We investigate in this paper the numerical performances of quadratic functional quantization and their applications to Finance. We emphasize the rôle played by the so-called product quantizers and the Karhunen-Loève expansion of Gaussian processes. Numerical experiments are carried out on two classical pricing problems: Asian options in a Black-Scholes model and vanilla options in a stochastic ...

This paper presents a novel Model Predictive Control (MPC) algorithm for Linear Parameter Varying (LPV) systems represented in the Input-Output (IO) form. The proposed MPC is derived using estimates future scheduling parameter trajectory, made viable through recursive Taylor-based extrapolation law. method also includes explicit integral action, which, coupled with quadratic terminal ingredient...

Previous work has introduced the stability analysis of coupled neutronics-depletion solvers for standard explicit Euler and predictor-corrector methods. The present is an extension this to higher-order schemes that are commonly used, including LE, LE/LI, LE/QI, their implicit versions where such a method exists. Substepping, extrapolation, linear quadratic interpolation investigated, effects on...

I describe recent developments in quenched chiral perturbation theory (QChPT) and the status of weak matrix elements involving light quarks. I illustrate how, with improved statistical errors, and with calculations of the masses of baryons containing non-degenerate quarks, there is now a clear need for extrapolations of higher order than linear in the quark mass. I describe how QChPT makes pred...

Interpretation with Higher-Dimensional Ellipsoids and Conic Extrapolation ∗ Mendes Oulamara† École Normale Supérieure 45 rue d’Ulm 75005 Paris, France [email protected] Arnaud J. Venet Carnegie Mellon University NASA Ames Research Center Moffett Field, CA 94035 [email protected] CAV 2015, 18-24 July 2015 Abstract The inference and the verification of numerical relationships among v...

In this paper, a method based on Chebyshev polynomials is developed for examination of geometrically nonlinear behaviour of thin rectangular composite laminated plates under end-shortening strain. Different boundary conditions and lay-up configurations are investigated and classical laminated plate theory is used for developing the equilibrium equations. The equilibrium equations are solved dir...

In this paper, a class of arbitrarily high-order linear momentum-preserving and energy-preserving schemes are proposed, respectively, for solving the regularized long-wave equation. For scheme, key idea is based on extrapolation/prediction-correction technique symplectic Runge-Kutta method in time, together with standard Fourier pseudo-spectral space. We show that scheme linear, high-order, unc...

We estimate a quadratic model of climate-driven global mean sea level (GMSL) change based on the satellite altimetry record (1993–2020), including rigorous assessment errors in coefficients. then extrapolate this 30 years into future to 2050 and compute 90% confidence interval. find GMSL rise relative 2020 will be 16.4 cm higher, with an uncertainty range 11.3–21.4 cm. This prediction agrees wi...