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IOR
2006
192views more  IOR 2006»
14 years 9 months ago
Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
The stochastic differential equations for affine jump diffusion models do not yield exact solutions that can be directly simulated. Discretization methods can be used for simulati...
Mark Broadie, Özgür Kaya
STACS
1997
Springer
15 years 1 months ago
Methods and Applications of (MAX, +) Linear Algebra
Exotic semirings such as the “(max, +) semiring” (R ∪ {−∞}, max, +), or the “tropical semiring” (N ∪ {+∞}, min, +), have been invented and reinvented many times s...
Stephane Gaubert, Max Plus
FUIN
2008
89views more  FUIN 2008»
14 years 9 months ago
Is Timed Branching Bisimilarity a Congruence Indeed?
We show that timed branching bisimilarity as defined by Van der Zwaag [16] and Baeten and Middelburg [2] is not an equivalence relation, in case of a dense time domain. We propose ...
Wan Fokkink, Jun Pang, Anton Wijs
ICDE
2010
IEEE
227views Database» more  ICDE 2010»
15 years 9 months ago
Approximate Confidence Computation in Probabilistic Databases
Abstract-- This paper introduces a deterministic approximation algorithm with error guarantees for computing the probability of propositional formulas over discrete random variable...
Dan Olteanu, Jiewen Huang, Christoph Koch
SCA
2007
14 years 12 months ago
Liquid simulation on lattice-based tetrahedral meshes
We describe a method for animating incompressible liquids with detailed free surfaces. For each time step, semiLagrangian contouring computes a new fluid boundary (represented as ...
Nuttapong Chentanez, Bryan E. Feldman, Franç...