Maturity randomization for stochastic control problems

We study a maturity randomization technique for approximating optimal control problems. The algorithm is based on a sequence of control problems with random terminal horizon which converges to the original one. This is a generalization of the so-called Canadization procedure suggested by Carr [Review of Financial Studies II (1998) 597--626] for the fast computation of American put option prices. In addition to the original application of this technique to optimal stopping problems, we provide an application to another problem in finance, namely the super-replication problem under stochastic volatility, and we show that the approximating value functions can be computed explicitly.Comment: Published at http://dx.doi.org/10.1214/105051605000000593 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Lagrangian Time Series Models for Ocean Surface Drifter Trajectories

This paper proposes stochastic models for the analysis of ocean surface trajectories obtained from freely-drifting satellite-tracked instruments. The proposed time series models are used to summarise large multivariate datasets and infer important physical parameters of inertial oscillations and other ocean processes. Nonstationary time series methods are employed to account for the spatiotemporal variability of each trajectory. Because the datasets are large, we construct computationally efficient methods through the use of frequency-domain modelling and estimation, with the data expressed as complex-valued time series. We detail how practical issues related to sampling and model misspecification may be addressed using semi-parametric techniques for time series, and we demonstrate the effectiveness of our stochastic models through application to both real-world data and to numerical model output.Comment: 21 pages, 10 figure

Coded Distributed Tracking

We consider the problem of tracking the state of a process that evolves over time in a distributed setting, with multiple observers each observing parts of the state, which is a fundamental information processing problem with a wide range of applications. We propose a cloud-assisted scheme where the tracking is performed over the cloud. In particular, to provide timely and accurate updates, and alleviate the straggler problem of cloud computing, we propose a coded distributed computing approach where coded observations are distributed over multiple workers. The proposed scheme is based on a coded version of the Kalman filter that operates on data encoded with an erasure correcting code, such that the state can be estimated from partial updates computed by a subset of the workers. We apply the proposed scheme to the problem of tracking multiple vehicles. We show that replication achieves significantly higher accuracy than the corresponding uncoded scheme. The use of maximum distance separable (MDS) codes further improves accuracy for larger update intervals. In both cases, the proposed scheme approaches the accuracy of an ideal centralized scheme when the update interval is large enough. Finally, we observe a trade-off between age-of-information and estimation accuracy for MDS codes.Comment: Accepted for publication at IEEE GLOBECOM 201