18,371 research outputs found
Segmentation algorithm for non-stationary compound Poisson processes
We introduce an algorithm for the segmentation of a class of regime switching
processes. The segmentation algorithm is a non parametric statistical method
able to identify the regimes (patches) of the time series. The process is
composed of consecutive patches of variable length, each patch being described
by a stationary compound Poisson process, i.e. a Poisson process where each
count is associated to a fluctuating signal. The parameters of the process are
different in each patch and therefore the time series is non stationary. Our
method is a generalization of the algorithm introduced by Bernaola-Galvan, et
al., Phys. Rev. Lett., 87, 168105 (2001). We show that the new algorithm
outperforms the original one for regime switching compound Poisson processes.
As an application we use the algorithm to segment the time series of the
inventory of market members of the London Stock Exchange and we observe that
our method finds almost three times more patches than the original one.Comment: 11 pages, 11 figure
Multilevel Monte Carlo methods for applications in finance
Since Giles introduced the multilevel Monte Carlo path simulation method
[18], there has been rapid development of the technique for a variety of
applications in computational finance. This paper surveys the progress so far,
highlights the key features in achieving a high rate of multilevel variance
convergence, and suggests directions for future research.Comment: arXiv admin note: text overlap with arXiv:1202.6283; and with
arXiv:1106.4730 by other author
A generic construction for high order approximation schemes of semigroups using random grids
Our aim is to construct high order approximation schemes for general
semigroups of linear operators . In order to do it, we fix a
time horizon and the discretization steps and we suppose that we have at hand some short time approximation
operators such that for some
. Then, we consider random time grids such that for all ,
for some , and
we associate the approximation discrete semigroup Our main result is the following: for any
approximation order , we can construct random grids
and coefficients , with such that % with the expectation concerning the random grids
Besides, and the complexity of the
algorithm is of order , for any order of approximation . The standard
example concerns diffusion processes, using the Euler approximation for~.
In this particular case and under suitable conditions, we are able to gather
the terms in order to produce an estimator of with finite variance.
However, an important feature of our approach is its universality in the sense
that it works for every general semigroup and approximations. Besides,
approximation schemes sharing the same lead to the same random grids
and coefficients . Numerical illustrations are given for
ordinary differential equations, piecewise deterministic Markov processes and
diffusions
Error estimation and adaptive moment hierarchies for goal-oriented approximations of the Boltzmann equation
This paper presents an a-posteriori goal-oriented error analysis for a
numerical approximation of the steady Boltzmann equation based on a
moment-system approximation in velocity dependence and a discontinuous Galerkin
finite-element (DGFE) approximation in position dependence. We derive
computable error estimates and bounds for general target functionals of
solutions of the steady Boltzmann equation based on the DGFE moment
approximation. The a-posteriori error estimates and bounds are used to guide a
model adaptive algorithm for optimal approximations of the goal functional in
question. We present results for one-dimensional heat transfer and shock
structure problems where the moment model order is refined locally in space for
optimal approximation of the heat flux.Comment: arXiv admin note: text overlap with arXiv:1602.0131
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