We propose a stochastic model for video and compute its information rates. The model has two sources of information representing ensembles of camera motion and visual scene data (...
This paper derives Monte Carlo simulation estimators to compute option price derivatives, i.e., the `Greeks,' under Heston's stochastic volatility model and some variant...
In a recent set of modeling studies we have developed a stochastic threshold model of auditory nerve response to single biphasic electrical pulses (Bruce et al., 1999c) and moderat...
Ian C. Bruce, Laurence S. Irlicht, Mark W. White, ...
In this paper we analyze the electricity portfolio problem of a big consumer in a multi-stage stochastic programming framework. Stochasticity enters the model via the uncertain spo...
We present a multistage model for allocation of financial resources to bond indices in different currencies. The model was tested on historical data of interest and exchange rates...