Discrete stochastic models (DSM) are widely used in various application fields today. Proxel-based simulation can outperform discrete event-based approaches in the analysis of smal...
We derive an easy-to-compute approximate bound for the range of step-sizes for which the constant-modulus algorithm (CMA) will remain stable if initialized close to a minimum of t...
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...
Abstract. In this paper we describe a formalism which uses the stochastic process algebra PEPA as the inscription language for labelled stochastic Petri nets. Viewed in another way...
Performance evaluation of complex systems is a critical issue and bounds computation provides confidence about service quality, reliability, etc. of such systems. The stochastic ...