Su, Steven; Anderson, Brian; Brinsmead, Thomas(Kluwer Academic Publishers, 2001)
S. W. Su, B. D. O. Anderson, and T. S. Brinsmead. Constant disturbance rejection and zero steady state tracking error for nonlinear systems design, In Biswa Datta, editor, Applied computational control, signals, and circuits ...
Computing the probability for a given diffusion process to stay under a particular boundary is crucial in many important applications including pricing financial barrier options and defaultable bonds. We discuss results ...
Task allocation and motion coordination are the main factors that should be consi-dered in the coordination of multiple autonomous vehicles in material handling systems. Presently, these factors are handled in different ...
The credit spread represents the difference in the yields between different risk or ratings classes of securities with the same maturity. The objective of this study is to provide an understanding of the distributional ...
Understanding the long term relationship between the yields afrisky and riskless bonds is a critical tusk for portfolio managers and policy makers. This study specifies an equilibrium correction model of the credit spreads ...
The context for this article is a continuous financial market consisting of a risk-free savings account and a single non-dividend-paying risky security. We present two concrete models for this market, in which strict local ...
When applying structural equation modeling methods, such as partial least squares (PLS) path modeling, in empirical studies, the assumption that the data have been collected from a single homogeneous population is often ...
Chung, In Hwan; Dun, Tim; Schlogl, Erik(Springer, 2010)
In the lognormal forward Market model (LFM) framework, the specification for time-deterministic instantaneous volatility functions for state variable forward rates is required. In reality, only a discrete number of forward ...
The well-known absence-of-arbitrage condition NFLVR from the fundamental theorem of asset pricing splits into two conditions, called NA and NUPBR. We give a literature overview of several equivalent reformulations of NUPBR; ...
Over the past decade, international business and international management researchers have utilized meta-analytic approaches to synthesizing findings in the extant literature. This chapter reviews the studies published in ...
In this paper we consider optimal trading processes in economic systems. The analysis is based on accounting for irreversibility factor using wealth function concept.
We consider the evaluation of American options on dividend paying stocks in the case where the underlying asset price evolves according to Heston?s stochastic volatility model in (Heston, Rev. Financ. Stud. 6:327?343, ...
Two extensions of the classical scheduling model with two parallel identical machines and a partially ordered set of unit execution time tasks are considered. It is well known that the Coffman-Graham algorithm constructs ...
This discussion revisits Tong and Lim's seminal 1980 paper on the SETAR model in the context of advances in computation since that time. Using the Canadian lynx data set from that paper, it compares exact maximum likelihood ...
Lie group symmetry methods provide a powerful tool for the analysis of PDEs. Over the last thirty years, considerable progress has been made in the development of this field. In this article, we provide a brief introduction ...
We extend some known results concerning the distribution tails of supremum and quadratic variation of a continuous local martingale tothe case of locally square integrable martingales with bounded jumps. The predictable ...
The risk encountered in many environmental problems appears to exhibit special ?two-sided? characteristics. For instance, in a given area and in a given period, farmers do not want to see too much or too little rainfall. ...