Department of Applied Mathematics (1988 - Present)
Mathematics
Mathematics, University of London, Imperial College, London, England
Mathematics
Mathematics, London, London, England
Mathematics
, kharazmi University, Iran,
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Swing options are complex path-dependent contracts, granting their holders a prefixed number of transaction rights to buy/sell a variable amount of the underlying asset (e.g. energy commodities) subject to daily or periodic constraints. Stating the swing option price as the solution of a stochastic optimal control problem, we employ a dynamic programming formulation in which the underlying asset price is modeled by a mean-reverting regime-switching jump–diffusion process. We explore a newly devised lattice-based pricing framework to find the premium of swing options in a cost-effective and easily implementable manner. We compare the performance of the proposed tree building procedure with a simulation-based Least-Squares Monte-Carlo (LSM)
Image processing by partial differential equations (PDEs) has been an active topic in the area of image de-noising, which is an important task in computer vision. In PDE-based methods for image processing the unprocessed, original image is considered as the initial value for the PDE and the solution of the equation is the outcome of the model. Despite the advantages of using PDEs in image processing, designing and modeling different equations for various types of applications has always been a challenging and interesting problem. In this paper, we aim to tackle this problem by introducing a fourth-order equation with flexible, trainable coefficients, and with the help of an optimal control problem, the coefficients are determined therefore
Taking a generative phonology approach, this paper analyzes vowel harmony in verbal prefixes in the speech of middle-aged non-immigrant Mashhadi people. Over 120 simple verbs were conjugated and phonological alternations in the vowels of imperfective, and sunjunctive aspect markers as well as the negative prefix were extracted and their phonological features were studied. The results indicate that verbal prefix vowels in Mashhadi dialect harmonize with the stem vowel in backness, highness or both and that coronals block vowel harmony if the stem vowel is a low back vowel.
In this paper, we consider some experimental and analytical expositions of the time dependency of Hurst exponent. It is our motivation to introduce a new kind of fBm with a two-variable and time-dependent Hurst exponent (fBm-H) by an analysis in the standard deviation of some financial time series. We prove the existence of such processes and also give some simulations of sample paths of some kinds of these processes. Moreover, some important properties such as continuity, stationary increments are identified as well as self-similarity feature in a new manner. Finally, we prove the strong convergency of the Maximum Likelihood Estimation (MLE) of the parameters of the Black–Scholes (BS) model with Generalized Mixed Fractional Brownian Moti
This article considers a nonlinear system of elliptic problems, which is obtained by discretizing the time variable of a two-dimensional nonlinear parabolic problem. Since the system consists of ill-conditioned problems, therefore a stabilized, mesh-free method is proposed. The method is based on coupling the preconditioned Sobolev space gradient method and WEB-spline finite element method with Helmholtz operator as a preconditioner. The convergence and error analysis of the method are given. Finally, a numerical example is solved by this preconditioner to show the efficiency and accuracy of the proposed methods.
Based on the modified BFGS method proposed by Li and Fukushima (2001), we present a new value of the parameter t in Dai–Liao Conjugate Gradient Method. Under mild assumptions, we establish the global convergence property of the proposed method. Numerical results on some test problems in the CUTEst library illustrate computational efficiency of the new method.
Nowadays, the pricing of financial instruments under continuous-time Markov switching models have received a widespread attention from researchers and practitioners in the finance industry. Lattice-based approaches are amongst the most widely used approaches to solve the pricing problem in this context. Recently, Yuen and Yang (2010) have proposed a simple and fast recombining trinomial tree method to handle the case of regime-switching geometric Brownian motion processes. In this paper, we generalize their approach to the regime-switching (exponential) mean-reverting case with state-dependent switching rates and derive the necessary conditions for the positivity of conditional branching probabilities. We employ the Hull and White’s tree-
This paper proposes an efficient adaptive control parameterization method for solving optimal control problems. In this method, mesh density functions are used to generate mesh points. In the first step, the problem is solved by control parameterization on uniform mesh points. Then at each step, the approximate control obtained from the previous step is applied to construct a mesh density function, and consequently a new adapted set of mesh points. Several numerical examples are included to demonstrate that the adaptive control parameterization method is more accurate than a uniform control parameterization one.
One of the organizations' desirable mechanisms for the rapid and appropriate response to the ever-changing environment in the business environment is the creation of entrepreneurial organizations. Entrepreneurship organizations, through the institutionalization of entrepreneurship within themselves, lead to the implementation of enterprise entrepreneurship. The main objective of the present research is to identify the factors affecting the entrepreneurship municipality with the approach of tourism development. Therefore, identifying the effective factors on the entrepreneurship municipality can provide a way for the development of the tourism industry and, consequently, create sustainable income for the municipality. To achieve the research
This study was performed to investigate the effects of antibiotic, organic acid, probiotic and prebiotic supplementation on performance, egg shell quality, pH value of gastrointestinal tract and small intestinal morphology of laying hens. The experiment was a completely randomized design with 160 laying hens strain (W-36) from 32 to 42 weeks of age, with 5 treatments, 4 replicates and 8 hens in each replicate. The experimental treatments consisted: 1-basal diet, 2-basal diet + 150 g/ton antibiotic (oxytetracycline), 3-basal diet + 3 kg/ton mixture of organic acids supplementation, 4- basal diet + 50 g/ton probiotic (protoxin) and 5- basal diet + 2 kg/ton prebiotic (Mannan oligosaccharide). During the experimental period, performance charact
3. MethodThe research method used in this study is of applied and descriptive-analytic. The library and field documentation (questionnaire) has been used to collect information. The statistical population is the residents of Tehran City, which according to the census of 2016 includes 8693706 people. The sample size was calculated first in the studied areas according to the Cochran sampling formula with a 7% error rate. For 22 urban areas, 385 persons were obtained and according to the extent of the Tehran metropolitan area and the probability of the loss of the questionnaire, 485 researcher made questionnaires. Next in each of the studied areas, the proportional quota was allocated based on the population. Sampling method was also possible
This paper considers solving optimal control of switched systems with polynomial data globally, where the number of switches and the switching signal are not preassigned. The problem is transformed into an embedded polynomial form in which a continuous variable controls the switching policy. Then, using occupation measures, the embedded optimal control problem is formulated as an infinite‐dimensional linear programming (LP) over the space of measures. A polynomial sum‐of‐squares strengthening corresponding to conic dual of the measure LP problem provides an approximating optimal feedback control for both classical control and the switching signal. Furthermore, the optimal switching signal is calculated without mode projection. Finall
We consider solving stochastic switched optimal control problems (SSOCPs) with polynomial data using sum-of-squares (S.O.S) and semidefinite programming (SDP), where both the number of switches and the switching signal are not known in advance. The problem is transformed into an embedded form using a new control variable that is responsible for controlling the switching policy. Then, through a hierarchy of polynomial S.O.S problems, we find an approximation of the value function corresponding to the original optimal control problem and use it to design feedback control. Finally, one simulation experiment is included to demonstrate the performance of our new approach.
In this paper, we investigate the complete moment convergence for dependent linear processes with random coefficients to form , where {εn,n ∈ ℤ} is a sequence of END stochastically dominated random variables and {An,n ∈ ℤ} is a sequence of random varibles. As applications, the convergence rate, Marcinkiewicz-Zygmund strong law and strong law of large numbers for this linear process are established.
In the complex and dynamic world of today, without enough attention to organizational entrepreneurship, we can not achieve to growth and development indicators in the economic realm. Because organizational entrepreneurship is a strategic and acquiring process that organizations by choosing the right model, lead to its sustainable development. The purpose of this study is to explain the indicators and select the appropriate entrepreneurship model. The research method is descriptive survey and the statistical population is the managers of rural cooperatives in South Khorasan province. Data gathering tool: library studies and a questionnaire that has been done through Analytical Hierarchy Process ( AHP). Expert Choice software (EC) is used to
In order to determine the effect of non-starch polysaccarides on performance, energy and protein efficiencies and carcass characteristics of broiler chicks, an experiment was conducted in three periods of starter, grower and finisher period, using 420 one-day old Ross 308 broiler chicks from both sexes in a completely randomized design with seven treatments, six replicates and 10 chicks per replicate. The experimental treatments were basal diet, diets containing 0.10 and 0.20 percent of Saccharomyces cerevisiae yeast, diets containing 5 and 10 percent of wheat bran, diets containing three and six percent of soybean hull. The results of the experiment showed that the control treatment had the lowest feed intake during the whole period of bre
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