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SIAMCO
2010
105views more  SIAMCO 2010»
13 years 6 months ago
The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options
In this paper we study the nonzero-sum Dynkin game in continuous time, which is a two-player noncooperative game on stopping times. We show that it has a Nash equilibrium point for...
Said Hamadène, Jianfeng Zhang
AB
2007
Springer
14 years 1 months ago
A Stochastic Pi Calculus for Concurrent Objects
We present SpiCO, a new modeling and simulation language for systems biology. SpiCO is based on the stochastic π-calculus. It supports higher level modeling via multi-profile con...
Céline Kuttler, Cédric Lhoussaine, J...
MP
2008
103views more  MP 2008»
13 years 7 months ago
Aggregation and discretization in multistage stochastic programming
Multistage stochastic programs have applications in many areas and support policy makers in finding rational decisions that hedge against unforeseen negative events. In order to en...
Daniel Kuhn
FORMATS
2006
Springer
13 years 11 months ago
A Characterization of Meaningful Schedulers for Continuous-Time Markov Decision Processes
Abstract. Continuous-time Markov decision process are an important variant of labelled transition systems having nondeterminism through labels and stochasticity through exponential...
Nicolás Wolovick, Sven Johr
NIPS
2007
13 years 9 months ago
Continuous Time Particle Filtering for fMRI
We construct a biologically motivated stochastic differential model of the neural and hemodynamic activity underlying the observed Blood Oxygen Level Dependent (BOLD) signal in Fu...
Lawrence Murray, Amos J. Storkey