228 results in 65Cxx
Forward-reverse expectation-maximization algorithm for Markov chains: convergence and numerical analysis
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- Advances in Applied Probability / Volume 50 / Issue 2 / June 2018
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- 26 July 2018, pp. 621-644
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- June 2018
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Exact simulation of multidimensional reflected Brownian motion
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- Journal of Applied Probability / Volume 55 / Issue 1 / March 2018
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- 28 March 2018, pp. 137-156
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- March 2018
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Uniformly efficient simulation for extremes of Gaussian random fields
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- Journal of Applied Probability / Volume 55 / Issue 1 / March 2018
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- 28 March 2018, pp. 157-178
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- March 2018
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Recursive formula for the double-barrier Parisian stopping time
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- Journal of Applied Probability / Volume 55 / Issue 1 / March 2018
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- 28 March 2018, pp. 282-301
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- March 2018
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On the two-filter approximations of marginal smoothing distributions in general state-space models
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- Advances in Applied Probability / Volume 50 / Issue 1 / March 2018
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- 20 March 2018, pp. 154-177
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- March 2018
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Optimal scaling of the random walk Metropolis algorithm under L p mean differentiability
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- Journal of Applied Probability / Volume 54 / Issue 4 / December 2017
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- 30 November 2017, pp. 1233-1260
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- December 2017
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Moderate deviations-based importance sampling for stochastic recursive equations
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- Advances in Applied Probability / Volume 49 / Issue 4 / December 2017
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- 17 November 2017, pp. 981-1010
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- December 2017
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POLYNOMIAL BOUNDS FOR SOLUTIONS TO BOUNDARY VALUE AND OBSTACLE PROBLEMS WITH APPLICATIONS TO FINANCIAL DERIVATIVE PRICING
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- Bulletin of the Australian Mathematical Society / Volume 97 / Issue 1 / February 2018
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- 02 November 2017, pp. 174-176
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- February 2018
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PRICING EUROPEAN OPTIONS ON REGIME-SWITCHING ASSETS: A COMPARATIVE STUDY OF MONTE CARLO AND FINITE-DIFFERENCE APPROACHES
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- The ANZIAM Journal / Volume 59 / Issue 2 / October 2017
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- 23 October 2017, pp. 183-199
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Itô-Taylor Schemes for Solving Mean-Field Stochastic Differential Equations
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- Numerical Mathematics: Theory, Methods and Applications / Volume 10 / Issue 4 / November 2017
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- 12 September 2017, pp. 798-828
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- November 2017
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Limit theorems for the zig-zag process
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- Advances in Applied Probability / Volume 49 / Issue 3 / September 2017
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- 08 September 2017, pp. 791-825
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- September 2017
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Optimal Error Estimates for a Fully Discrete Euler Scheme for Decoupled Forward Backward Stochastic Differential Equations
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- East Asian Journal on Applied Mathematics / Volume 7 / Issue 3 / August 2017
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- 07 September 2017, pp. 548-565
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- August 2017
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Comprehensive Studies on Rarefied Jet and Jet Impingement Flows with Gaskinetic Methods
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- Communications in Computational Physics / Volume 22 / Issue 3 / September 2017
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- 06 July 2017, pp. 712-741
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- September 2017
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On the convergence of the quasi-regression method: polynomial chaos and regularity
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- Journal of Applied Probability / Volume 54 / Issue 2 / June 2017
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- 22 June 2017, pp. 424-443
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- June 2017
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Moderate deviation principles for importance sampling estimators of risk measures
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- Journal of Applied Probability / Volume 54 / Issue 2 / June 2017
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- 22 June 2017, pp. 490-506
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- June 2017
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Ergodicity of Markov chain Monte Carlo with reversible proposal
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- Journal of Applied Probability / Volume 54 / Issue 2 / June 2017
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- 22 June 2017, pp. 638-654
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- June 2017
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Uncertainty Quantification of Derivative Instruments
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- East Asian Journal on Applied Mathematics / Volume 7 / Issue 2 / May 2017
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- 02 May 2017, pp. 343-362
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- May 2017
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Analysis of the Closure Approximation for a Class of Stochastic Differential Equations
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- Numerical Mathematics: Theory, Methods and Applications / Volume 10 / Issue 2 / May 2017
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- 09 May 2017, pp. 299-330
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- May 2017
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Application of gPCRK Methods to Nonlinear Random Differential Equations with Piecewise Constant Argument
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- East Asian Journal on Applied Mathematics / Volume 7 / Issue 2 / May 2017
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- 02 May 2017, pp. 306-324
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- May 2017
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Deferred Correction Methods for Forward Backward Stochastic Differential Equations
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- Numerical Mathematics: Theory, Methods and Applications / Volume 10 / Issue 2 / May 2017
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- 09 May 2017, pp. 222-242
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- May 2017
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