Browsing by Subject "Random processes"
Now showing items 1-20 of 65
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Conference Object
Action functional stochastic H∞ estimation for nonlinear discrete time systems
(2002)This paper presents an action functional, sample path optimization technique, for formulating and solving nonlinear discrete-time stochastic H∞ estimation problems. These H∞ problems are formulated as minimax dynamic games ...
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Algebraic properties of evolution partial differential equations modelling prices of commodities
(2008)Schwartz (J. Finance 1997
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Algebraic solution of the Stein-Stein model for stochastic volatility
(2011)We provide an algebraic approach to the solution of the Stein-Stein model for stochastic volatility which arises in the determination of the Radon-Nikodym density of the minimal entropy of the martingale measure. We extend ...
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Application of three bivariate time-varying volatility models
(2001)The multivariate time-varying volatility models have recently attracted a lot of attention in the statistics/econometrics community. We apply two bivariate ARCH-GARCH models and a bivariate unobserved ARCH model to a series ...
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Bank filters for ML parameter estimation via the Expectation-Maximization algorithm: The continuous-time case
(1998)In this paper we consider continuous-time partially observed systems in which the parameters are unknown. We employ conditional moment generating functions of integrals and stochastic integrals to derive new maximum-likelihood ...
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Conference Object
Certain results concerning filtering and control of diffusions in small white noise
(IEEE, 1997)The purpose of this talk is twofold. First, we examine in detail the binary hypothesis decision and/or estimation problem using a risk-sensitive cost criterion, when the state and observation processes are diffusion signals. ...
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Computational assessment of distributed decomposition methods for stochastic linear programs
(1998)Incorporating uncertainty in optimization models gives rise to large, structured mathematical programs. Decomposition procedures are well-suited for parallelization, thus providing a promising venue for solving large ...
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Conference Object
Conditional moment generating functions for integrals and stochastic integrals
(IEEE, 1997)In this paper we present two methods for computing filtered estimates for moments of integrals and stochastic integrals of continuous-time nonlinear systems. The first method utilizes recursive stochastic partial differential ...
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Conference Object
Convergence of belief propagation algorithms on binary pairwise Gibbs random fields
(2011)In this paper, we study the convergence of belief propagation algorithms (BPAs) on binary pairwise Gibbs random fields (BP-GRFs). Exploiting the equivalence of BPA on the graph associated with BP-GRF and the corresponding ...
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Cost sharing mechanisms for fair pricing of resource usage
(2008)We propose a simple and intuitive cost mechanism which assigns costs for the competitive usage of m resources by n selfish agents. Each agent has an individual demand
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D3-machine: A decoupled data-driven multithreaded architecture with variable resolution support
(2001)This paper presents the Decoupled Data-Driven machine (D3-machine), a multithreaded architecture with data-driven synchronization. The D3-machine is an efficient and cost-effective design that combines the advantages of ...
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Conference Object
An edgeworth series expansion for multipath fading channel densities
(2002)Identifying the statistical characteristics of the received signal in wireless communications, plays an important role in the design of different functions of the overall communications system. We demonstrate here that the ...
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Conference Object
Efficiency of oblivious versus non-oblivious schedulers for optimistic, rate-based flow control
(ACM, 1997)Lower and upper bounds on convergence complexity, under varying degrees of locality, for optimistic, rate-based flow control algorithms are established. It is shown that randomness can be exploited to yield an even simpler ...
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Estimation and inference in functional mixed-effects models
(2007)Functional mixed-effects models are very useful in analyzing functional data. A general functional mixed-effects model that inherits the flexibility of linear mixed-effects models in handling complex designs and correlation ...
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Conference Object
Evaluation of likelihood-ratio and performance bounds for nonlinear decision problems via stochastic PDE
(American Automatic Control Council, 1994)The nonlinear binary decision problem with signal satisfying a diffusion equation observed through noisy measurements is considered. Using the unnormalized conditional density of nonlinear filtering, expressions for ...
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Conference Object
Filtering for linear systems driven by fractional Brownian motion
(2000)In this paper we study continuous time filtering for linear systems driven by fractional Brownian motion processes. We present the derivation of the optimum linear filter equations which involve a pair of functional-differential ...
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Conference Object
First passage risk-sensitive criterion for stochastic evolutions
(1995)The purpose of this paper is to investigate in an infinite dimensional space, the first passage problem with a risk-sensitive performance criterion, and to illustrate the asymptotic behavior of the associated value function, ...
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First-passage study and stationary response analysis of a BWB hysteresis model using quasi-conservative stochastic averaging method
(1995)The quasi-conservative stochastic averaging (QCSA) method is applied to a Bouc-Wen-Baber hysteretic system (BWB) under Gaussian white noise excitations. The stationary probability density of the system's response amplitude ...
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Conference Object
General non-stationary models for short-term and long-term fading channels
(Institute of Electrical and Electronics Engineers Inc., 2000)This paper discusses the use of stochastic differential equations to model signal envelope variations over large areas, which are subject to long-term fading effects from the transmitter to local areas, followed by short-term ...