Results 11 to 20 of about 174,041 (209)
Anisotropic Diffusion Based Multiplicative Speckle Noise Removal
Sensors, 2019 Multiplicative speckle noise removal is a challenging task in image processing. Motivated by the performance of anisotropic diffusion in additive noise removal and the structure of the standard deviation of a compressed speckle noisy image, we address ...
Mei Gao +4 more
doaj +1 more source
A dynamic look-ahead Monte Carlo algorithm for pricing Bermudan options [PDF]
, 2007 Under the assumption of no-arbitrage, the pricing of American and Bermudan options can be casted into optimal stopping problems. We propose a new adaptive simulation based algorithm for the numerical solution of optimal stopping problems in discrete time.
Egloff, Daniel +2 more
core +1 more source
Bayesian sequential testing of the drift of a Brownian motion [PDF]
, 2015 We study a classical Bayesian statistics problem of sequentially testing the sign of the drift of an arithmetic Brownian motion with the $0$-$1$ loss function and a constant cost of observation per unit of time for general prior distributions.
Ekström, Erik, Vaicenavicius, Juozas
core +2 more sources
Density-Based Multiscale Analysis for Clustering in Strong Noise Settings With Varying Densities
IEEE Access, 2018 Finding meaningful clustering patterns in data can be very challenging when the clusters are of arbitrary shapes, different sizes, or densities, and especially when the data set contains high percentage (e.g., 80%) of noise.
Tian-Tian Zhang, Bo Yuan
doaj +1 more source
Optimal stopping under adverse nonlinear expectation and related games [PDF]
, 2015 We study the existence of optimal actions in a zero-sum game $\inf_{\tau}\sup_PE^P[X_{\tau}]$ between a stopper and a controller choosing a probability measure.
Nutz, Marcel, Zhang, Jianfeng
core +1 more source
Second order reflected backward stochastic differential equations [PDF]
, 2013 In this article, we build upon the work of Soner, Touzi and Zhang [Probab. Theory Related Fields 153 (2012) 149-190] to define a notion of a second order backward stochastic differential equation reflected on a lower c\`adl\`ag obstacle.
Matoussi, Anis +2 more
core +3 more sources
Almost sure optimal hedging strategy [PDF]
, 2014 In this work, we study the optimal discretization error of stochastic integrals, in the context of the hedging error in a multidimensional It\^{o} model when the discrete rebalancing dates are stopping times.
Gobet, Emmanuel, Landon, Nicolas
core +2 more sources
Joint Channel Probing and Proportional Fair Scheduling in Wireless Networks [PDF]
, 2010 The design of a scheduling scheme is crucial for the efficiency and user-fairness of wireless networks. Assuming that the quality of all user channels is available to a central controller, a simple scheme which maximizes the utility function defined as ...
Fan, Pingyi, Guo, Dongning, Zhou, Hui
core +1 more source
Optimal multiple stopping time problem
, 2011 We study the optimal multiple stopping time problem defined for each stopping time $S$ by $v(S)=\operatorname {ess}\sup_{\tau_1,...,\tau_d\geq S}E[\psi(\tau_1,...,\tau_d)|\mathcal{F}_S]$. The key point is the construction of a new reward $\phi$ such that
Kobylanski, Magdalena +2 more
core +3 more sources
Multisource Bayesian sequential change detection
, 2008 Suppose that local characteristics of several independent compound Poisson and Wiener processes change suddenly and simultaneously at some unobservable disorder time.
Dayanik, Savas +2 more
core +2 more sources