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IOR
2006
192views more  IOR 2006»
13 years 8 months ago
Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
The stochastic differential equations for affine jump diffusion models do not yield exact solutions that can be directly simulated. Discretization methods can be used for simulati...
Mark Broadie, Özgür Kaya
TIM
2010
148views Education» more  TIM 2010»
13 years 3 months ago
Measurement of Heart Rate Variability Using an Oscillometric Blood Pressure Monitor
Abstract--We apply the maximal overlap discrete wavelet transform (MODWT)-based spectral density estimation method to measure heart rate variability (HRV) from short-duration pulse...
S. Ahmad, Miodrag Bolic, Hilmi R. Dajani, Voicu Gr...
CP
2006
Springer
14 years 9 days ago
Global Optimization of Probabilistically Constrained Linear Programs
We consider probabilistic constrained linear programs with general distributions for the uncertain parameters. These problems generally involve non-convex feasible sets. We develo...
Shabbir Ahmed
ATMOS
2010
169views Optimization» more  ATMOS 2010»
13 years 6 months ago
Traffic Signal Optimization Using Cyclically Expanded Networks
Traditionally, the coordination of multiple traffic signals and the traffic assignment problem in an urban street network are considered as two separate optimization problems. How...
Ekkehard Köhler, Martin Strehler
ISCAS
2006
IEEE
77views Hardware» more  ISCAS 2006»
14 years 2 months ago
A quadrature sinusoidal oscillator with phase-preserving linear frequency control and independent static amplitude control
A Gm- C architecture for a quadrature, sinusoidal os- ± Vref cillator with instantaneous, phase-preserving, linear frequency control Peak detector and independent, static amplitud...
Dimitrios N. Loizos, Paul-Peter Sotiriadis