A5008364615- Stochastic processes and financial applications
- Financial Risk and Volatility Modeling
- Stochastic processes and statistical mechanics
- Probability and Risk Models
- Statistical Methods and Inference
- Economic theories and models
- Advanced MIMO Systems Optimization
- Energy Harvesting in Wireless Networks
- Complex Systems and Time Series Analysis
- Advanced Queuing Theory Analysis
- Capital Investment and Risk Analysis
- Advanced Mathematical Modeling in Engineering
- Financial Markets and Investment Strategies
- Insurance, Mortality, Demography, Risk Management
- Statistical Distribution Estimation and Applications
- Bayesian Methods and Mixture Models
- Advanced Thermodynamics and Statistical Mechanics
- advanced mathematical theories
- Stability and Controllability of Differential Equations
- Algorithms and Data Compression
- Groundwater flow and contamination studies
- Hydraulic Fracturing and Reservoir Analysis
- Matrix Theory and Algorithms
- Advanced Wireless Communication Technologies
- Fluid Dynamics and Turbulent Flows
Assumption University
2024
Illinois Institute of Technology
2013-2022
American Mathematical Society
2022
University of California, Los Angeles
2019
Guangzhou University
2019
Georgia Institute of Technology
2010-2019
Rutgers, The State University of New Jersey
2014
Abstract The short‐time asymptotic behavior of option prices for a variety models with jumps has received much attention in recent years. In this work, novel second‐order approximation at‐the‐money (ATM) is derived large class exponential Lévy or without Brownian component. results hereafter shed new light on the connection between both volatility continuous component and jump parameters ATM near expiration. presence component, term, time‐ t , form d 2 only depending Y degree activity, σ, an...
The near-far problem causes severe throughput unfairness in wireless powered communication networks (WPCN). In this paper, we exploit non-orthogonal multiple access (NOMA) technology and propose a fairness-aware NOMA-based scheduling scheme to mitigate the effect enhance max-min fairness. Specifically, sort all users according their channel conditions divide them into two groups, interference group with high gains noninterference low gains. power station (PS) concurrently transmits energy...
Let $\mathbf{X}^{(1)}_{n},\ldots,\mathbf{X}^{(m)}_{n}$, where $\mathbf{X}^{(i)}_{n}=(X^{(i)}_{1},\ldots,X^{(i)}_{n})$, $i=1,\ldots,m$, be $m$ independent sequences of and identically distributed random variables taking their values in a finite alphabet $\mathcal{A}$. the score function $S$, defined on $\mathcal{A}^{m}$, non-negative, bounded, permutation-invariant, satisfy bounded differences condition. Under variance lower-bound assumption, central limit theorem is proved for optimal...
A generalized, efficient, and practical approach based on the travel-time modeling framework is developed to estimate in situ reaction rate coefficients for groundwater remediation heterogeneous aquifers. The required information this can be obtained by conducting tracer tests with injection of a mixture conservative reactive tracers measurements both breakthrough curves (BTCs). BTC used infer distribution from point observation point. For advection-dominant transport well-mixed species...
A third-order approximation for close-to-the-money European option prices under an infinite-variation CGMY Lévy model is derived, and then extended to a with additional independent Brownian component. The asymptotic regime considered, in which the strike made converge spot stock price as maturity approaches zero, relevant applications since most liquid options have strikes that are close price. Our results shed new light on connection between both volatility of continuous component jump...
We prove a stochastic representation formula for the viscosity solution of Dirichlet terminal-boundary value problem degenerate Hamilton-Jacobi-Bellman integro-partial differential equation in bounded domain. show that unique is function associated optimal control problem. also obtain dynamic programming principle
In this paper, the theoretical sustainable capacity of wireless networks with radio frequency (RF) energy harvesting is analytically studied. Specifically, we consider a large scale network where base stations (BSs) and low power devices are deployed by homogeneous Poisson point process (PPP) different spatial densities. Wireless exploit downlink transmissions from BSs for either information delivery or harvesting. Generally, BS schedules transmission to devices. The scheduled device...
This study aims to explore the regulatory effect of Zinc Finger Protein 331 (ZNF331), a KRAB domain-containing transcriptional repressor, in Head and Neck Squamous Cell Carcinoma (HNSCC).
In this paper we derive the Wiener-Hopf factorization for a finite-state time-inhomogeneous Markov chain. To best of our knowledge, study is first attempt to investigate chains. work only deal with special class Markovian generators, namely piece-wise constant, which allows use an appropriately tailored randomization technique. Besides mathematical importance methodology, there also important computational aspect: it efficient computation functionals
In this article, we consider the small-time asymptotics of options on a leveraged exchange-traded fund (LETF) when underlying (ETF) exhibits both local volatility and jumps either finite or infinite activity. We show that leverage modifies drift, volatility, jump intensity, distribution LETF in addition to inducing possibility default, even ETF price remains strictly positive. Our main results are closed-form expressions for leading-order terms off-the-money European call put option prices...
We prove a stochastic representation formula for the viscosity solution of Dirichlet terminal-boundary value problem degenerate Hamilton–Jacobi–Bellman integro-partial differential equation in bounded domain. show that unique is function associated optimal control problem. also obtain dynamic programming principle
We present a general approach to the problem of determining tight asymptotic lower bounds for generalized central moments optimal alignment score two independent sequences i.i.d. random variables. At first, these are obtained under main assumption which sufficient conditions provided. When fails, we nevertheless develop "uniform approximation" method leading bounds. Our results then applied length longest common subsequence binary strings, in case and exponential score. As byproduct, local...