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A series of third- and fifth-order hybrid compact least-squares central weighted essentially non-oscillatory schemes are proposed and applied to curvilinear structured grids for the finite volume method. In smooth regions, compact…
This work investigates the computational burden of pricing binary options in rare event regimes and introduces an adaptation of the adaptive multilevel splitting (AMS) method for financial derivatives. Standard Monte Carlo becomes…
In business-to-business relations, it is common to establish NonDisclosure Agreements (NDAs). However, these documents exhibit significant variation in format, structure, and writing style, making manual analysis slow and error-prone. We…
As part of Basel II's incremental risk charge (IRC) methodology, this paper summarizes our extensive investigations of constructing transition probability matrices (TPMs) for unsecuritized credit products in the trading book. The objective…
We consider systems with memory represented by stochastic functional differential equations. Substantially, these are stochastic differential equations with coefficients depending on the past history of the process itself. Such coefficients…
Orthogonal signal-division multiplexing (OSDM) is an attractive alternative to conventional orthogonal frequency-division multiplexing (OFDM) due to its enhanced ability in peak-to-average power ratio (PAPR) reduction. Combining OSDM with…
By considering special sampling of discrete scale invariant (DSI) processes we provide a sequence which is in correspondence to multi-dimensional self-similar process. By imposing Markov property we show that the covariance functions of…
The recent advancement of foundation models (FMs) has brought about a paradigm shift, revolutionizing various sectors worldwide. The popular optimizers used to train these models are stochastic gradient descent-based algorithms, which face…
The identification of distribution network topology and parameters is a critical problem that lays the foundation for improving network efficiency, enhancing reliability, and increasing its capacity to host distributed energy resources.…
We propose and study three confidence intervals (CIs) centered at an estimator that is intentionally biased to reduce mean squared error. The first CI simply uses an unbiased estimator's standard error; compared to centering at the unbiased…
Recursive Marginal Quantization (RMQ) allows fast approximation of solutions to stochastic differential equations in one-dimension. When applied to two factor models, RMQ is inefficient due to the fact that the optimization problem is…
Margin has played an important role on the design and analysis of learning algorithms during the past years, mostly working with the maximization of the minimum margin. Recent years have witnessed the increasing empirical studies on the…
This paper proposes a method to design network-aware flexibility requests for local flexibility markets. These markets are becoming increasingly important for distribution system operators (DSOs) to ensure grid safety while minimizing costs…
Causal mediation analysis aims to estimate the natural direct and indirect effects under clearly specified assumptions. Traditional mediation analysis based on Ordinary Least Squares (OLS) relies on the absence of unmeasured causes of the…
We consider the finite difference discretization of isotropic elastic wave equations on nonuniform grids. The intended applications are seismic studies, where heterogeneity of the earth media can lead to severe oversampling for simulations…
We develop a provably efficient importance sampling scheme that estimates exit probabilities of solutions to small-noise stochastic reaction-diffusion equations from scaled neighborhoods of a stable equilibrium. The moderate deviation…
Integrated sensing and communication (ISAC) is a promising technology in future wireless systems owing to its efficient hardware and spectrum utilization. In this paper, we consider a multi-input multi-output (MIMO) orthogonal frequency…
Margin system for margin loans using cash and stock as collateral is considered in this paper, which is the line of defence for brokers against risk associated with margin trading. The conditional probability of negative return is used as…
Cross-sectional "Information Coefficient" (IC) is a widely and deeply accepted measure in portfolio management. The paper gives an insight into IC in view of high-dimensional directional statistics: IC is a linear operator on the components…
The fundamentals of MIMO communications and MIMO sensing are firstly analyzed with regard to channel and sensing capacities. It is shown that the different objectives of communications and sensing lead to different signaling waveforms…