predicting different behaviors in computer networks is the subject of many data mining researches. providing a balanced intrusion detection system (ids) that directly addresses the trade-off between the ability to detect new attack types and providing low false detection rate is a fundamental challenge. many of the proposed methods perform well in one of the two aspects, and concentrate on a su...

We study a class of robust, or worst case scenario, optimal control problems for jump diffusions. The scenario is represented by a probability measure equivalent to the initial probability law. We show that if there exists a control that annihilates the noise coefficients in the state equation and a scenario which is an equivalent martingale measure for a specific process which is related to th...

We provide a novel proof for the sufficiency of certain well-known criteria that guarantee the true martingality of a continuous, positive local martingale. More precisely, we show that generalizations of Novikov’s condition and Kazamaki’s criterion follow directly from the existence of the Föllmer measure. The proof also yields a version of these criteria that guarantees the martingality of an...

We present a new adaptive sorting algorithm, called minimal merge sort, which merges the ascending runs in the input list from shorter to longer, that is, merging the shortest two lists each time. We show that this algorithm is optimal with respect to the new measure of presortedness, called entropy.

Convexity correction arises when one computes the expected value of an interest rate index under a probability measure other than its own natural martingale measure. As a typical example, the natural martingale measure of the swap rate is the swap measure with annuity as the numeraire. However, the evaluation of the discounted expectation of the payoff in a constant maturity swap (CMS) derivati...