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IOR
2006
192views more  IOR 2006»
13 years 9 months ago
Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
The stochastic differential equations for affine jump diffusion models do not yield exact solutions that can be directly simulated. Discretization methods can be used for simulati...
Mark Broadie, Özgür Kaya
SIAMSC
2008
179views more  SIAMSC 2008»
13 years 9 months ago
Multigrid Algorithms for Inverse Problems with Linear Parabolic PDE Constraints
Abstract. We present a multigrid algorithm for the solution of distributed parameter inverse problems constrained by variable-coefficient linear parabolic partial differential equa...
Santi S. Adavani, George Biros
CN
2008
127views more  CN 2008»
13 years 9 months ago
Decentralized detection of global threshold crossings using aggregation trees
The timely detection that a monitored variable has crossed a given threshold is a fundamental requirement for many network management applications. A challenge is the detection of ...
Fetahi Wuhib, Mads Dam, Rolf Stadler
NCA
2005
IEEE
14 years 2 months ago
An Adaptive Reputation-based Trust Framework for Peer-to-Peer Applications
In distributed P2P environments, peers (i.e., users) often have to request the services from some unfamiliar peers (i.e., resources) that could be altruistic, selfish, or even ma...
William Sears, Zhen Yu, Yong Guan
MOBIWAC
2009
ACM
14 years 1 months ago
Adaptive, direction-aware data dissemination for diverse sensor mobility
We consider sensor networks where the sensor nodes are attached on entities that move in a highly dynamic, heterogeneous manner. To capture this mobility diversity we introduce a ...
Azzedine Boukerche, Dionysios Efstathiou, Sotiris ...