifiable sufficient con…
View article: A surrogate model for estimating extreme tower loads on wind turbines\n based on random forest proximities
A surrogate model for estimating extreme tower loads on wind turbines\n based on random forest proximities Open
In the present paper we present a surrogate model, which can be used to\nestimate extreme tower loads on a wind turbine from a number of signals and a\nsuitable simulation tool. Due to the requirements of the International\nElectrotechnica…
View article: Multivariate stochastic delay differential equations and CAR representations of CARMA processes
Multivariate stochastic delay differential equations and CAR representations of CARMA processes Open
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 a continuous-time equivalent of the AR($\infty$) representa…
View article: On infinite divisibility of a class of two-dimensional vectors in the second Wiener chaos
On infinite divisibility of a class of two-dimensional vectors in the second Wiener chaos Open
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 presented as well as more easily verifiable sufficient cond…
View article: On infinite divisibility of a class of two-dimensional vectors in the\n second Wiener chaos
On infinite divisibility of a class of two-dimensional vectors in the\n second Wiener chaos Open
Infinite divisibility of a class of two-dimensional vectors with components\nin the second Wiener chaos is studied. Necessary and sufficient conditions for\ninfinite divisibility is presented as well as more easily verifiable sufficient\nc…
View article: Continuous-time models with an autoregressive structure
Continuous-time models with an autoregressive structure Open
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 processes. One of the models, which corresponds to general st…
View article: A continuous-time framework for ARMA processes
A continuous-time framework for ARMA processes Open
Based on a vast literature on continuous-time moving average processes we suggest an analogue for an autoregressive structure, and from this we combine the two concepts to a model for stationary processes which exhibit an ARMA type behavio…