Grid-free computation of probabilistic safety with Malliavin Calculus

This work concerns continuous-time, continuous-space stochastic dynamical systems described by stochastic differential equations (SDE). It presents a new approach to compute probabilistic safety regions, namely sets of initial conditions of the SDE associated to trajectories that are safe with a probability larger than a given threshold. The approach introduces a functional that is minimised at the border of the probabilistic safety region, then solves an optimisation problem using techniques from Malliavin Calculus, which computes such region. Unlike existing results in the literature, the new approach allows one to compute probabilistic safety regions without gridding the state space of the SDE

A recursive Taylor method for algebraic curves and surfaces

This paper examines recursive Taylor methods for multivariate polynomial evaluation over an interval, in the context of algebraic curve and surface plotting as a particular application representative of similar problems in CAGD. The modified affine arithmetic method (MAA), previously shown to be one of the best methods for polynomial evaluation over an interval, is used as a benchmark; experimental results show that a second order recursive Taylor method (i) achieves the same or better graphical quality compared to MAA when used for plotting, and (ii) needs fewer arithmetic operations in many cases. Furthermore, this method is simple and very easy to implement. We also consider which order of Taylor method is best to use, and propose that second order Taylor expansion is generally best. Finally, we briefly examine theoretically the relation between the Taylor method and the MAA method

Interval simplex splines for scientific databases

Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Ocean Engineering, 1995.Includes bibliographical references (p. 130-138).by Jingfang Zhou.Ph.D