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FS
2011
168views more  FS 2011»
13 years 20 days ago
Gamma expansion of the Heston stochastic volatility model
Abstract We derive an explicit representation of the transitions of the Heston stochastic volatility model and use it for fast and accurate simulation of the model. Of particular i...
Paul Glasserman, Kyoung-Kuk Kim
GCB
2004
Springer
101views Biometrics» more  GCB 2004»
14 years 2 months ago
Kleene's Theorem and the Solution of Metabolic Carbon Labeling Systems
: Carbon Labeling Systems (CLS) are large equation systems that describe the dynamics of labeled carbon atoms in a metabolic network. The rapid solution of these systems is the alg...
Nicole Isermann, Michael Weitzel, Wolfgang Wiecher...
PODC
2009
ACM
14 years 9 months ago
Bounding the locality of distributed routing algorithms
d Abstract] Prosenjit Bose School of Computer Science Carleton University Ottawa, Canada jit@scs.carleton.ca Paz Carmi Dept. of Computer Science Ben-Gurion Univ. of the Negev Beer-...
Prosenjit Bose, Paz Carmi, Stephane Durocher
ECAL
2005
Springer
14 years 2 months ago
The Quantitative Law of Effect is a Robust Emergent Property of an Evolutionary Algorithm for Reinforcement Learning
An evolutionary reinforcement-learning algorithm, the operation of which was not associated with an optimality condition, was instantiated in an artificial organism. The algorithm ...
J. J. McDowell, Zahra Ansari
IMC
2007
ACM
13 years 10 months ago
Quality-of-service class specific traffic matrices in ip/mpls networks
In this paper we consider the problem of determining traffic matrices for end-to-end demands in an IP/MPLS network that supports multiple quality of service (QoS) classes. More pr...
Stefan Schnitter, Franz Hartleb, Martin Horneffer