Sciweavers

3527 search results - page 185 / 706
» Gaussianization
Sort
View
WSC
2001
15 years 3 months ago
Efficient simulation for discrete path-dependent option pricing
In this paper we present an algorithm for simulating functions of the minimum and terminal value for a random walk with Gaussian increments. These expectations arise in connection...
James M. Calvin
CORR
2008
Springer
68views Education» more  CORR 2008»
15 years 2 months ago
Three-dimensional Random Voronoi Tessellations: From Cubic Crystal Lattices to Poisson Point Processes
We perturb the simple cubic (SC), body-centered cubic (BCC), and face-centered cubic (FCC) structures with a spatial Gaussian noise whose adimensional strength is controlled by th...
Valerio Lucarini
CORR
2006
Springer
81views Education» more  CORR 2006»
15 years 2 months ago
Multivariate Integral Perturbation Techniques - I (Theory)
We present a quasi-analytic perturbation expansion for multivariate N dimensional Gaussian integrals. The perturbation expansion is an infinite series of lower-dimensional integra...
Jan W. Dash
JMIV
2006
78views more  JMIV 2006»
15 years 2 months ago
Shape Estimation from Support and Diameter Functions
We address the problem of reconstructing a planar shape from a finite number of noisy measurements of its support function or its diameter function. New linear and non-linear algor...
Amyn Poonawala, Peyman Milanfar, Richard J. Gardne...
NPL
2006
82views more  NPL 2006»
15 years 2 months ago
How Online Learning Approaches Ornstein Uhlenbeck Processes
We show that under reasonable conditions, online learning for a nonlinear function near a local minimum is similar to a multivariate Ornstein Uhlenbeck process. This implies that ...
Fredrik A. Dahl