Results 141 to 150 of about 445,081 (268)

Internality of truncated averaged Gaussian quadratures

, 2018
When moments or modi ed moments of the weight function are difficult to compute, generalized averaged Gaussian quadratures can serve as good substitutes.
Đukić, Dušan, Spalević, Miodrag, Reichel, Lothar   +2 more
core  

The Evolution of Interest‐Rate Models: From the Yield Curve to the Swaption Cube

Journal of Economic Surveys, EarlyView.
ABSTRACT Interest‐rate modelling is often taught as a catalogue of competing stochastic equations, obscuring why models were created and why modern sell‐side desks use several simultaneously. This survey reorganises the field around five layers of a pricing architecture: curve construction; arbitrage‐free dynamics; volatility‐smile representation ...
Xuan Feng, Salman Huseynov, Diomides Mavroyiannis   +2 more
wiley   +1 more source

Density‐Valued ARMA Models by Spline Mixtures

Journal of Time Series Analysis, EarlyView.
ABSTRACT This paper proposes a novel framework for modeling time series of probability density functions by extending autoregressive moving average (ARMA) models to density‐valued data. The method is based on a transformation approach, wherein each density function on a compact domain [0,1]d$$ {\left[0,1\right]}^d $$ is approximated by a B‐spline ...
Yasumasa Matsuda, Rei Iwafuchi
wiley   +1 more source

Continuous-variable multipartite entanglement in an integrated microcomb. [PDF]

Nature
Jia X, Zhai C, Zhu X, You C, Cao Y, Zhang X, Zheng Y, Fu Z, Mao J, Dai T, Chang L, Su X, Gong Q, Wang J.   +13 more
europepmc   +1 more source

Quadratures Involving Polynomials And Daubechies' Wavelets

, 1994
. Scaling equations are used to derive formulae of quadratures involving polynomials and scaling/wavelet functions with compact supports; in particular, those discovered by Daubechies.
Wei-Chang Shann, Jann-chang Yan
core  

Reinforcement Learning for Jump‐Diffusions, With Financial Applications

Mathematical Finance, EarlyView.
ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley   +1 more source

Deep Learning-Based Min-Entropy-Accelerated Evaluation for High-Speed Quantum Random Number Generation. [PDF]

Entropy (Basel)
Guo X, Zhou W, Luo Y, Meng X, Li J, Bian Y, Guo Y, Xiao L.   +7 more
europepmc   +1 more source

The Optimal Mean–Variance Selling Problem With Finite Horizon

Mathematical Finance, EarlyView.
ABSTRACT The optimal mean–variance selling problem seeks to determine a dynamically optimal stopping time in the nonlinear problem sup0≤τ≤TE(Xτ)−cVar(Xτ)$\sup _{0 \le \tau \le T} \left[ \mathsf {E}\,\!(X_\tau) - c\, \mathsf {V}ar\,\!(X_\tau) \right]$, where X$X$ is a geometric Brownian motion with strictly positive drift, the supremum is taken over ...
Peter Johnson, Jesper Lund Pedersen, Goran Peskir   +2 more
wiley   +1 more source

Noise Transfer Approach to GKP Quantum Circuits. [PDF]

Entropy (Basel)
Ralph TC, Winnel MS, Swain SN, Marshman RJ.   +3 more
europepmc   +1 more source

Chebyshev polynomial approximation to approximate partial differential equations [PDF]

This pa per suggests a simple method based on Chebyshev approximation at Chebyshev nodes to approximate partial differential equations. The methodology simply consists in determining the value function by using a set of nodes and basis functions.
Guglielmo Maria Caporale, Mario Cerrato
core