Asian options are popular financial derivative securities. Unfortunately, no exact pricing formulas exist for their price under continuous-time models. Asian options can also be priced on the lattice, which is a discr...
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Asian options are popular financial derivative securities. Unfortunately, no exact pricing formulas exist for their price under continuous-time models. Asian options can also be priced on the lattice, which is a discretized version of the continuous- time model. But only exponential-time algorithms exist if the options are priced on the lattice without approximations. Although efficient approximation methods are available, they lack accuracy guarantees in general. This paper proposes a novel lattice structure for pricing Asian options. The resulting pricing algorithm is exact (i.e., without approximations), converges to the value under the continuous-time model, and runs in subexponential time. This is the first exact, convergent lattice algorithm to break the long-standing exponential-time barrier.
The high computational complexity of existing joint tracking and classification (JTC) algorithms hampers their application. After presenting a new description of the JTC problem-simultaneous tracking and classificatio...
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The high computational complexity of existing joint tracking and classification (JTC) algorithms hampers their application. After presenting a new description of the JTC problem-simultaneous tracking and classification (STC) instead of JTC, we derive two STC algorithms in both exact and approximate forms by applying Bayes' rule to the target state probability density function (pdf) and target class probability mass function (pmf) simultaneously under the assumption that the kinematic and attribute measurement processes are conditional independent. The mutual information exchange between tracker and classifier of the proposed STC algorithms is introduced by defining the simultaneous pdf-pmf of target state and class, the dependence of kinematic measurement on target class, the dependence of attribute measurement on target state and target model, class-dependent kinematic model sets, and class-dependent flight envelopes, etc. The proposed STC algorithms have four distinctive features. First, they have a modularized structure, i.e., they explicitly integrate a multiple-model filter and a Bayesian classifier. Second, the approximate versions, which follow easily from the proposed STC algorithms thanks to their modularized structure, have a closed form with a lower computational complexity and are more suitable for real-time applications. Third, the proposed exact STC algorithms are derived without the hidden approximation made in some existing multiple-model based JTC algorithms. Fourth, one of the proposed STC algorithms has the potential to further reduce the computational load since it has no redundant motion models. Simulation results suggest that the proposed STC algorithms provide a hopeful solution to a class of STC problems.
Based on an analysis of the capability operators of the Calculus of Mobile Ambients, three fairness principles are proposed to safeguard the interactions of the ambients. The Calculus of Fair Ambient is designed to me...
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Based on an analysis of the capability operators of the Calculus of Mobile Ambients, three fairness principles are proposed to safeguard the interactions of the ambients. The Calculus of Fair Ambient is designed to meet these fairness principles. A labeled transition semantics for the calculus is defined to support structural investigation. The bisimulation theory of the fair ambients is studied and two coincidence results are established. An expressiveness result of the calculus is formally established by proving that it contains the pi calculus as a sub-calculus.
We give the first example of a binary pattern which is Abelian 2-avoidable, but which contains no Abelian fourth power. We introduce a family {fn}(n=1)(infinity) of binary morphisms which offer a common generalization...
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We give the first example of a binary pattern which is Abelian 2-avoidable, but which contains no Abelian fourth power. We introduce a family {fn}(n=1)(infinity) of binary morphisms which offer a common generalization of the Fibonacci morphism and the Abelian fourth-power-free morphism of Dekking. We show that the Fibonacci word begins with arbitrarily high Abelian powers, but for n >= 2, the fixed point of f(n) avoids x(n+2) in the Abelian sense. The sets of patterns avoided in the Abelian sense by the fixed points of f(n) and f(n+1) are mutually incomparable for n >= 2.
A chemometrics-based data analysis concept has been developed as a substitute for manual inspection of extracted ion chromatograms (XICs), which facilitates rapid, analyst-mediated interpretation of GC- and LC/MS(n) d...
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A chemometrics-based data analysis concept has been developed as a substitute for manual inspection of extracted ion chromatograms (XICs), which facilitates rapid, analyst-mediated interpretation of GC- and LC/MS(n) data sets from samples undergoing qualitative batchwise screening for prespecified sets of analytes. Automatic preparation of data into two-dimensional row space-derived scatter plots (row space plots) eliminates the need to manually interpret hundreds to thousands of XICs per batch of samples while keeping all interpretation of raw data directly in the hands of the analystsaving great quantities of human time without loss of integrity in the data analysis process. For a given analyte, two analyte-specific variables are automatically collected by a computer algorithm and placed into a data matrix (i.e., placed into row space): the first variable is the ion abundance corresponding to scan number x and analyte-specific m/z value y, and the second variable is the ion abundance corresponding to scan number x and analyte-specific m/z value z (a second ion). These two variables serve as the two axes of the aforementioned row space plots. In order to collect appropriate scan number (retention time) information, it is necessary to analyze, as part of every batch, a sample containing a mixture of all analytes to be tested. When pure standard materials of tested analytes are unavailable, but representative ion m/z values are known and retention time can be approximated, data are evaluated based on two-dimensional scores plots from principal component analysis of small time range(s) of mass spectral data. The time-saving efficiency of this concept is directly proportional to the percentage of negative samples and to the total number of samples processed simultaneously.
A spatial error concealment method is proposed based on projections onto convex sets (POCS) with a correlation-based initial block. The conventional POCS results heavily depend on an initial block. To cope with this p...
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A spatial error concealment method is proposed based on projections onto convex sets (POCS) with a correlation-based initial block. The conventional POCS results heavily depend on an initial block. To cope with this problem, a part of correctly received coefficients is utilised to find the most correlated neighbouring block, and a proper initial block is estimated from the found neighbouring block. The experiment shows that the proposed method has a much better performance.
Concurrent and reactive programs are specified by their behaviours in the presence of a nondeterministic environment. In a natural way, this gives a specification (ARW) of an atomic variable in the style of Abadi and ...
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Concurrent and reactive programs are specified by their behaviours in the presence of a nondeterministic environment. In a natural way, this gives a specification (ARW) of an atomic variable in the style of Abadi and Lamport. Several implementations of atomic variables by lower level primitives are known. A few years ago, we formulated a criterion to prove the correctness of such implementations. The proof of correctness of the criterion itself was based on Lynch's definition of atomicity by serialization points. Here, this criterion is reformulated as a specification HRW in the formal sense. Simulations from HRW to ARW and vice versa are constructed. These now serve as a constructive proof of correctness of the criterion. Eternity variables are used in the simulation from HRW to ARW. We propose so-called gliding simulations to deal with the problems that appear when occasionally the concrete implementation needs fewer steps than the abstract specification.
We consider three modifications of our basic involutive algorithm for computing polynomial Janet bases. These modifications, which are related to degree-compatible monomial orders, yield specific selection strategies ...
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We consider three modifications of our basic involutive algorithm for computing polynomial Janet bases. These modifications, which are related to degree-compatible monomial orders, yield specific selection strategies for nonmultiplicative prolongations. Using a standard database of benchmarks designed for testing programs computing Grobner bases, we compare these algorithmic modifications (in terms of their efficiency) with Faugere's F-4 algorithm, which is built in the Magma computer algebra system.
A new signal processing method, which uses a modified chirp signal for air-coupled ultrasonic imaging, is described. A combination of the elliptical and Tukey window functions has been shown to give a better performan...
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A new signal processing method, which uses a modified chirp signal for air-coupled ultrasonic imaging, is described. A combination of the elliptical and Tukey window functions has been shown to give a better performance than the Harming windowing used in most pulse-compression algorithms for air-coupled applications. The elliptical-Tukey chirp signal provides an improvement in both the resolution of images and signal-to-noise ratios. In addition, this type of signal also reduces the level of signal voltages required to drive the source transducer while maintaining the performance of the system. This approach, thus, may have wide interest in all forms of wide bandwidth ultrasonic imaging.
In [S1] Schoning proposed a simple yet efficient randomized algorithm for solving the k-SAT problem. In the case of 3-SAT, the algorithm has an expected running time of poly(n) center dot (4/3)(n) = 0(1.334(n)). In th...
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In [S1] Schoning proposed a simple yet efficient randomized algorithm for solving the k-SAT problem. In the case of 3-SAT, the algorithm has an expected running time of poly(n) center dot (4/3)(n) = 0(1.334(n)). In this paper we present randomized algorithms and show that one of them has 0(1.3302(n)) expected running time, improving Schoning's algorithm. (Note. At this point, the fastest randomized algorithm for 3-SAT is the one given by Iwama and Tamaki [IT] that runs in 0(1.324(n)).)
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