Mathematics of Computation, Vol. 87, No. 313 (September 2018), pp. 2189-2232 (44 pages) We develop a surface hopping algorithm based on frozen Gaussian approximation for semiclassical matrix ...

Let X(t), t ∈ ℝd, be a centered Gaussian random field with continuous trajectories and set ξu(t) = X(f(u)t), t ∈ ℝd, with f some positive function. Using classical results we can establish the tail ...

An important part of the marginal maximum likelihood method described previously is the computation of the integral over the random effects. The default method in PROC NLMIXED for computing this ...

The analog-filter network in Figure 1 converts each input step into a smooth, Gaussian-shaped rising and falling edge. When simulating high-speed systems in Spice, you can use this filter network ...

This paper describes a new numerical method, based on Stein’s method and zero bias transformation, of computing collateralized debt obligation (CDO) tranche prices. We propose first-order correction ...

Stein's method has emerged as a powerful and versatile tool in probability theory for deriving error bounds in distributional approximations. Originally developed to ...

In this paper we consider the large homogeneous portfolio (LHP) approximation with a two-factor Gaussian copula and random recovery rate. In addition, we assume that the earlier the default occurs, ...