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WSC
2004
13 years 9 months ago
Function-Approximation-Based Importance Sampling for Pricing American Options
Monte Carlo simulation techniques that use function approximations have been successfully applied to approximately price multi-dimensional American options. However, for many pric...
Nomesh Bolia, Sandeep Juneja, Paul Glasserman
COMGEO
2011
ACM
13 years 3 months ago
On crossing numbers of geometric proximity graphs
Let P be a set of n points in the plane. A geometric proximity graph on P is a graph where two points are connected by a straight-line segment if they satisfy some prescribed prox...
Bernardo M. Ábrego, Ruy Fabila Monroy, Silv...
SIGECOM
2009
ACM
110views ECommerce» more  SIGECOM 2009»
14 years 2 months ago
On random sampling auctions for digital goods
In the context of auctions for digital goods, an interesting Random Sampling Optimal Price auction (RSOP) has been proposed by Goldberg, Hartline and Wright; this leads to a truth...
Saeed Alaei, Azarakhsh Malekian, Aravind Srinivasa...
CDC
2008
IEEE
144views Control Systems» more  CDC 2008»
14 years 2 months ago
State estimation of nonlinear systems with Markov state reset
— We present a novel observer design for a class of single-output nonlinear systems with Markov jumps. The Markov jump process interferes with a deterministic nonlinear dynamics ...
Stefano Battilotti
NECO
2007
74views more  NECO 2007»
13 years 7 months ago
Phase Transition and Hysteresis in an Ensemble of Stochastic Spiking Neurons
An ensemble of stochastic non-leaky integrate-and-fire neurons with global, delayed and excitatory coupling and a small refractory period is analyzed. Simulations with adiabatic ...
Andreas Kaltenbrunner, Vicenç Gómez,...