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This contribution presents sufficient conditions for the existence of probabilistic bisimulations between two diffusion processes that are additionally endowed with switching and resetting behaviors. A probabilistic bisimulation between two stochastic processes is defined by means of a bisimulation function, which induces an approximation metric over the distance between the two processes. The validity...
This paper presents method for split-step backward Euler scheme in regime-switching models. We generalize the classical Black-Scholes model to encompass regime-switching properties. The Black-Scholes model is shown to generate significant pricing errors when a regime-switching process governs underlying asset returns. In addition, regime-switching option values are shown to generate implied volatility...
In this paper we propose a set of different configurations of failure recovery schemes, developed for network-on-chip (NoC) based systems. These configurations exploit the fact that communication in NoCs tends to be partitioned and eventually localized. The failure recovery approach is based on checkpoint and rollback and is aimed towards fast recovery from system or application level failures. The...
Three applications in wireless networks where model-free stochastic learning is applicable, are discussed. The learning based optimization problems are formulated and simulation results are presented. Some open issues are also discussed.
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