Diffusion processes are a family of continuous-time continuous-state stochastic processes that are in general only partially observed. The joint estimation of the forcing paramete...
When pricing options via Monte Carlo simulations, precision can be improved either by performing longer simulations, or by reducing the variance of the estimators. In this paper, ...
This paper addresses the problem of efficient information theoretic, non-parametric data clustering. We develop a procedure for adapting the cluster memberships of the data pattern...
Robert Jenssen, Deniz Erdogmus, Kenneth E. Hild II...
We define the class of games called simulation-based games, in which the payoffs are available as an output of an oracle (simulator), rather than specified analytically or using a...
We study online learning when individual instances are corrupted by adversarially chosen random noise. We assume the noise distribution is unknown, and may change over time with n...