2 resultados para stochastic local volatility model leverage surface Dupire formula for local volatility Gyöngy theorem nonlinear partial integro-differential Kolmogorov equation finite difference method

em Massachusetts Institute of Technology


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In a recent seminal paper, Gibson and Wexler (1993) take important steps to formalizing the notion of language learning in a (finite) space whose grammars are characterized by a finite number of parameters. They introduce the Triggering Learning Algorithm (TLA) and show that even in finite space convergence may be a problem due to local maxima. In this paper we explicitly formalize learning in finite parameter space as a Markov structure whose states are parameter settings. We show that this captures the dynamics of TLA completely and allows us to explicitly compute the rates of convergence for TLA and other variants of TLA e.g. random walk. Also included in the paper are a corrected version of GW's central convergence proof, a list of "problem states" in addition to local maxima, and batch and PAC-style learning bounds for the model.

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Reconstructing a surface from sparse sensory data is a well known problem in computer vision. Early vision modules typically supply sparse depth, orientation and discontinuity information. The surface reconstruction module incorporates these sparse and possibly conflicting measurements of a surface into a consistent, dense depth map. The coupled depth/slope model developed here provides a novel computational solution to the surface reconstruction problem. This method explicitly computes dense slope representation as well as dense depth representations. This marked change from previous surface reconstruction algorithms allows a natural integration of orientation constraints into the surface description, a feature not easily incorporated into earlier algorithms. In addition, the coupled depth/ slope model generalizes to allow for varying amounts of smoothness at different locations on the surface. This computational model helps conceptualize the problem and leads to two possible implementations- analog and digital. The model can be implemented as an electrical or biological analog network since the only computations required at each locally connected node are averages, additions and subtractions. A parallel digital algorithm can be derived by using finite difference approximations. The resulting system of coupled equations can be solved iteratively on a mesh-pf-processors computer, such as the Connection Machine. Furthermore, concurrent multi-grid methods are designed to speed the convergence of this digital algorithm.