Results 1 - 10 of 1,709

The particel swarm: Explosion, stability, and convergence in a multi-dimensional complex space

by Maurice Clerc, James Kennedy - IEEE TRANSACTIONS ON EVOLUTIONARY COMPUTION
"... The particle swarm is an algorithm for finding optimal regions of complex search spaces through interaction of individuals in a population of particles. Though the algorithm, which is based on a metaphor of social interaction, has been shown to perform well, researchers have not adequately explained ..."
Abstract - Cited by 852 (10 self) - Add to MetaCart
in discrete time (the algebraic view), then progresses to the view of it in continuous time (the analytical view). A 5-dimensional depiction is developed, which completely describes the system. These analyses lead to a generalized model of the algorithm, containing a set of coefficients to control the system

The algorithmic analysis of hybrid systems

by R. Alur, C. Courcoubetis, N. Halbwachs , T. A. Henzinger, P.-H. Ho, X. Nicollin , A. Olivero , J. Sifakis , S. Yovine - THEORETICAL COMPUTER SCIENCE , 1995
"... We present a general framework for the formal specification and algorithmic analysis of hybrid systems. A hybrid system consists of a discrete program with an analog environment. We model hybrid systems as nite automata equipped with variables that evolve continuously with time according to dynamica ..."
Abstract - Cited by 778 (71 self) - Add to MetaCart
We present a general framework for the formal specification and algorithmic analysis of hybrid systems. A hybrid system consists of a discrete program with an analog environment. We model hybrid systems as nite automata equipped with variables that evolve continuously with time according

The parti-game algorithm for variable resolution reinforcement learning in multidimensional state-spaces

by Andrew W. Moore, Christopher G. Atkeson - MACHINE LEARNING , 1995
"... Parti-game is a new algorithm for learning feasible trajectories to goal regions in high dimensional continuous state-spaces. In high dimensions it is essential that learning does not plan uniformly over a state-space. Parti-game maintains a decision-tree partitioning of state-space and applies tec ..."
Abstract - Cited by 255 (9 self) - Add to MetaCart
Parti-game is a new algorithm for learning feasible trajectories to goal regions in high dimensional continuous state-spaces. In high dimensions it is essential that learning does not plan uniformly over a state-space. Parti-game maintains a decision-tree partitioning of state-space and applies

Dynamic Queries for Visual Information Seeking

by Ben Shneiderman - IEEE Software , 1994
"... Dynamic queries are a novel approach to information seeking that may enable users to cope with information overload. They allow users to see an overview of the database, rapidly (100 msec updates) explore and conveniently filter out unwanted information. Users fly through information spaces by incre ..."
Abstract - Cited by 298 (35 self) - Add to MetaCart
by incrementally adjusting a query (with sliders, buttons, and other filters) while continuously viewing the changing results. Dynamic queries on the chemical table of elements, computer directories, and a real estate database were built and tested in three separate exploratory experiments. These results show

The Asymptotic Elasticity of Utility Functions and Optimal Investment in Incomplete Markets

by D. Kramkov, W. Schachermayer - Annals of Applied Probability , 1997
"... . The paper studies the problem of maximizing the expected utility of terminal wealth in the framework of a general incomplete semimartingale model of a financial market. We show that the necessary and sufficient condition on a utility function for the validity of several key assertions of the theor ..."
Abstract - Cited by 264 (19 self) - Add to MetaCart
. The paper studies the problem of maximizing the expected utility of terminal wealth in the framework of a general incomplete semimartingale model of a financial market. We show that the necessary and sufficient condition on a utility function for the validity of several key assertions

Estimation of correlation for continuous semimartingales.

by Mathias Vetter , 2011
"... Abstract In this paper we are concerned with inference on the correlation parameter ρ of two Brownian motions, when only high-frequency observations from two one-dimensional continuous Itô semimartingales, driven by these particular Brownian motions, are available. Estimators for ρ are constructed ..."
Abstract - Cited by 5 (2 self) - Add to MetaCart
Abstract In this paper we are concerned with inference on the correlation parameter ρ of two Brownian motions, when only high-frequency observations from two one-dimensional continuous Itô semimartingales, driven by these particular Brownian motions, are available. Estimators for ρ are constructed

A central limit theorem for realised power and bipower variations of continuous semimartingales

by Ole E. Barndorff–nielsen, Svend Erik Graversen, Jean Jacod, Mark Podolskij, Neil Shephard - In , 2006
"... Summary. Consider a semimartingale of the form Yt = Y0 + ∫ t 0 asds + ∫ t σs − dWs, 0 where a is a locally bounded predictable process and σ (the “volatility”) is an adapted right–continuous process with left limits and W is a Brownian motion. We consider the realised bipower variation process V (Y; ..."
Abstract - Cited by 96 (41 self) - Add to MetaCart
Summary. Consider a semimartingale of the form Yt = Y0 + ∫ t 0 asds + ∫ t σs − dWs, 0 where a is a locally bounded predictable process and σ (the “volatility”) is an adapted right–continuous process with left limits and W is a Brownian motion. We consider the realised bipower variation process V (Y

Optimal robust mean-variance hedging in incomplete financial markets

by N. Lazrieva, T. Toronjadze - Journal of Mathematical Sciences
"... Abstract. Optimal B-robust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal mean-variance robust (optimal V-robust) trading strategy is find to hedge in mean-variance sense the contingent claim in incomplete financial mar ..."
Abstract - Cited by 3 (1 self) - Add to MetaCart
market with arbitrary information structure and misspecified volatility of asset price, which is modelled by multidimensional continuous semimartingale. Obtained results are applied to stochastic volatility model, where the model of latent volatility process contains unknown multidimensional parameter

Option hedging for semimartingales

by Martin Schweizer - Stochastic Processes and their Applications , 1991
"... Abstract: We consider a general stochastic model of frictionless continuous trading. The price process is a semimartingale and the model is incomplete. Our objective is to hedge contingent claims by using trading strategies with a small riskiness. To this end, we introduce a notion of local R-minim ..."
Abstract - Cited by 46 (3 self) - Add to MetaCart
Abstract: We consider a general stochastic model of frictionless continuous trading. The price process is a semimartingale and the model is incomplete. Our objective is to hedge contingent claims by using trading strategies with a small riskiness. To this end, we introduce a notion of local R

Esscher transform and the duality principle for multidimensional semimartingales

by Ernst Eberlein, Antonis Papapantoleon, Albert, N. Shiryaev , 2009
"... Abstract. The duality principle in option pricing aims at simplifying valuation problems that depend on several variables by associating them to the corresponding dual option pricing problem. Here we analyze the duality principle for options that depend on several assets. The asset price processes a ..."
Abstract - Cited by 12 (1 self) - Add to MetaCart
are driven by general semimartingales, and the dual measures are constructed via an Esscher transformation. As an application, we can relate swap and quanto options to standard call and put options. Explicit calculations for jump models are also provided. 1.
Results 1 - 10 of 1,709