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CORR
2002
Springer
98views Education» more  CORR 2002»
13 years 9 months ago
An Empirical Model for Volatility of Returns and Option Pricing
In a seminal paper in 1973, Black and Scholes argued how expected distributions of stock prices can be used to price options. Their model assumed a directed random motion for the ...
Joseph L. McCauley, Gemunu H. Gunaratne
IOR
2002
112views more  IOR 2002»
13 years 9 months ago
Interdisciplinary Meandering in Science
abstract mathematics. My mentor was Professor S. Bochner, a distinguished contributor to harmonic analysis. My classmates included Richard Bellman (who later nurtured the method of...
Samuel Karlin
ML
1998
ACM
101views Machine Learning» more  ML 1998»
13 years 9 months ago
Elevator Group Control Using Multiple Reinforcement Learning Agents
Recent algorithmic and theoretical advances in reinforcement learning (RL) have attracted widespread interest. RL algorithmshave appeared that approximatedynamic programming on an ...
Robert H. Crites, Andrew G. Barto
INFOCOM
2010
IEEE
13 years 8 months ago
Energy-Conserving Scheduling in Multi-hop Wireless Networks with Time-Varying Channels
Abstract— MaxWeight algorithm, a.k.a., back-pressure algorithm, has received much attention as a viable solution for dynamic link scheduling in multi-hop wireless networks. The b...
Yang Song, Chi Zhang, Yuguang Fang, Zhisheng Niu
SIAMCO
2010
116views more  SIAMCO 2010»
13 years 8 months ago
Large-Population LQG Games Involving a Major Player: The Nash Certainty Equivalence Principle
We consider linear-quadratic-Gaussian (LQG) games with a major player and a large number of minor players. The major player has a significant influence on others. The minor playe...
Minyi Huang