Abstract In this paper, we recall actuarial and financial applications of sums dependent random variables that follow a non-Gaussian mean-reverting process contemplate distribution approximations. Our work complements previous related studies restricted to lognormal variables; revisit approximations suggest new ones. We then derive moment-based for attuned Asian option pricing computation risk ...

Accurate and effective system-level modeling has become necessary to address electromagnetic compatibility (EMC) issues in modern circuit and system design. Model order reduction (MOR) techniques provide a feasibility to approximate complex circuit models with compact reduced-order models. In this paper, an effective MOR technique entitled multi-point moment matching (MMM) is implemented for th...

This paper is concerned with filtering nonlinear multivariate time series. A new approximate Bayesian algorithm is proposed which generates sample points and corresponding probability weights that match exactly the predicted values of average marginal skewness and average marginal kurtosis of the unobserved state variables, in addition to matching their mean and the covariance matrix. The perfo...

The numerical simulation of electromagnetic fields is a frequent and time-consuming task in many applications. The behavior of electromagnetic fields is typically described by the timedomain Maxwell equations of first order. These lead to large-scale time-dependent partial differential equations in three spatial dimensions. Often one is only interested in the input-output properties of this sys...