Abstract. Monte Carlo simulation is one of the most widely used techniques for computationally intensive simulations in mathematical analysis and modeling. A multivariate Gaussian ...
We investigate the optimal performance of dense sensor networks by studying the joint source-channel coding problem. The overall goal of the sensor network is to take measurements ...
Abstract— We investigate an optimal consumption and investment problem where we receive a certain fixed income stream that is terminated at a random time. It turns out that the ...
Abstract. We propose a new solution method for optimal stopping problems with random discounting for linear diffusions whose state space has a combination of natural, absorbing, or...
We analyze a sequential game between a Gambler and a Casino. The Gambler allocates bets from a limited budget over a fixed menu of gambling events that are offered at equal time i...