All a b c d e f g h i j k l m n o p q r s t u v w x y z Other

Previous Page 8 Next

Displaying 141 – 160 of 162

Showing per page

Universal Ls-rate-optimality of Lr-optimal quantizers by dilatation and contraction

Abass Sagna (2009)

ESAIM: Probability and Statistics

We investigate in this paper the properties of some dilatations or contractions of a sequence (αn)n≥1 of Lr-optimal quantizers of an ℝ d -valued random vector X ∈ L r ( ℙ ) defined in the probability space ( Ω , 𝒜 , ℙ ) with distribution ℙ X = P . To be precise, we investigate the Ls-quantization rate of sequences α n θ , μ = μ + θ ( α n - μ ) = { μ + θ ( a - μ ) , a ∈ α n } when θ ∈ ℝ + ☆ , μ ∈ ℝ , s ∈ ( 0 , r ) or s ∈ (r, +∞) and X ∈ L s ( ℙ ) . We show that for a wide family of distributions, one may always find parameters (θ,µ) such that (αnθ,µ)n≥1 is Ls-rate-optimal. For the Gaussian and the exponential distributions we show...

Valuation and optimal design to defaultable security

Jianhui Huang, Na Li (2006)

Applicationes Mathematicae

Herein, we develop a backward stochastic differential equation (BSDE) valuation of securities with default risk. Consequently, the optimal recovery problem with quasi-linear utility functions is discussed with the help of the stochastic maximum principle. Finally, two important examples: the exponential and power utility cases are studied and their business implications are considered.

Variance-Constrained H ∞ finite-horizon filtering for multi-rate time-varying networked systems based on stochastic protocols

Ming Lyu, Jie Zhang, YuMing Bo (2020)

Kybernetika

In this paper, the variance-constrained H ∞ finite-horizon filtering problem is investigated for a class of time-varying nonlinear system under muti-rate communication network and stochastic protocol (SP). The stochastic protocol is employed to determine which sensor obtains access to the muti-rate communication network in order to relieve communication burden. A novel mapping technology is applied to characterize the randomly switching behavior of the data transmission resulting from the utilization...

Weak infinitesimal operators and stochastic differential games.

Ramón Ardanuy, A. Alcalá (1992)

Stochastica

This article considers the problem of finding the optimal strategies in stochastic differential games with two players, using the weak infinitesimal operator of process xi the solution of d(xi) = f(xi,t,u1,u2)dt + sigma(xi,t,u1,u2)dW. For two-person zero-sum stochastic games we formulate the minimax solution; analogously, we perform the solution for coordination and non-cooperative stochastic differential games.

Currently displaying 141 – 160 of 162