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WSC
2007
15 years 8 months ago
American option pricing under stochastic volatility: a simulation-based approach
We consider the problem of pricing American options when the volatility of the underlying asset price is stochastic. No specific stochastic volatility model is assumed for the st...
Arunachalam Chockalingam, Kumar Muthuraman
BIS
2006
150views Business» more  BIS 2006»
15 years 7 months ago
Why Do We Actually Need the Pi-Calculus for Business Process Management?
This paper discusses the applicability of a process algebra, the -calculus, as a formal foundation for Business Process Management (BPM). We therefore investigate the -calculus fro...
Frank Puhlmann
CORR
2010
Springer
174views Education» more  CORR 2010»
15 years 5 months ago
Hybrid Numerical Solution of the Chemical Master Equation
We present a numerical approximation technique for the analysis of continuous-time Markov chains that describe networks of biochemical reactions and play an important role in the ...
Thomas A. Henzinger, Maria Mateescu, Linar Mikeev,...
EICS
2009
ACM
15 years 9 months ago
A formal approach supporting the comparative predictive assessment of the interruption-tolerance of interactive systems
This paper presents an approach for investigating in a predictive way potential disruptive effects of interruptions on task performance in a multitasking environment. The approach...
Philippe A. Palanque, Marco Winckler, Jean-Fran&cc...
154
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DEXAW
1999
IEEE
111views Database» more  DEXAW 1999»
15 years 10 months ago
A Parallel Algebra for Object Databases
This paper describes an algebra for use with parallel object databases, and in particular ODMG compliant databases with OQL. Although there have been many proposals for parallel r...
Sandra de F. Mendes Sampaio, Norman W. Paton, Paul...