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Metric Selection in Fast Dual Forward Backward Splitting
Metric Selection Fast Dual Forward Backward Splitting
2015/7/9
The performance of fast forward-backward splitting, or equivalently fast proximal gradient methods, is susceptible to conditioning of the optimization problem data. This conditioning is related to a m...
On Approximation of the Backward Stochastic Differential Equation
Backward SDE approximation of the solution small noise asymptotics
2013/6/14
We consider the problem of approximation of the solution of the backward stochastic differential equation in the Markovian case. We suppose that the trend coefficient of the diffusion process depends ...
Bayesian astrostatistics: a backward look to the future
Bayesian astrostatistics backward look the future
2012/9/18
This volume contains presentations from the first invited session on astrostatistics to be held at an International Statistical Institute (ISI) World Statistics Congress. This session was a major mile...
Comment on "Bayesian astrostatistics: a backward look to the future" by Tom Loredo
Comment "Bayesian astrostatistics: a backward look to the future" Tom Loredo
2012/9/18
This short note points out two of the incongruences that I findin the Loredo (2012) comments on Andreon (2012), i.e. on my chapter written for the book “Astrostatistical Challenges for the New Astrono...
A New Class of Backward Stochastic Partial Differential Equations with Jumps and Applications
Backward Stochastic Partial Differential Equations with Jumps High-Order Partial Differential Operator Vector Partial Differential Equation Existence and Uniqueness Random Environment
2011/6/21
We formulate a new class of stochastic partial differential equations (SPDEs), named
high-order vector backward SPDEs (B-SPDEs) with jumps, which allow the high-order
integral-partial differential o...
Infinite horizon reflected backward stochastic differential equations and applications in mixed control and game problems
Backward stochastic differential equation Infinite horizon Reflected barriers
2009/9/22
We prove existence and uniqueness results of the solution
for infinite horizon reflected backward stochastic differential equations
with one or two barriers. We also apply these results to get the
...
BACKWARD STOCHASTIC NONLINEAR VOILTERRA INTEGRAL EQUATIONS WITH LOCAL LTPSCHITZ DRIFT
Backward stochastic differential equation Volterra integral equation adapted proms
2009/9/18
In this paper, we study backward stochastic nonlinear
Volterra integral equations. Under a local Lipschitz continuity condition
on the drift, we prove the existence and uniqueness result. We
also e...
DISCRETE APPROXIMATIONS OF REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS WITH RANDOM TERMINAL TIME
Reflected backward stochastic differential equations random terminal time discrete approximation methods
2009/9/18
We study convergence of discrete approximations of reflected
backward stochastic differential equations with random terminal
time in a general convex domain. Applications to investigation of the via...