brownian motion on a lattice

... the Algorithms An Alternative Approach Conclusion 57 Bibliography 59 Appendix A Theorems and Results 62 Appendix B Data 65 iv Appendix C 67 Matlab Codes v Introduction The traditional approach ... Financial Mathematics You are the one who helps steer my career path into finance and I have really to thank you for that I am also forever in gratification of the knowledge that you have imparted ... spot rate r (t ) The disadvantage of the HJM model is that Monte Carlo simulation such as the one mentioned above can be slow However, because the whole forward rate curve is calculated, the bonds...

Ngày tải lên: 10/11/2015, 12:27

... translation Frames Translation Zoom Static Shot Frames Static Translation Static (a) Frames Frames Frames Translation Translation Static Zoom 1st iteration Translation Static Frames (b) 2nd iteration ... static/dynamic separation Stage 3: temporal integration of zoom/translation Phase 3: camera motion description Camera motion classification and description Figure 1: System architecture for camera motion ... this paper, we propose a new method of video summary based on camera motions (translation and zoom) or on static camera We think that camera motion carries important information on video content...

Ngày tải lên: 22/06/2014, 19:20

... consideration by an operator equation, approximation of the equation in a weak sense and application of the topological theory of a degree that allows to establish the existence of solutions on ... Kamenski˘, A S Potapov, A E Rodkina, and B N Sadovski˘, Measures ı ı of Noncompactness and Condensing Operators, “Nauka” Sibirsk Otdel., Novosibirsk, 1986 K Amedodji, G Bayada, and M Chambat, On the ... O Rozanova (ed.), Analytical Approaches to Multidimensional Balance Laws, Nova Science, New York, 2005 R Salvi, On the existence of weak solutions of a nonlinear mixed problem for the Navier-Stokes...

Ngày tải lên: 23/06/2014, 00:20

... Q as the first vertex strictly after P that lies weakly above LP rather than “that terminates a nonempty balanced subdiagonal subpath starting ˜ at P ” Then f is defined as f was This modification ... to LA and the vertical distance from y = x down to LA Case A, P, B all lie weakly above y = x Rotate everything 180◦ so that Case ˜ applies, apply f , and rotate back ˜ Case A strictly above ... E.Duchi, The 2n−1 factor for multi-dimensional lattice paths with diagonal steps, Seminaire Lotharingien de Combinatoire, Art.B51c, 2003 [6] Robert Sulanke, Generalizing Narayana and Schroder numbers...

Ngày tải lên: 07/08/2014, 08:22

... k Ai is a partial transversal of A if there exists an injection φ : T → [k] such i=1 that t ∈ A (t) for all t ∈ T The partial transversals of A are the independent sets of the transversal matroid ... Let A, A, and C be as above We construct a pure monomial order ideal Γ whose elements are in bijection with the lattice paths between A and σC such that the degree of the monomial corresponding ... }, and assume all lattice paths terminate at the point (n, r) The following propositions are shown in [3] Proposition 3.2 A set B ⊆ [n + r] with |B| = r is a basis of M (A) if and only if the path...

Ngày tải lên: 08/08/2014, 01:20

... can find that boundary conditions (2.9b) and (2.9c) also work for put options PDE (2.8) is the fundamental valuation equation for the vanilla option There are many transformations that can convert ... option pricing problem should address two aspects, option value and an optimal exercise strategy However, only in a few cases are analytic solutions available In most cases, a numerical approach ... no-arbitrage valuation and risk-neutral valuation The valuation of American options is also discussed We refer the reader to Broadie and Detemple (2004) for a more exhaustive review of option valuation...

Ngày tải lên: 16/10/2015, 12:00

... atoms cannot penetrate each other there exist only one atom at a time on a lattice site and consequently b+ i and bi are the operators of a hardcore bosons which obey the Bose commutation relations ... ground state has a non - trivial continuous degeneracy parameterized by A (non - trivial in that the Hamiltonian of the system does not have the same symmetries as the spin configurations), so one ... scale and we will shall mainly consider the frustrated boson hopping at t < It has been proposed that bosonic lattice models can be realized by loading ultracold bosonic atoms in regular lattice...

Ngày tải lên: 30/10/2015, 19:59

... we have A = 0; θB = 2π/3 and θC = 4π/3 As the magnetic field is applied along the global z- axis, the spins on sublattices B and C are expected to rotate toward the z- axis by the same angle and ... magnetization is defined as the average spin component within the same sublattice along its quantization axis: ⟨ ′⟩ ∑ ⟨ z′ ⟩ z Si = − ⟨∆SQ ⟩, (Q = A, B, Csublattice) (19) SQ = N i∈Q 152 PHAM THI THANH ... constraint, where the local constraint is replace by the thermal average: ∑⟨ ⟩ a+ (9) iα aiα = α The quation (7) is introduced into the Hamiltonian (1) through a chemical potential µ, which is equal...

Ngày tải lên: 30/10/2015, 20:47

... self-similar processes, i.e those that are both lass and iass Along those lines is the real harmonizable fractional L´evy motion constructed by Benassi et al (2002) and the moving average fractional ... regarded as a “bridge” between fractional Brownian motion and stable L´evy motion and exhibits an intrinsic duality in its features 4.1 Locally and globally asymptotically self-similar processes A stochastic ... heavy-tailed rewards is not a linear fractional stable motion Bernoulli, 6(4):607–614 Pipiras, V and Taqqu, M S (2004) Dilated fractional stable motions J Theoret Probab., 17(1):51–84 Rajput, B S and...

Ngày tải lên: 14/11/2015, 08:03

... noisy experimental data on fractional Brownian motion Chapter reviews the theory of anomalous diffusion, fractional Brownian motion, Hurst parameter, and parameter estimation Chapter describes ... estimation methods for Hurst parameter will be given 1.1 Anomalous Diffusion and Fractional Brownian Motion Anomalous diffusion has been a popular research field in the last several dozens of years ... small-size silica bead moving in water Our model is a generalization of traditional Langevin equation and can be applied for fractional Brownian motion Then we deducted and implemented maximum likelihood...

Ngày tải lên: 28/11/2015, 13:27

... the 22nd international conference on Machine learning [10] Eric Chu, Akanksha Baid, Ting Chen, An-Hai Doan, and Jeffrey F Naughton A relational approach to incrementally extracting and querying ... solution based on its approach with different advantages, however, they also have some shortcomings Information Extraction based solution has low scalability and low adaptability while Text Information ... website usually has its structured information such as location, number of bedrooms, price and area A professor homepage usually contains information about his education, email, department and the...

Ngày tải lên: 23/11/2012, 15:04

... For example, if the organization is known for strong management, your answer should mention that fact and show that you would like to be a part of that team If the company places a great deal of ... good manager? Can you give me some examples? WWW.RabElMagd.com WWW.RabElMagd.com Do you feel that you have top managerial potential? Keep your answer achievementand ask-oriented Rely on examples ... more at your age? Say that this is one reason that you are conducting this job search Don't be defensive 23 What you feel this position should pay? Salary is a delicate topic We suggest that you...

Ngày tải lên: 07/02/2013, 09:37

... Inflection Sridharan, A and Prakash, K 1995 Discussion on Point Method Geotechnique, 47 (1): 199-200 ‘Limitations of Conventional Analysis of Consolidation Robinson, R.G 1999 Consolidation Analysis ... on Results 2007 Diagnostic Curve Methods for Geomechanics, ASCE, (1): 75-79 of One-dimensional Consolidation Tests, Soils and Sivaram, B and Swamee, P.K 1977 A Computational Foundations, Japan, ... The actual theoretical one-dimensional consolidation relationship between average degree of consolidation U and the time factor T obtained from the Terzaghi theory may, depending on the range...

Ngày tải lên: 21/03/2013, 14:09

... total organic carbon, dissolved SiO2, inorganic cations and anions were measured as water quality indicators INFLUENCE PATTERNS OF ACID DEPOSITION Yakushima (area of 503 km2) is a tall, circular, ... radii of a circle on a map (Ebise and Nagafuchi, 2002) We observed these streamwaters at downstream points on the same day every season for past twelve years The water quality in these streams ... most part to those in other areas, the concentrations of Na+ and Cl- were higher Because the Cl- in the streamwater had an atmospheric origin and was concentrated on the canopy between rainfall...

Ngày tải lên: 05/09/2013, 09:08

... Gear Total Ratio 4th Gear Total Ratio 5th Gear Total Ratio Final Drive Ratio Automatic Gearbox 1st Gear Total Ratio 2nd Gear Total Ratio 3rd Gear Total Ratio 4th Gear Total Ratio Final Drive Ratio ... to make this approach applicable to conventional transmissions, a many-gear transmission concept has been established Fuel economy and gear shifting effects Many approaches are known as feasible ... Based on Pattern Recognition and Learning Algorithm, 4th World Congress on Intelligent Control and Automation, China, 2002 [6] Mashadi B and Kazemkhani A A Fuzzy gear shifting strategy for manual...

Ngày tải lên: 05/09/2013, 17:03

... optical data storage, ultrafast optical communication, as well as biological/chemical sensing and imaging in the visible and infrared spectral regions ) Figure Anisotropic laser emission (a) Variation ... and preparation procedures, optical measurement setups, numerical simulation method, as well as additional experimental data This material is available free of charge via the Internet at http://pubs ... Nakamura, S.; Riordan, M Sci Am 2009, 300, 70–75 (28) Enya, Y.; Yoshizumi, Y.; Kyono, T.; Akita, K.; Ueno, M.; Adachi, M.; Sumitomo, T.; Tokuyama, S.; Ikegami, T.; Katayama, K.; Nakamura, T Appl...

Ngày tải lên: 18/09/2013, 21:26

... quadratic variation of any given path approaches T with greater and greater certainty It is important not to confuse the quadratic variation with the variance of Wt Qvar [Wt ] is a random variable ... quadratic variation Q of the Brownian path and converges to its expected value T Although Q is a random variable, it has vanishingly small variance As the time steps δt become smaller and smaller, ... quadratic variation of any differentiable function must be zero 21.3 FIRST AND SECOND VARIATION OF BROWNIAN MOTION (i) Quadratic Variation: Let us now examine the results of the last section...

Ngày tải lên: 25/10/2013, 19:20

... systematic approach will save you time and money, and lead to a more secure configuration Understanding the operating system features and group policy options available to you should lead to a configuration ... to upgrade your APs to support it, your next best bet is, of course, WPA What the Personal and Enterprise designations mean for WPA and WPA2? Personal connections fall back on using a password ... implementation, but will make security and administration much easier Limit the Access Point’s broadcast area If the AP is broadcasting beyond a range where you need it to operate, reduce its signal...

Ngày tải lên: 10/12/2013, 14:15

... Module A firewall system should support: Packet filtering (main job) Network Address Translation Fail-over and hot standby AAA—Authentication, Authorization, and Accounting (usually offloaded) ... operating system Adaptive security algorithm Cut-through proxy operation Stateful fail-over and hot standby Translations Access control Object grouping Attack guards and intrusion detection AAA ... public and/or private keys and a combination of a data integrity hash and encryption A typical data authentication is either Secure Hash Algorithm (SHA) or Message Digest (MD5) The encryption method...

Ngày tải lên: 10/12/2013, 17:15