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Conditional Value-at-Risk for Random Immediate Reward Variables in Markov Decision Processes
Markov Decision Processes Conditional Value-at-Risk Risk Optimal Policy Inventory Model
2013/1/30
We consider risk minimization problems for Markov decision processes. From a standpoint of making the risk of random reward variable at each time as small as possible, a risk measure is introduced usi...
On Small deviations of Gaussian processes using majorizing measures
small deviations Gaussian processes entropy numbers
2011/2/21
We give two examples of periodic Gaussian processes, having en-tropy numbers of exactly same order but radically different small deviations.Our construction is based on classical Knopp’s result yieldi...
Generalized covariation for Banach valued processes and Itô formula
Covariation and Quadratic variation Calculus via regularization
2011/1/20
This paper concerns the notion of quadratic variation and covariation for Banach valued processes and related Itô formula. If X and Y take respectively values in Banach spaces B1 and B2 (denoted...
Large deviation properties of weakly interacting processes via weak convergence methods
Large deviation properties weakly interacting processes weak convergence methods
2010/12/14
We study large deviation properties of systems of weakly interacting particles modeled by Itô stochastic differential equations (SDEs).It is known under certain conditions that the corresponding...
Small deviations for a family of smooth Gaussian processes
Small deviations family of smooth Gaussian processes
2010/12/14
We study the small deviation probabilities of a family of very smooth self-similar Gaussian processes. The canonical process from the family has the same scaling properties as standard Brownian motion...
Large deviations for renewal processes
Large Deviations Renewal Process Cumulative Process
2010/12/6
We investigate large deviations for the empirical measure of the forward and backward recurrence time processes associated with a classical renewal process with arbitrary waiting-time distribution. Th...
Error bounds for small jumps of Lévy processes and financial applications
Approximation of small jumps L´ evy processes Skorokhod embedding
2010/12/16
The pricing of exotic options in exponential L´evy models amounts to the computation of expectations of functionals of the whole path of a L´evy process. In many situations, Monte-Carlo me...
Valid Physical Processes from Numerical Discontinuities in Computational Fluid Dynamics
Numerical Discontinuities Computational Fluid Dynamics
2010/12/10
Due to the limited cell resolution in the representation of flow variables, a piecewise continuous initial reconstruction with discontinuous jump at a cell interface is usually used in modern computat...