Results 151 to 160 of about 1,768,391 (280)

Two-stage ROM: a hybrid reduced order model for offline and online efficiency. [PDF]

Adv Model Simul Eng Sci
Dhopeshwar R, Bansal H, Veroy K.
europepmc   +1 more source

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

Barycentric rational interpolation collocation method for solving two-dimensional linear and nonlinear integro-differential equations. [PDF]

PLoS One
Zhang W, Chen L.
europepmc   +1 more source

Dynamic capital allocation in general insurance

Journal of Risk and Insurance, EarlyView.
Abstract This paper provides a model for allocating capital to different insurance lines with varying development periods for a value‐maximizing insurance company. In our model, the company makes capitalization and exposure decisions considering its capital level and its relevant loss history.
Qiheng Guo, Daniel Bauer, George H. Zanjani   +2 more
wiley   +1 more source

Post-Fabrication Phase Correction of SOI 4 × 4 MMI-Based 90° Optical Hybrids via Femtosecond-Laser Trimming. [PDF]

Nanophotonics
Du J, Bao X, Lin J, Chen X, Jiang W, Zhang B, Xiong Y, Li W, Zhou L.   +8 more
europepmc   +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

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

Hyperloss from coherent spatial-mode mixing in quantum-correlated networks. [PDF]

Nat Commun
Grebien S, Gurs J, Schnabel R, Korobko M.   +3 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

Quadrature solution of fractional coupled burgers and plankton-oxygen dynamics under climate change. [PDF]

Sci Rep
Zayed MA, Almetwally EM, Mohamed M, Ragb O, Khidr MF, Matbuly MS, Salah M.   +6 more
europepmc   +1 more source