Thematische Bibliographien / Affine diffusions

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  2. Dissertationen
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  4. Buchteile
  5. Konferenzberichte
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Auswahl der wissenschaftlichen Literatur zum Thema „Affine diffusions“

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Veröffentlicht am 8. Februar 2025

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Zeitschriftenartikel zum Thema "Affine diffusions"

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Kelly, Leah, Eckhard Platen und Michael Sørensen. „Estimation for discretely observed diffusions using transform functions“. Journal of Applied Probability 41, A (2004): 99–118. http://dx.doi.org/10.1239/jap/1082552193.

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This paper introduces a new estimation technique for discretely observed diffusion processes. Transform functions are applied to transform the data to obtain good and easily calculated estimators of both the drift and diffusion coefficients. Consistency and asymptotic normality of the resulting estimators is investigated. Power transforms are used to estimate the parameters of affine diffusions, for which explicit estimators are obtained.
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Kelly, Leah, Eckhard Platen und Michael Sørensen. „Estimation for discretely observed diffusions using transform functions“. Journal of Applied Probability 41, A (2004): 99–118. http://dx.doi.org/10.1017/s0021900200112239.

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This paper introduces a new estimation technique for discretely observed diffusion processes. Transform functions are applied to transform the data to obtain good and easily calculated estimators of both the drift and diffusion coefficients. Consistency and asymptotic normality of the resulting estimators is investigated. Power transforms are used to estimate the parameters of affine diffusions, for which explicit estimators are obtained.
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Linetsky, Vadim. „On the transition densities for reflected diffusions“. Advances in Applied Probability 37, Nr. 2 (Juni 2005): 435–60. http://dx.doi.org/10.1239/aap/1118858633.

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Diffusion models in economics, finance, queueing, mathematical biology, and electrical engineering often involve reflecting barriers. In this paper, we study the analytical representation of transition densities for reflected one-dimensional diffusions in terms of their associated Sturm-Liouville spectral expansions. In particular, we provide explicit analytical expressions for transition densities of Brownian motion with drift, the Ornstein-Uhlenbeck process, and affine (square-root) diffusion with one or two reflecting barriers. The results are easily implementable on a personal computer and should prove useful in applications.
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Linetsky, Vadim. „On the transition densities for reflected diffusions“. Advances in Applied Probability 37, Nr. 02 (Juni 2005): 435–60. http://dx.doi.org/10.1017/s0001867800000252.

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Diffusion models in economics, finance, queueing, mathematical biology, and electrical engineering often involve reflecting barriers. In this paper, we study the analytical representation of transition densities for reflected one-dimensional diffusions in terms of their associated Sturm-Liouville spectral expansions. In particular, we provide explicit analytical expressions for transition densities of Brownian motion with drift, the Ornstein-Uhlenbeck process, and affine (square-root) diffusion with one or two reflecting barriers. The results are easily implementable on a personal computer and should prove useful in applications.
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Spreij, Peter, und Enno Veerman. „Affine Diffusions with Non-Canonical State Space“. Stochastic Analysis and Applications 30, Nr. 4 (Juli 2012): 605–41. http://dx.doi.org/10.1080/07362994.2012.684322.

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Duffie, Darrell, Jun Pan und Kenneth Singleton. „Transform Analysis and Asset Pricing for Affine Jump-diffusions“. Econometrica 68, Nr. 6 (November 2000): 1343–76. http://dx.doi.org/10.1111/1468-0262.00164.

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Barletta, Andrea, und Elisa Nicolato. „Orthogonal expansions for VIX options under affine jump diffusions“. Quantitative Finance 18, Nr. 6 (05.10.2017): 951–67. http://dx.doi.org/10.1080/14697688.2017.1371322.

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8

CHU, CHI CHIU, und YUE KUEN KWOK. „VALUATION OF GUARANTEED ANNUITY OPTIONS IN AFFINE TERM STRUCTURE MODELS“. International Journal of Theoretical and Applied Finance 10, Nr. 02 (März 2007): 363–87. http://dx.doi.org/10.1142/s0219024907004160.

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We propose three analytic approximation methods for numerical valuation of the guaranteed annuity options in deferred annuity pension policies. The approximation methods include the stochastic duration approach, Edgeworth expansion, and analytic approximation in affine diffusions. The payoff structure in the annuity policies is similar to a quanto call option written on a coupon-bearing bond. To circumvent the limitations of the one-factor interest rate model, we model the interest rate dynamics by a two-factor affine interest rate term structure model. The numerical accuracy and the computational efficiency of these approximation methods are analyzed. We also investigate the value sensitivity of the guaranteed annuity option with respect to different parameters in the pricing model.
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Ahlip, Rehez, Laurence A. F. Park, Ante Prodan und Stephen Weissenhofer. „Forward start options under Heston affine jump-diffusions and stochastic interest rate“. International Journal of Financial Engineering 08, Nr. 01 (März 2021): 2150005. http://dx.doi.org/10.1142/s2424786321500055.

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This paper presents a generalization of forward start options under jump diffusion framework of Duffie et al. [Duffie, D, J Pan and K Singleton (2000). Transform analysis and asset pricing for affine jump-diffusions, Econometrica 68, 1343–1376.]. We assume, in addition, the short-term rate is governed by the CIR dynamics introduced in Cox et al. [Cox, JC, JE Ingersoll and SA Ross (1985). A theory of term structure of interest rates, Econometrica 53, 385–408.]. The instantaneous volatilities are correlated with the dynamics of the stock price process, whereas the short-term rate is assumed to be independent of the dynamics of the price process and its volatility. The main result furnishes a semi-analytical formula for the price of the Forward Start European call option. It is derived using probabilistic approach combined with the Fourier inversion technique, as developed in Ahlip and Rutkowski [Ahlip, R and M Rutkowski (2014). Forward start foreign exchange options under Heston’s volatility and CIR interest rates, Inspired By Finance Springer, pp. 1–27], Carr and Madan [Carr, P and D Madan (1999). Option valuation using the fast Fourier transform, Journal of Computational Finance 2, 61–73, Carr, P and D Madan (2009). Saddle point methods for option pricing, Journal of Computational Finance 13, 49–61] as well as Levendorskiĩ [Levendorskiĩ, S (2012). Efficient pricing and reliable calibration in the Heston model, International Journal of Applied Finance 15, 1250050].
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Bolyog, Beáta, und Gyula Pap. „On conditional least squares estimation for affine diffusions based on continuous time observations“. Statistical Inference for Stochastic Processes 22, Nr. 1 (05.02.2018): 41–75. http://dx.doi.org/10.1007/s11203-018-9174-z.

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Dissertationen zum Thema "Affine diffusions"

1

Guida, Francesco. „Measure-valued affine and polynomial diffusions and applications to energy modeling“. Doctoral thesis, Università degli studi di Trento, 2022. http://hdl.handle.net/11572/336816.

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The central theme of this thesis is the study of stochastic processes in the infinite dimensional setup of (non-negative) measures. We introduce a class of measure-valued processes, which – in analogy to their finite dimensional counterparts – will be called measure-valued polynomial diffusions. We show the so-called moment formula, i.e. a representation of the conditional marginal moments via a system of finite dimensional linear PDEs. Furthermore, we characterize the corresponding infinitesimal generators obtaining a representation analogous to polynomial diffusions on R^m_+, in cases where their domain is large enough. In general, the infinite dimensional setting allows for richer specifications strictly beyond this representation. As a special case, we recover measure-valued affine diffusions, sometimes also called Dawson-Watanabe superprocesses. The polynomial framework is especially attractive from a mathematical finance point of view. Indeed, it allows to transfer some of the most famous finite dimensional models, such as the Black-Scholes one, to an infinite dimensional measure-valued setting. We outline the applicability of our approach to energy markets term structure modeling by introducing a framework allowing to employ (non-negative) measure-valued processes to consider electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath-Jarrow-Morton (HJM) approach can be translated to such framework, thus guaranteeing arbitrage free modeling in infinite dimensions. We derive an analogue to the HJM-drift condition, then considering existence of (non-negative) measure-valued diffusions satisfying this condition in a Markovian setting. To analyze mathematically convenient classes of models, we also consider measure-valued polynomial and affine diffusions allowing for tractable pricing procedures via the moment formula and Fourier approaches.
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Dahbi, Houssem. „Ρarametric estimatiοn fοr a class οf multidimensiοnal affine prοcesses“. Electronic Thesis or Diss., Normandie, 2024. http://www.theses.fr/2024NORMR089.

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Cette thèse traite l'inférence statistique de quelques processus de diffusion affine dans \( \R^m_+ \times \R^n \), avec m,n\in\N. Cette sous-classe de diffusions, notée par \textit{AD}(m,n), est appliquée à la tarification des options sur obligations et des actions, ce qui est illustré pour les modèles de Vasicek, Cox-Ingersoll-Ross (CIR) et Heston. Dans cette thèse, nous considérons deux différents modèles: le premier lorsque \( m = 1 \) et \( n \in \mathbb{N} \) et le deuxième lorsque \( m = 2 \) et \( n = 1 \). Pour le modèle \mathit{AD}(1, n), nous introduisons, au Chapitre 2, un résultat de classification où nous distinguons trois cas différents : sous-critique, critique et surcritique. Ensuite, nous étudions la stationnarité et l'ergodicité de sa solution sous certaines hypothèses sur les paramètres du drift. Pour le problème d'estimation paramétrique, nous utilisons deux méthodes différentes : l'estimation par maximum de vraisemblance (MLE) et l'estimation des moindres carrés conditionnels (CLSE). Au Chapitre 2, nous présentons l'estimateur obtenu par la méthode MLE basée sur des observations en temps continu et nous étudions sa consistance et son comportement asymptotique dans des cas ergodiques et non-ergodiques particuliers. Au Chapitre 3, nous présentons l'estimateur obtenu par la méthode CLSE basée sur des observations en temps continu puis discret avec haute fréquence et horizon infini et nous étudions sa consistance et son comportement asymptotique dans des cas ergodiques et non-ergodiques particuliers. Il est à noter ici que nous obtenons les mêmes résultats asymptotiques que dans le cas continu sous des hypothèses supplémentaires sur le pas de discrétisation \( \Delta_N \). Au Chapitre 4, nous étudions le modèle \mathit{AD}(2, 1), également appelé modèle de double Heston. Dans un premier temps, nous introduisons sa classification suivant les cas sous-critique, critique et surcritique. Dans un second temps, nous établissons les théorèmes de stationnarité et d'ergodicité y associés. Dans la partie statistique de ce chapitre, nous étudions les estimateurs par la méthode MLE et la méthode CLSE du modèle de double Heston en se basant sur des observations en temps continu dans le cas ergodique et nous introduisons les théorèmes de consistance et de normalité asymptotique pour chaque estimateur obtenu
This thesis deals with statistical inference of some particular affine diffusion processes in the state space \R_+^m\times\R^n, where m,n\in\N. Such subclass of diffusions, denoted by \mathit{AD}(m,n), is applied to the pricing of bond and stock options, which is illustrated for the Vasicek, Cox-Ingersoll-Ross (CIR) and Heston models. In this thesis, we consider two different cases : the first one is when m=1 and n\in\N and the second one is when m=2 and n=1. For the \mathit{AD}(1,n) model, we introduce, in Chapter 2, a classification result where we distinguish three different cases : subcritical, critical and supercritical. Then, we study the stationarity and the ergodicity of its solution under some assumptions on the drift parameters. For the parameter estimation problem, we use two different methods: the maximum likelihood estimation (MLE) and the conditional least squares estimation (CLSE). In Chapter 2, we present the estimator obtained by the MLE method based on continuous time observations and we study its consistency and its asymptotic behavior in ergodic and particular non-ergodic cases. In Chapter 3, we present the estimator obtained by the CLSE method based on continuous then discrete time observations with high frequency and infinite horizon and we study its consistency and its asymptotic behavior in ergodic and particular non-ergodic cases. It is worth to note here that we obtain the same asymptotic results in both discrete and continuous sets under additional assumptions on the discretization step \Delta_N. In Chapter 4, we study the \mathit{AD}(2,1) model, called also double Heston model, we introduce first its classification with respect to subcritical, critical and supercritical case and we establish the relative stationarity and ergodicity theorems. In the statistical part of this chapter, we study the MLE and the CLSE of the ergodic double Heston model based on continuous time observations and we introduce its consistency and asymtotic normality theorems for each estimation method
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Prandi, Dario. „Geometry and analysis of control-affine systems: motion planning, heat and Schrödinger evolution“. Doctoral thesis, SISSA, 2014. http://hdl.handle.net/20.500.11767/3913.

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This thesis is dedicated to two problems arising from geometric control theory, regarding control-affine systems $\dot q= f_0(q)+\sum_{j=1}^m u_j f_j(q)$, where $f_0$ is called the drift. In the first part we extend the concept of complexity of non-admissible trajectories, well understood for sub-Riemannian systems, to this more general case, and find asymptotic estimates. In order to do this, we also prove a result in the same spirit as the Ball-Box theorem for sub-Riemannian systems, in the context of control-affine systems equipped with the L1 cost. Then, in the second part of the thesis, we consider a family of 2-dimensional driftless control systems. For these, we study how the set where the control vector fields become collinear affects the diffusion dynamics. More precisely, we study whether solutions to the heat and Schrödinger equations associated with this Laplace-Beltrami operator are able to cross this singularity, and how its the presence affects the spectral properties of the operator, in particular under a magnetic Aharonov–Bohm-type perturbation.
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Lahiri, Joydeep. „Affine jump diffusion models for the pricing of credit default swaps“. Thesis, University of Reading, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.529979.

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Zhang, Xiang. „Essays on empirical performance of affine jump-diffusion option pricing models“. Thesis, University of Oxford, 2012. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.552834.

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This thesis examines the empirical performance of option pricing models in the continuous- time affine jump-diffusion (AID) class. In models of this class, the underlying returns are governed by stochastic volatility diffusions and/or jumps and the dynamics of the whole system has affine dependence on the state variables. The thesis consists of three essays. The first essay calibrates a wide range of AID option pricing models to S&P 500 index options. The aim is to empirically identify how best to structure two types of risk components- stochastic volatility and jumps - within the framework of multi-factor AID specifications. Our specification analysis shows that the specifications with more-than-two diffusions perform well and that a three-factor specification should be preferred, in which jump intensities are allowed to depend on an independent diffusion process. Having identified the well-performing pricing model specifications, the second essay examines how such a model can be used to forecast realized volatility using only option prices as an input. To do so, the dynamics of volatility implied by the model are used to construct a forecasting equation in which the spot volatilities extracted from observed option prices act as the key predictors. The analysis indicates that the option-based multi-factor forecasting model outperforms other popular models in forecasting realized volatility of S&P 500 Index returns over most of the short-term horizons considered. The final essay investigates if a two-factor AJD model can fit option pricing patterns generated by a single-factor long memory volatility model. Our simulation experiments show that this model does well in this respect. Remarkably, however, at the fitted parameter values it does not generate the volatility auto-correlation patterns that are characteristic of long-memory volatility models.
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Bambe, Moutsinga Claude Rodrigue. „Transform analysis of affine jump diffusion processes with applications to asset pricing“. Diss., Pretoria : [s.n.], 2008. http://upetd.up.ac.za/thesis/available/etd-06112008-162807.

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Nunes, João Pedro Vidal. „Exponential-affine diffusion term structure models : dimension, time-homogeneity, and stochastic volatility“. Thesis, University of Warwick, 2000. http://wrap.warwick.ac.uk/111008/.

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The object of study in this thesis is the most general affine term structure model characterized by Duffie and Kan (1996), which nests, as special cases, many of the interest rate models previously formulated in the literature. The purpose of the dissertation is two-fold: to derive fast and accurate pricing solutions for the general term structure framework under analysis, which enable the effective use of model’ specifications yet unexplored due to their analytical intractability, and, to implement a simple and robust model’ estimation methodology that enhances the model' fit to the market interest rates covariance surface. Concerning the first (theoretical) goal, analytical exact pricing solutions, for several interest rate derivatives, are first derived under a (simpler and) nested Gaussian affine specification Then, and as the main contribution of the present dissertation, such Gaussian formulae are transformed into first order approximate closed-form pricing solutions for the most general stochastic volatility model’ formulation. These approximate solutions arc shown to be both extremely fast to implement and accurate, which make them an effective alternative to the existing numerical pricing methods available. Related to second thesis’ (empirical) goal, and in order to enable the model’ estimation from a panel-data of interest rate contingent claims’ prices, a general equilibrium model’ specification is derived under non-severc preferences’ assumptions and in the context of a monetary economy. The corresponding state-space model’ specification is estimated through a non-linear Kalman filter and using a panel-data of not only swap rates (as it is usual in the Finance literature) but also (for the first time) of caps and European swaptions prices It is shown that although the model' fit to the level of the yield curve is extremely good, short-term caps and swaptions are systematically mispriced. Finally, a time-inhomogeneous HJM formulation is proposed, and the model’ fit to the market interest rates covariance matrix is substantially improved.
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Bloch, Daniel. „Modèles de diffusion à sauts affine et quadratique : application aux nouvelles options exotiques dans les marchés actions et hybrides“. Paris 6, 2006. http://www.theses.fr/2006PA066635.

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Cette thèse est consacrée au problème d'évaluation de produits exotiques dans un modèle de diffusion a sauts de type affine-quadratique. Les formules d'évaluation sont obtenues de façon explicite en utilisant la caractérisation du modèle affine qui ramène le calcul de la transforme de Laplace d'une variable aléatoire en la détermination de fonctions satisfaisant des équations de Riccati. Nous considérons ensuite le variance swap présentant le produit financier, les produits dérivés de ce contrat et les méthodes d'évaluation. Nous étudions en détail les options sur variance afin d'obtenir un modèle permettant d'évaluer et de couvrir les produits sur variance. Nous cherchons la dynamique d'un variance swap pour en déduire la dynamique des prix de produits dérivés. Nous portons une attention particulière aux modèles affine-quadratiques pour lesquels, dans certains cas particulier, nous obtenons des formules fermées. La dernière partie de la thèse est consacrée au modèles hybrides pour calculer les prix de produits actions-taux et actions-crédits
This thesis is concerned with the pricing of exotic options within an affine quadratic jump diffusion model. In this case the computational difficulties can be reduced to solving a system of Riccati equations a number of times and performing a numerical integration using the resulting values via the FFT technique. We then present the variance swap contract and explain the reasons why it became a traded underlying. Since the variance swap contract is just a forward on the annualised realised variance we choose to infer its dynamic from the dynamic of the stock price. We therefore make the variance swap the new underlying and diffuse it over time in order to price options on the quadratic variation and more generally derivatives on the volatility. The properties of the affine-quadratic model allow us in some special cases to recover closed-form solutions. To conclude we extend the approach to the hybrid markets and consider the equity-rate and equity-credit products
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Gleeson, Cameron Banking &amp Finance Australian School of Business UNSW. „Pricing and hedging S&P 500 index options : a comparison of affine jump diffusion models“. Awarded by:University of New South Wales. School of Banking and Finance, 2005. http://handle.unsw.edu.au/1959.4/22379.

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This thesis examines the empirical performance of four Affine Jump Diffusion models in pricing and hedging S&P 500 Index options: the Black Scholes (BS) model, Heston???s Stochastic Volatility (SV) model, a Stochastic Volatility Price Jump (SVJ) model and a Stochastic Volatility Price-Volatility Jump (SVJJ) model. The SVJJ model structure allows for simultaneous jumps in price and volatility processes, with correlated jump size distributions. To the best of our knowledge this is the first empirical study to test the hedging performance of the SVJJ model. As part of our research we derive the SVJJ model minimum variance hedge ratio. We find the SVJ model displays the best price prediction. The SV model lacks the structural complexity to eliminate Black Scholes pricing biases, whereas our results indicate the SVJJ model suffers from overfitting. Despite significant evidence from in and out-of-sample pricing that the SV and SVJ models were better specified than the BS model, this did not result in an improvement in dynamic hedging performance. Overall the BS delta hedge and SV minimum variance hedge produced the lowest errors, although their performance across moneyness-maturity categories differed greatly. The SVJ model???s results were surprisingly poor given its superior performance in out-of-sample pricing. We attribute the inadequate performance of the jump models to the lower hedging ratios these models provided, which may be a result of the negative expected jump sizes.
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Ezzine, Ahmed. „Some topics in mathematical finance. Non-affine stochastic volatility jump diffusion models. Stochastic interest rate VaR models“. Doctoral thesis, Universite Libre de Bruxelles, 2004. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/211156.

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Bücher zum Thema "Affine diffusions"

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Duffie, Darrell. Transform analysis and asset pricing for affine jump-diffusions. Cambridge, MA: National Bureau of Economic Research, 1999.

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Alfonsi, Aurélien. Affine Diffusions and Related Processes: Simulation, Theory and Applications. Cham: Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-05221-2.

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Nunes, João Pedro Vidal. Exponential-affine diffusion term structure models: Dimension, time-homogeneity, and stochastic volatility. [s.l.]: typescript, 2000.

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Durham, J. Benson. Jump-diffusion processes and affine term structure models: Additional closed-form approximate solutions, distributional assumptions for jumps, and parameter estimates. Washington, D.C: Federal Reserve Board, 2005.

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Alfonsi, Aurélien. Affine Diffusions and Related Processes: Simulation, Theory and Applications. Springer, 2015.

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Alfonsi, Aurélien. Affine Diffusions and Related Processes: Simulation, Theory and Applications. Springer, 2016.

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Alfonsi, Aurélien. Affine Diffusions and Related Processes: Simulation, Theory and Applications. Springer International Publishing AG, 2015.

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van der Voort, Hein, und Peter Bakker. Polysynthesis and Language Contact. Herausgegeben von Michael Fortescue, Marianne Mithun und Nicholas Evans. Oxford University Press, 2017. http://dx.doi.org/10.1093/oxfordhb/9780199683208.013.23.

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Polysynthetic languages have been involved in a variety of language contact situations. In cases of occasional contacts, polysynthetic languages have been simplified, both by learners (approximate varieties) and native speakers (foreigner talk). Such simplified versions can be the source also of a number of pidgins based on polysynthetic languages. Those pidgins did not inherit the morphological complexity of the source languages, but instead use pronouns for person marking and largely analytic structures. Sometimes unanalyzed complex verbs are used, where the original meaning of the affixes does not play a role. The widespread idea that polysynthetic languages do not display lexical borrowings, but use internal word-building devices instead, should be qualified: loanwords are quite common in polysynthetic languages. In codeswitching, verbs stems rarely combine with foreign elements. Borrowing of pattern is more common than borrowing of matter, and areal diffusion of grammatical traits may lead to the proliferation of polysynthesis.
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Buchteile zum Thema "Affine diffusions"

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Alfonsi, Aurélien. „Real Valued Affine Diffusions“. In Bocconi & Springer Series, 1–36. Cham: Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-05221-2_1.

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Baldeaux, Jan, und Eckhard Platen. „Pricing Using Affine Diffusions“. In Functionals of Multidimensional Diffusions with Applications to Finance, 199–217. Cham: Springer International Publishing, 2013. http://dx.doi.org/10.1007/978-3-319-00747-2_8.

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Alfonsi, Aurélien. „The Heston Model and Multidimensional Affine Diffusions“. In Bocconi & Springer Series, 93–121. Cham: Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-05221-2_4.

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Baldeaux, Jan, und Eckhard Platen. „Affine Diffusion Processes on the Euclidean Space“. In Functionals of Multidimensional Diffusions with Applications to Finance, 181–98. Cham: Springer International Publishing, 2013. http://dx.doi.org/10.1007/978-3-319-00747-2_7.

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Baldeaux, Jan, und Eckhard Platen. „Solvable Affine Processes on the Euclidean State Space“. In Functionals of Multidimensional Diffusions with Applications to Finance, 219–41. Cham: Springer International Publishing, 2013. http://dx.doi.org/10.1007/978-3-319-00747-2_9.

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Alfonsi, Aurélien. „Wishart Processes and Affine Diffusions on Positive Semidefinite Matrices“. In Bocconi & Springer Series, 123–82. Cham: Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-05221-2_5.

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Pollari, Mika, Tuomas Neuvonen und Jyrki Lötjönen. „Affine Registration of Diffusion Tensor MR Images“. In Medical Image Computing and Computer-Assisted Intervention – MICCAI 2006, 629–36. Berlin, Heidelberg: Springer Berlin Heidelberg, 2006. http://dx.doi.org/10.1007/11866763_77.

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Berger, Marc A. „Random Affine Iterated Function Systems: Mixing and Encoding“. In Diffusion Processes and Related Problems in Analysis, Volume II, 315–46. Boston, MA: Birkhäuser Boston, 1992. http://dx.doi.org/10.1007/978-1-4612-0389-6_15.

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Mohammed, Salah-Eldin A. „Lyapunov Exponents and Stochastic Flows of Linear and Affine Hereditary Systems“. In Diffusion Processes and Related Problems in Analysis, Volume II, 141–69. Boston, MA: Birkhäuser Boston, 1992. http://dx.doi.org/10.1007/978-1-4612-0389-6_7.

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Leemans, Alexander, Jan Sijbers, Steve De Backer, Everhard Vandervliet und Paul M. Parizel. „Affine Coregistration of Diffusion Tensor Magnetic Resonance Images Using Mutual Information“. In Advanced Concepts for Intelligent Vision Systems, 523–30. Berlin, Heidelberg: Springer Berlin Heidelberg, 2005. http://dx.doi.org/10.1007/11558484_66.

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Konferenzberichte zum Thema "Affine diffusions"

1

Shi, Guoqing, Chuanzhe Liu und Yuhua Hou. „Study on the pricing of credit default swap with affine jump-diffusions processes“. In 2006 6th International Conference on Intelligent Systems Design and Applications. IEEE, 2006. http://dx.doi.org/10.1109/isda.2006.251.

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Gogineni, Vinay Chakravarthi, und Mrityunjoy Chakraborty. „Diffusion Affine Projection Algorithm for Multitask Networks“. In 2018 Asia-Pacific Signal and Information Processing Association Annual Summit and Conference (APSIPA ASC). IEEE, 2018. http://dx.doi.org/10.23919/apsipa.2018.8659481.

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Ripaccioli, Giulio, Jason B. Siegel, Anna G. Stefanopoulou und Stefano Di Cairano. „Derivation and Simulation Results of a Hybrid Model Predictive Control for Water Purge Scheduling in a Fuel Cell“. In ASME 2009 Dynamic Systems and Control Conference. ASMEDC, 2009. http://dx.doi.org/10.1115/dscc2009-2729.

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This paper illustrates the application of hybrid modeling and model predictive control techniques to the water purge management in a fuel cell with dead-end anode. The anode water flow dynamics are approximated as a two-mode discrete-time switched affine system that describes the propagation of water inside the gas diffusion layer, the spilling into the channel and consequent filling and plugging the channel. Using this dynamical approximation, a hybrid model predictive controller based on on-line mixed-integer quadratic optimization is tuned, and the effectiveness of the approach is shown through simulations with a high-fidelity model. Then, using an off-line multiparametric optimization procedure, the controller is converted into an equivalent piecewise affine form which is easily implementable even in an embedded controller through a lookup table of affine gains.
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Shi, Juan, Jingen Ni und Xiaoping Chen. „Variable step-size diffusion proportionate affine projection algorithm“. In 2016 IEEE International Workshop on Acoustic Signal Enhancement (IWAENC). IEEE, 2016. http://dx.doi.org/10.1109/iwaenc.2016.7602940.

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Sitjongsataporn, Suchada, Sethakarn Prongnuch und Theerayod Wiangtong. „Diffusion Affine Projection Sign Algorithm based on QR-Decomposition“. In 2021 9th International Electrical Engineering Congress (iEECON). IEEE, 2021. http://dx.doi.org/10.1109/ieecon51072.2021.9440282.

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Song, Pucha, Haiquan Zhao und Yingying Zhu. „Diffusion Affine Projection M-Estimate Algorithm for Multitask Networks“. In 2021 IEEE 16th Conference on Industrial Electronics and Applications (ICIEA). IEEE, 2021. http://dx.doi.org/10.1109/iciea51954.2021.9516274.

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Alghunaim, S. A., K. Yuan und A. H. Sayed. „Dual Coupled Diffusion for Distributed Optimization with Affine Constraints“. In 2018 IEEE Conference on Decision and Control (CDC). IEEE, 2018. http://dx.doi.org/10.1109/cdc.2018.8619343.

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Xiangfen Zhang, Hong Ye und Zuolei Sun. „Affine invariant diffusion smoothing strategy for vector-valued images“. In 2009 International Conference on Future BioMedical Information Engineering (FBIE 2009). IEEE, 2009. http://dx.doi.org/10.1109/fbie.2009.5405768.

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Gogineni, Vinay Chakravarthi, und Mrityunjoy Chakraborty. „Partial Diffusion Affine Projection Algorithm Over Clustered Multitask Networks“. In 2019 IEEE International Symposium on Circuits and Systems (ISCAS). IEEE, 2019. http://dx.doi.org/10.1109/iscas.2019.8702110.

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Miguel Bravo, Jorge. „Pricing Survivor Bonds with Affine-Jump Diffusion Stochastic Mortality Models“. In ICEEG '21: 2021 The 5th International Conference on E-Commerce, E-Business and E-Government. New York, NY, USA: ACM, 2021. http://dx.doi.org/10.1145/3466029.3466037.

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Berichte der Organisationen zum Thema "Affine diffusions"

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Duffie, Darrell, Jun Pan und Kenneth Singleton. Transform Analysis and Asset Pricing for Affine Jump-Diffusions. Cambridge, MA: National Bureau of Economic Research, April 1999. http://dx.doi.org/10.3386/w7105.

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Dresner, L. Asymptotic behavior of solutions of diffusion-like partial differential equations invariant to a family of affine groups. Office of Scientific and Technical Information (OSTI), Juli 1990. http://dx.doi.org/10.2172/6697591.

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