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Time delays
People who have been stuck in traffic are familiar with the negative impact that slow human reaction times have on performance [659, 813]. Thus, it...
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An optimal control problem for linear SDE of mean-field type with terminal constraint and partial information
This paper is concerned with an optimal control problem for a linear stochastic differential equation (SDE) of mean-field type, where the drift...
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Supporting Privacy in Mobile and Pervasive Computing
How can future mobile and pervasive computing systems properly take personal privacy concerns and needs into account? How can we ensure that a world...
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Application of optimal filtering methods for on-line of queueing network states
We show the solution to the optimal filtering problem for states of Markov jump processes by observations of multivariant point processes. A...
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Optimal investment in the presence of intangible assets and collateralized optimal debt ratio in jump-diffusion models
This paper studies an investor’s optimal investment, optimal net debt ratio with collateral security and optimal consumption plan in an economy that...
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Ill-Posed Problems: From Linear to Nonlinear and Beyond
Inverse (ill-posed) problems appear in many applications such as medical imaging, astronomy, seismic imaging, nondestructive testing, signal...
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Randomized reduced forward models for efficient Metropolis–Hastings MCMC, with application to subsurface fluid flow and capacitance tomography
Bayesian modelling and computational inference by Markov chain Monte Carlo (MCMC) is a principled framework for large-scale uncertainty...
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Median-Truncated Gradient Descent: A Robust and Scalable Nonconvex Approach for Signal Estimation
Recent work has demonstrated the effectiveness of gradient descent for directly estimating high-dimensional signals via nonconvex optimization in a...
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Image Analysis for Ophthalmology: Segmentation and Quantification of Retinal Vascular Systems
The retina is directly connected to the central nervous system and the vascular circulation, which uniquely enables three-dimensional retinal tissue...
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Unbiased predictive risk estimation of the Tikhonov regularization parameter: convergence with increasing rank approximations of the singular value decomposition
The truncated singular value decomposition may be used to find the solution of linear discrete ill-posed problems in conjunction with Tikhonov...
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Fractional Ornstein–Uhlenbeck Processes, Levy–Ornstein–Uhlenbeck Processes, and Fractional Levy– Ornstein–Uhlenbeck Processes
One obtains the Ornstein–Uhlenbeck–Gamma process when the Brownian component of the Ornstein–Uhlenbeck process is contaminated by a Gamma process....
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Gravitational-Wave Research as an Emerging Field in the Max Planck Society: The Long Roots of GEO600 and of the Albert Einstein Institute
This chapter explores the interplay between the renaissance of general relativity and the advent of relativistic astrophysics following German...
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Adaptive Importance Sampling with Forward-Backward Stochastic Differential Equations
We describe an adaptive importance sampling algorithm for rare events that is based on a dual stochastic control formulation of a path sampling...
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Portfolio optimization for a large investor under partial information and price impact
This paper studies portfolio optimization problems in a market with partial information and price impact. We consider a large investor with an...
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Inexact Subspace Iteration for the Consecutive Solution of Linear Systems with Changing Right-Hand Sides
We propose a two-phase acceleration technique for the solution of Symmetric and Positive Definite linear systems with multiple right-hand sides. In...
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Big Data, Cloud Computing, and Internet of Things
The era of big data has arrived. Big data and cloud computing go hand-in-hand. Internet of things (IoT) has resulted in a hyper-world consisting of...
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Applications in Signal Processing
Signal processing has become an essential part of contemporary scientific and technological activity. Signal processing is used in telecommunications...
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Optimal dividends with partial information and stop** of a degenerate reflecting diffusion
We study the optimal dividend problem for a firm’s manager who has partial information on the profitability of the firm. The problem is formulated as...
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Wavelet Thresholding in Fixed Design Regression for Gaussian Random Fields
In this paper, we consider block thresholding wavelet estimators of spatial regression functions on stationary Gaussian random fields observed over a...
