Weierstrass Institute for Applied Analysis and Stochastics

State Spaces of Multifactor Approximations of Nonnegative Volterra Processes

We show that the state spaces of multifactor Markovian processes, coming from approximations of nonnegative Volterra processes, are given by explicit linear transformations of the nonnegative orthant. We demonstrate the usefulness of this result for applications, including simula...

A Cournot–Nash model for a coupled hydrogen and electricity market

Abstract We present a novel model of a coupled hydrogen and electricity market on the intraday time scale, where hydrogen gas is used as a storage device for the electric grid. Electricity is produced by renewable energy sources or by extracting hydrogen from a pipeline that is s...

Interpolation and Inverse Problems in Spectral Barron Spaces

Abstract. Spectral Barron spaces, which quantify the absolute value of weighted Fourier coefficients of a function, have gained considerable attention due to their capability for universal approximation across certain function classes. By establishing a connection between these s...