We study an approximation for the zero-variance change of measure to estimate the probability of a rare event in a continuous-time Markov chain. The rare event occurs when the cha...
Pieter-Tjerk de Boer, Pierre L'Ecuyer, Gerardo Rub...
We consider the problem of accurately measuring the credit risk of a portfolio consisting of loans, bonds and other financial assets. One particular performance measure of interes...
We consider the risk of a portfolio comprised of loans, bonds, and financial instruments that are subject to possible default. In particular, we are interested in performance meas...
Motivation: Intervention in a gene regulatory network is used to avoid undesirable states, such as those associated with a disease. Several types of intervention have been studied...
Ashish Choudhary, Aniruddha Datta, Michael L. Bitt...
Abstract. We develop a practical, distributed algorithm to detect events, identify measurement errors, and infer missing readings in ecological applications of wireless sensor netw...