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Optimal consumption and investment in general affine GARCH models
Our paper presents the first optimal analytical solution for an investor maximizing both consumption and terminal wealth within expected utility...
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Decentralized optimization with affine constraints over time-varying networks
The decentralized optimization paradigm assumes that each term of a finite-sum objective is privately stored by the corresponding agent. Agents are...
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Exploring non-analytical affine jump-diffusion models for path-dependent interest rate derivatives
This study introduces an adapted Fourier-cosine series (COS) method that focuses on numerically solving characteristic functions linked to interest...
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Efficient quality variable prediction of industrial process via fuzzy neural network with lightweight structure
Quality Variables of industrial processes generally require to be obtained as fast as possible. In this paper, a correlation-wise self-organizing...
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Manifold learning-assisted uncertainty quantification of system parameters in the fiber metal laminates hot forming process
The forming quality of Fiber metal laminates (FMLs) heavily depends on the material properties, fiber placing angles, blank holder force, and other...
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Planning the Process
Strategies for future business must be regularly reviewed and updated. This requires a systematic approach to identifying the right and important...
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On the application of Wishart process to the pricing of equity derivatives: the multi-asset case
Given the inherent complexity of financial markets, a wide area of research in the field of mathematical finance is devoted to develop accurate...
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An efficient unified approach for spread option pricing in a copula market model
In this study, we propose a new formula for spread option pricing with the dependence of two assets described by a copula function. The proposed...
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How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?
In studying affine term structure models (ATSM), researchers have made significant theoretical advances in simplifying the burden of the Kalman...
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SSMSPC: self-supervised multivariate statistical in-process control in discrete manufacturing processes
Self-supervised learning has demonstrated state-of-the-art performance on various anomaly detection tasks. Learning effective representations by...
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Generative models for capturing and exploiting the influence of process conditions on process curves
Variations of dedicated process conditions (such as workpiece and tool properties) yield different process state evolutions, which are reflected by...
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A defaultable bond model with cyclical fluctuations in the spread process
This paper proposes a defaultable bonds pricing model extending the traditional spread process definition. The posited model is able to incorporate...
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Efficient stability prediction of milling process with arbitrary tool-holder combinations based on transfer learning
Chatter occurring in the milling process can seriously deteriorate the machining efficiency and surface quality. The stability diagram predicted...
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A deep convolutional network combining layerwise images and defect parameter vectors for laser powder bed fusion process anomalies classification
Defect detection is an essential way to ensure the quality of parts made by laser powder bed fusion (LPBF) and industrial cameras are one of the...
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Exponential asymptotic optimality of Whittle index policy
We evaluate the performance of Whittle index policy for restless Markovian bandit. It is shown in Weber and Weiss (J Appl Probab 27(3):637–648, 1990)...
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Linear Programming and Quadratic Programming
As said in the previous pages, a Linear Programming problem (L. P. for friends)Problemlinear programming is characterized by a linear (or a linear...
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CBI-time-changed Lévy processes for multi-currency modeling
We develop a stochastic volatility framework for modeling multiple currencies based on CBI-time-changed Lévy processes. The proposed framework...
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A Robust Optimisation Approach to Synchromodal Container Transportation
This chapter addresses synchromodal planning at operational level from the perspective of a logistics service provider and studies an optimisation...
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Decentralized saddle-point problems with different constants of strong convexity and strong concavity
Large-scale saddle-point problems arise in such machine learning tasks as GANs and linear models with affine constraints. In this paper, we study...
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Spiral Fractal Compression in Transform Domains for Underwater Communication
This paper presents a simplified fractal image compression algorithm, which is implemented on a block-by-block basis. This algorithm achieves a...
