This paper develops rare event simulation methods for the estimation of portfolio credit risk -- the risk of losses to a portfolio resulting from defaults of assets in the portfol...
In this paper we develop a theoretical analysis of the performance of sampling-based fitted value iteration (FVI) to solve infinite state-space, discounted-reward Markovian decisi...
Dynamic networks are those where the topology changes over time and therefore efficient routes need to be maintained by frequent updates. Such updates could be costly in terms of ...
Dominique Tschopp, Suhas N. Diggavi, Matthias Gros...
Consider a completely asynchronous network consisting of n parties where every two parties are connected by a private channel. An adversary At with unbounded computing power activ...