53 search results - page 4 / 11 » Multilevel Monte Carlo Path Simulation |
ISVLSI
2007
IEEE
14 years 1 months ago
2007
IEEE
As technology scales, more sophisticated fabrication processes cause variations in many different parameters in the device. These variations could severely affect the performance ...
WSC
2007
13 years 9 months ago
2007
A credit derivative is a path dependent contingent claim on the aggregate loss in a portfolio of credit sensitive securities. We estimate the value of a credit derivative by Monte...
WSC
2004
13 years 8 months ago
2004
We develop an efficient Monte Carlo algorithm for pricing barrier options with the variance gamma model (Madan, Carr, and Chang 1998). After generalizing the double-gamma bridge s...
CVPR
2007
IEEE
14 years 9 months ago
2007
IEEE
We study the challenging problem of maneuvering object tracking with unknown dynamics, i.e., forces or torque. We investigate the underlying causes of object kinematics, and propo...
ICRA
2009
IEEE
14 years 2 months ago
2009
IEEE
— Path planning algorithms that incorporate risk and uncertainty need to be able to predict the evolution of pathfollowing error statistics for each candidate plan. We present an...