Search results for "Jump"

A New Tool for the Modeling of AI and Machine Learning Applications: Random Walk-Jump Processes

2011

Published version of an article from the book: Hybrid artificial intelligent systems, Lecture notes in computer science. The original publication is available at www.springerlink.com, http://dx.doi.org/10.1007/978-3-642-21219-2_2 There are numerous applications in Artificial Intelligence (AI) and Machine Learning (ML) where the criteria for decisions are based on testing procedures. The most common tools used in such random phenomena involve Random Walks (RWs). The theory of RWs and its applications have gained an increasing research interest since the start of the last century. [1]. In this context, we note that a RW is, usually, defined as a trajectory involving a series of successive ran…

Memory ℋ<inf>∞</inf> control for continuous-time Markovian jump systems with time-varying delay and defective mode …

2014

The heat of transfer in a chemical reaction at equilibrium.

2007

International audience; We study a reacting mixture (2F $ F2) in a temperature gradient. We had previously used boundary-driven non-equilibrium molecular dynamics (NEMD) simulations to study this system, and found that the reaction was close to local chemical equilibrium in temperature gradients up to 1012 K/m. Using the condition of local chemical equilibrium, we show that the heat of transfer of the reacting mixture is equal to minus the enthalpy of the reaction. The fact that the sign of the heat of transfer is determined by the type of reaction adds insight to the discussion of the origin of the sign

2 H-NMR-Stimulated Echo Study of Ultraslow Reorientational Motion in Viscous Glycerol near Its Glass Transition Temperature

1990

2H-NMR stimulated echo experiments have been performed in order to study the molecular basis of the ?-process in viscous glycerol near its glass transition temperature. Decay functions following modified Jeener-Broekaert pulse sequences were compared with predictions from different models for molecular reorientation. Rotational diffusion, rotational random jumps, rotational fixed-angle jumps and combinations of diffusive and jump motions have been tested. All data are fitted with a log-Gaussian distribution of correlation times. Thereby, small-but finite-angle reorientation processes turn out to dominate in the 10-3 s.. 100 s regime. Pure large-angle rotational jumps can be ruled out with h…

Hydraulic jumps at drop and abrupt enlargement in rectangular channel

2002

The different types of hydraulic jumps that occur in a rectangular channel at an abrupt increase in section are experimentally studied. The abrupt section increase is due to both a drop and an increase in the channel width. Experiments were carried out with three different values of the ratio L/l between the channel widths respectively downstream and upstream of the abrupt section increase. For each L/l value five values of Froude number F1, of the supercritical flow upstream of the section increase were considered, and for each of them live values of the depth y1 of the same flow. The experiments showed that, as the depth y2 of the downstream subcritical flow increases, several types of hy…

A simplified predictive control of constrained Markov jump system with mixed uncertainties

2014

Published version of an article in the journal: Abstract and Applied Analysis. Also available from the publisher at: http://dx.doi.org/10.1155/2014/475808 Open Access A simplified model predictive control algorithm is designed for discrete-time Markov jump systems with mixed uncertainties. The mixed uncertainties include model polytope uncertainty and partly unknown transition probability. The simplified algorithm involves finite steps. Firstly, in the previous steps, a simplified mode-dependent predictive controller is presented to drive the state to the neighbor area around the origin. Then the trajectory of states is driven as expected to the origin by the final-step mode-independent pre…

An Iterative Method for Pricing American Options Under Jump-Diffusion Models

2011

We propose an iterative method for pricing American options under jump-diffusion models. A finite difference discretization is performed on the partial integro-differential equation, and the American option pricing problem is formulated as a linear complementarity problem (LCP). Jump-diffusion models include an integral term, which causes the resulting system to be dense. We propose an iteration to solve the LCPs efficiently and prove its convergence. Numerical examples with Kou's and Merton's jump-diffusion models show that the resulting iteration converges rapidly.

model reduction for continuous-time Markovian jump systems with incomplete statistics of mode information

2013

This paper investigates the problem of model reduction for a class of continuous-time Markovian jump linear systems with incomplete statistics of mode information, which simultaneously considers the exactly known, partially unknown and uncertain transition rates. By fully utilising the properties of transition rate matrices, together with the convexification of uncertain domains, a new sufficient condition for performance analysis is first derived, and then two approaches, namely, the convex linearisation approach and the iterative approach, are developed to solve the model reduction problem. It is shown that the desired reduced-order models can be obtained by solving a set of strict linear…

Robust and Efficient IMEX Schemes for Option Pricing under Jump-Diffusion Models

2013

We propose families of IMEX time discretization schemes for the partial integro-differential equation derived for the pricing of options under a jump diffusion process. The schemes include the families of IMEX-midpoint, IMEXCNAB and IMEX-BDF2 schemes. Each family is defined by a convex parameter c ∈ [0, 1], which divides the zeroth-order term due to the jumps between the implicit and explicit part in the time discretization. These IMEX schemes lead to tridiagonal systems, which can be solved extremely efficiently. The schemes are studied through Fourier stability analysis and numerical experiments. It is found that, under suitable assumptions and time step restrictions, the IMEX-midpoint fa…

An IMEX-Scheme for Pricing Options under Stochastic Volatility Models with Jumps

2014

Partial integro-differential equation (PIDE) formulations are often preferable for pricing options under models with stochastic volatility and jumps, especially for American-style option contracts. We consider the pricing of options under such models, namely the Bates model and the so-called stochastic volatility with contemporaneous jumps (SVCJ) model. The nonlocality of the jump terms in these models leads to matrices with full matrix blocks. Standard discretization methods are not viable directly since they would require the inversion of such a matrix. Instead, we adopt a two-step implicit-explicit (IMEX) time discretization scheme, the IMEX-CNAB scheme, where the jump term is treated ex…