Events Archive

Designing Importance Sampling Schemes for Simulating Rare Events in Reflected SDEs and Random Graphs

SpeakerChia Ying LeeUniversity of North Carolina, Chapel Hillhttp://www.dam.brown.edu/people/cylee/ Description Understanding rare events in stochastic systems and random networks is important in...

Change of Kurtosis when implementing importance sampling

Event Topic: Computational Mathematics & Statistics

Nonintrusive Polynomial Chaos on Nested Unstructured Meshes

SpeakerAkil NarayanUniversity of Massachusetts Dartmouthhttp://www.math.umassd.edu/~anarayan/ Description We present a novel method for construction of polynomial interpolation grids on arbitrary...

Dynamic Acceptability Indices

Systemic Risk Description Tao Chen Title: Dynamic Acceptability Indices Mr. Tao Chen will continue to discuss concave distortions in dynamic case. Yu-Sin Chang Title: Systemic Risk Ms. Yu-Sin Chang...

Algebra, Geometry and Combinatorics for Network Models

Algebra, geometry and combinatorics for network models

Description Given a large sparse data set, two of the fundamental questions relevant for statistical analysis are: (1) what are model parameters that "best explain the data", in the sense that they...

The Error Analysis through Dual Net and Walsh Function in Quasi-Monte Carlo Method

Event Topic: Computational Mathematics & Statistics

Dynamic Acceptability Indices

Systemic Risk Description Tao Chen Title: Dynamic Acceptability Indices Mr. Tao Chen will continue to discuss concave distortions in dynamic case Yu-Sin Chang Title: Systemic Risk Ms. Yu-Sin Chang...

Statistical Inference for Fractional SDEs and Applications

Dynamic Acceptability Indices

Systemic Risk Description Tao Chen Title: Dynamic Acceptability Indices Mr. Tao Chen will discuss a possible one way to extend MINMAXVAR to dynamic case through g-expectation. Yu-Sin Chang Title...