Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view

We extend the viscosity solution characterization proved in [5] for call/put American option prices to the case of a general payoff function in a multi-dimensional setting: the price satisfies a semilinear re-action/diffusion type equation. Based on this, we propose two new numerical schemes inspired by the branching processes based algorithm of [8]. Our numerical experiments show that approximating the discontinu-ous driver of the associated reaction/diffusion PDE by local polynomials is not efficient, while a simple randomization procedure provides very good results

Adaptive Forwarding Scheme for Bounded Time Constraint in Delay Tolerant Networks

© 2017, Springer Science+Business Media New York. In parallel with lots of research to improve message delivery rate in Delay Tolerant Networks (DTN), additional application specific requirements are demanded to deploy them in the real world. Among many requirements, we focus on desired delivery ratio within required deadline in DTN. To achieve this, we propose an adaptive forwarding algorithm primarily based on well-known DTN algorithm, Spray and Wait. Unlike conventional static forwarding schemes, the number of message copies and forwarding algorithm are dynamically adjusted according to the difference between current service level and given requirement in the proposed scheme. Furthermore, analytical model and recorded history on a node are used sequentially depending on availability of parameters to meet application specific requirement. Finally, simulation results demonstrate that our proposed algorithm can meet given requirement with lower resources consumption than existing protocols in varying network conditions

RC column strengthening by lateral pre-tensioning of FRP

This paper presents a unique strengthening technique for existing concrete columns that use expansive materials to apply lateral pre-tensioning. The technique increases the capacity and ductility of a column as well as achieving better utilisation of the confining FRP (Fibre Reinforced Polymer) material. The confinement material properties and the confined cylinder performance are investigated experimentally. From the results, it is shown that it is possible to control the degree of applied pre-tension by controlling the amount of expansive material used. In addition, it is confirmed that jacketing columns by pre-tensioned FRP materials can increase the load bearing capacity up to 35% compared with no pre-tensioning and up to more than four times compared with unconfined concrete. The paper presents details of experimental work undertaken for the development of the confinement pressure with different confining materials (Carbon-CFRP, Glass-GFRP and Steel) and makes comparisons with predictive models

Developing Translation Rules for Converting Relational to Object Oriented Database Conceptual Schema

A multidatabase is a confederation of pre-existing distributed, heterogeneous, and autonomous database system. Obviously, the integration process is essential in the effort of forming a distributed, heterogeneous database system. This process generally consists of two main phases, which are conceptual schema translation phase followed by the integration phase. This paper presents a translation approach to convert relational database schema to object-oriented database schema. The translation approach consists of a set of translation rules, which is based on inclusion dependencies, key attributes and types of attributes. A database schema translation tool prototype, called RETOO (RElational-ToObject- Qriented) is then developed based on the proposed translation approach. RETOO receives a relational database schema as input data and generates an object-oriented database schema as the output. The translation approach is not only able to maintain the semantics of the relational database schema, but also enhance the semantics of the translated object-oriented schema via objectoriented data modeling concepts

Fuzzy logic-based guaranteed lifetime protocol for real-time wireless sensor networks

© 2015 by the authors; licensee MDPI, Basel, Switzerland. Few techniques for guaranteeing a network lifetime have been proposed despite its great impact on network management. Moreover, since the existing schemes are mostly dependent on the combination of disparate parameters, they do not provide additional services, such as real-time communications and balanced energy consumption among sensor nodes; thus, the adaptability problems remain unresolved among nodes in wireless sensor networks (WSNs). To solve these problems, we propose a novel fuzzy logic model to provide real-time communication in a guaranteed WSN lifetime. The proposed fuzzy logic controller accepts the input descriptors energy, time and velocity to determine each node’s role for the next duration and the next hop relay node for real-time packets. Through the simulation results, we verified that both the guaranteed network’s lifetime and real-time delivery are efficiently ensured by the new fuzzy logic model. In more detail, the above-mentioned two performance metrics are improved up to 8%, as compared to our previous work, and 14% compared to existing schemes, respectively

Interference aware real-time flows scheduling in cluster based wireless sensor networks

© TAETI. For the real-time scheduling in wireless sensor networks, Time Division Multiple Access (TDMA) under cluster architecture is usually considered as reasonable as well as scalable approach. Under this architecture, several type of inferences should be taken into account to allocate time slot. For this goal, we have already proposed a new real-time scheduling algorithm. But, it has several assumptions and constraints so their deployment is limited to some specific real scenarios. In this paper, we additionally concern the interference of a node which belongs to two clusters concurrently. Token based scheduling algorithm between two cluster heads is proposed to solve this problem. Token is given to each cluster head consequently so order of slot allocation is achieved automatically. Finally, simulation results are given to prove that more flows are delivered within the deadline than previous work due to avoidance of inter-cluster interference in efficient way

Guaranteed lifetime protocol for IoT based wireless sensor networks with multiple constraints

© 2020 Elsevier B.V. Over the past two decades, the subject of extension of the lifetime of Wireless Sensor Networks (WSN) based on the Internet of Things (IoT) has been thoroughly investigated by researcher. As WSN, and its new form based on IoT, are increasingly being deployed in time-critical applications, users require certain network lifetime guarantees to satisfy application requirements. Few research efforts in the past have focused on guaranteeing the IoT-based network lifetime. Most such efforts pay little or no attention to other network performance indicators such as sensing coverage and network connectivity. To address this challenge, this work proposes a new centralized approach that analyzes a network\u27s energy consumption to optimize node duty cycles. In the proposed scheme, the sink node periodically assigns an active/sleep role to each node for the next network cycle by coupling the residual energy, total active time, and possible coverage area to guarantee their lifetimes. We show through extensive simulation that the proposed guaranteed lifetime protocol achieves less average end-to-end delay and better packet delivery ratio when compared to its best rival protocols formulated in past research, i.e., the CERACC, A-Mac, and Coverage Preserving protocols

Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view

We extend the viscosity solution characterization proved in [5] for call/put American option prices to the case of a general payoff function in a multi-dimensional setting: the price satisfies a semilinear re-action/diffusion type equation. Based on this, we propose two new numerical schemes inspired by the branching processes based algorithm of [8]. Our numerical experiments show that approximating the discontinu-ous driver of the associated reaction/diffusion PDE by local polynomials is not efficient, while a simple randomization procedure provides very good results

Delay and energy based message delivery in delay tolerant networks

© 2019 IEEE. Routing in delay tolerant network (DTN) is one of the most challenging problems in addressing the application specific requirements. This paper presents a routing algorithm in DTN that achieves the delivery ratio within the given deadline requirements by evaluating the capability of a node to deliver a message to its destination on the basis of destination-dependent and destination-independent attributes of the encountered node. The protocol dynamically adjusts the number of message copies based on our previous works [13] and chooses the most suitable relay node by taking the delivery probability to the destination and the remaining energy level of nodes into account. Simulation results demonstrate that our proposed algorithm achieves better performance compared to the counterpart and is adaptive to varying network conditions