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A note on asymptotic exponential arbitrage with exponentially decaying failure probability
Asymptotic exponential arbitrage large deviations continuous semimartingale model.
2012/9/14
The goal of this paper is to prove a result conjectured in F¨ollmer and Schachermayer [FS07], even in slightly more general form. Suppose that Sis a continuous semimartingale and satisfies a large dev...
An inexpensive estimate of failure probability for high-dimensional systems with uncertainty
Robustness Reliability High-dimensional systems Non-linear systems Crash analysis Bayesian inference
2012/4/26
The failure probability of a system at an uncertain state can be estimated within a precise confidence interval using the Monte-Carlo sampling technique. Using this approach, the number of system para...
Structural Failure Probability Estimation Using HDMR and FFT
Structural Engineering Division, Department of Civil Engineering, Indian Institute of Technology Madras
2009/1/14
This paper presents a new and alternative method based on High Dimensional Model Representation (HDMR) and Fast Fourier Transform (FFT) to estimate the structural failure probability of structural sys...
Research on High Arch Dam Failure Probability Based on Failure Mode
Failure Mechanism Failure Mode Failure Probability High Arch Dam Risk Analysis
2011/12/20
In order to overcome the weakness in traditional high arch dam safety evaluation without considering the randomness, failure mode and risk analysis, it is proposed to apply three indexes namely failur...