Search Results - subject:"perturbation theory"

Fuzzy spectral clustering by PCCA+: application to Markov state models and data classification

Röblitz, Susanna; Weber, Marcus - In: Advances in Data Analysis and Classification 7 (2013) 2, pp. 147-179

Given a row-stochastic matrix describing pairwise similarities between data objects, spectral clustering makes use of the eigenvectors of this matrix to perform dimensionality reduction for clustering in fewer dimensions. One example from this class of algorithms is the Robust Perron Cluster...

Persistent link: https://www.econbiz.de/10010995274

Excited Bose–Einstein condensates: Quadrupole oscillations and dark solitons

Achilleos, V.A.; Horikis, T.P.; Theocharis, G.; … - In: Mathematics and Computers in Simulation (MATCOM) 82 (2012) 6, pp. 946-957

the BEC wave function. Using perturbation theory arguments, we derive explicit analytical expressions for the phase …

Persistent link: https://www.econbiz.de/10010751768

On the existence of high Lewis number combustion fronts

Ghazaryan, Anna; Jones, Christopher - In: Mathematics and Computers in Simulation (MATCOM) 82 (2012) 6, pp. 1133-1141

combustion fronts is provided by geometric singular perturbation theory. The fronts supported by the model with very large Lewis …

Persistent link: https://www.econbiz.de/10010751849

Strongly Consistent Determination of the Rank of Matrix

Ratsimalahelo, Zaka - 2003

In this paper, we develop methods of the determination of the rank of random matrix. Using the matrix perturbation … theory to construct or find a suitable bases of the kernel (null space) of the matrix and to determine the limiting …-N-consistent estimator is available and construct a Wald- type test statistic (generalized Wald test). The test, based on matrix perturbation …

Persistent link: https://www.econbiz.de/10011496035

Strongly Consistent Determination of the Rank of Matrix

Ratsimalahelo, Zaka - Economics and Econometrics Research Institute (EERI) - 2003

Persistent link: https://www.econbiz.de/10005396214

On an Extension of Condition Number Theory to Non-Conic Convex Optimization

Freund, Robert; Ordonez, Fernando - Sloan School of Management, Massachusetts Institute of … - 2003

The purpose of this paper is to extend, as much as possible, the modern theory of condition numbers for conic convex optimization: z_* = min cx subject to Ax-b \in C_Y , x \in C_X, to the more general non-conic format: (GP_d) z_* = min cx subject to Ax-b \in C_Y , x \in P, where P is any closed...

Persistent link: https://www.econbiz.de/10005574502

Strongly consistent determination of the rank of matrix

Ratsimalahelo, Zaka - 2003 - This version: June 21, 2003

Persistent link: https://www.econbiz.de/10011513001

Regime switching stochastic volatility option pricing

Mitra, Sovan - In: International Journal of Financial Markets and Derivatives 1 (2010) 2, pp. 213-242

Stochastic volatility option pricing has become popular in financial mathematics due to its theoretical and empirical consistencies. However, stochastic volatility models generally suffer from analytical and calibration intractability, except for regime switching stochastic volatility. However,...

Persistent link: https://www.econbiz.de/10008755245

ASYMPTOTIC ANALYSIS FOR FOREIGN EXCHANGE DERIVATIVES WITH STOCHASTIC VOLATILITY

CUTHBERTSON, CHARLES; PAVLIOTIS, GRIGORIOS; RAFAILIDIS, … - In: International Journal of Theoretical and Applied … 13 (2010) 07, pp. 1131-1147

We consider models for the valuation of derivative securities that depend on foreign exchange rates. We derive partial differential equations for option prices in an arbitrage-free market with stochastic volatility. By use of standard techniques, and under the assumption of fast mean reversion...

Persistent link: https://www.econbiz.de/10008725897

Rank Test Based On Matrix Perturbation Theory

Ratsimalahelo, Zaka - 2001

statistic is based on the smallest estimated singular values. Using Matrix Perturbation Theory, the smallest singular values of …

Persistent link: https://www.econbiz.de/10011496020