Concept

Quadratic variation

Related publications (33)

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Upper bounds for the reach-avoid probability via robust optimization

Maryam Kamgarpour, John Lygeros, Tyler Summers

We consider finite horizon reach-avoid problems for discrete time stochastic systems. Our goal is to construct upper bound functions for the reach-avoid probability by means of tractable convex optimization problems. We achieve this by restricting attentio ...

2015

Filtration Shrinkage, Strict Local Martingales And The Follmer Measure

Martin Larsson

When a strict local martingale is projected onto a subfiltration to which it is not adapted, the local martingale property may be lost, and the finite variation part of the projection may have singular paths. This phenomenon has consequences for arbitrage ...

Inst Mathematical Statistics2014

Dynamic stability and noise margins of SRAM arrays in nanoscaled technologies

Adam Shmuel Teman

SRAM stability is one of the primary bottlenecks of current VLSI system design, and the unequivocal supply voltage scaling limiter. Static noise margin metrics have long been the de-facto standard for measuring this stability and estimating the yield of SR ...

IEEE2014

Exploring Local Modifications for Constrained Meshes

Mark Pauly, Sofien Bouaziz, Bailin Deng, Yuliy Gennadievich Schwartzburg, Mario Moacir Deuss

Mesh editing under constraints is a challenging task with numerous applications in geometric modeling, industrial design, and architectural form finding. Recent methods support constraint-based exploration of meshes with fixed connectivity, but commonly la ...

Wiley-Blackwell2013

Human needs as a driver for lighting design

Marilyne Andersen

Thanks to fundamental discoveries from neuroscience, biology and others, we have achieved a deeper understanding of how we interact with our environment. It is time to bring this knowledge back to architecture: we have access to the essential ingredients o ...

2013

MMSE Estimation of Sparse Levy Processes

Michaël Unser, Arash Amini, Ulugbek Kamilov, Pedram Pad

We investigate a stochastic signal-processing framework for signals with sparse derivatives, where the samples of a Levy process are corrupted by noise. The proposed signal model covers the well-known Brownian motion and piecewise-constant Poisson process; ...

Ieee-Inst Electrical Electronics Engineers Inc2013

Fast Variational Bayesian Inference for Non-Conjugate Matrix Factorization Models

Matthias Seeger

Probabilistic matrix factorization methods aim to extract meaningful correlation structure from an incomplete data matrix by postulating low rank constraints. Recently, variational Bayesian (VB) inference techniques have successfully been applied to such l ...

2012

Robust gain-scheduled blending control of raw-mix quality in cement industries

Alireza Karimi, Michael Amrhein, Vinicius De Oliveira

This paper addresses the control of the blending process in cement industries. This process can be modeled by a nonlinear multivariable system with large parametric uncertainty. Using a specific transformation, a linear parameter varying (LPV) model with s ...

Ieee Service Center, 445 Hoes Lane, Po Box 1331, Piscataway, Nj 08855-1331 Usa2011

Identification of Maximal Affine Term Structure Models

Pierre Collin Dufresne

Building on Duffie and Kan (1996), we propose a new representation of affine models in which the state vector comprises infinitesimal maturity yields and their quadratic covariations. Because these variables possess unambiguous economic interpretations, th ...

2008

Driven mobility of self-interstitial defects under electron irradiation

In situ electron microscope observations of defects show that the incident high-energy electrons influence the evolution of microstructure of an irradiated material, reducing the number of defects seen in the field of view of the microscope. We investigate ...

2007