Zobrazeno 1 - 10
of 257
pro vyhledávání: '"Witte, Jan A."'
Autor:
Witte, Jan A., Birnie, Erwin, Braunstahl, Gert-Jan, van den Akker, Edmée, van Litsenburg, Walter J.M., Chavannes, Niels H., Rutten - van Mölken, Maureen P.M.H., In ’t Veen, Johannes C.C.M.
Publikováno v:
In Heliyon November 2023 9(11)
Publikováno v:
In Journal of Transport Geography October 2022 104
Publikováno v:
In Chemical Physics 1 July 2022 559
Autor:
Witte, Jan Hendrik
Blockchain is a distributed database that keeps a chronologically-growing list (chain) of records (blocks) secure from tampering and revision. While computerisation has changed the nature of a ledger from clay tables in the old days to digital record
Externí odkaz:
http://arxiv.org/abs/1612.06244
Autor:
Witte, Jan Hendrik
Studying Binomial and Gaussian return dynamics in discrete time, we show how excess volatility can be traded to create growth. We test our results on real world data to confirm the observed model phenomena while also highlighting implicit risks.
Externí odkaz:
http://arxiv.org/abs/1508.05241
A market fix serves as a benchmark for foreign exchange (FX) execution, and is employed by many institutional investors to establish an exact reference at which execution takes place. The currently most popular FX fix is the World Market Reuters (WM/
Externí odkaz:
http://arxiv.org/abs/1501.07778
Autor:
Zebari, Mjahid, Balling, Philipp, Grützner, Christoph, Navabpour, Payman, Witte, Jan, Ustaszewski, Kamil
Publikováno v:
In Journal of Structural Geology December 2020 141
Autor:
Polson, Nick, Witte, Jan Hendrik
Richard Bellman's Principle of Optimality, formulated in 1957, is the heart of dynamic programming, the mathematical discipline which studies the optimal solution of multi-period decision problems. In this paper, we look at the main trading principle
Externí odkaz:
http://arxiv.org/abs/1407.2642
We consider a class of discrete time stochastic control problems motivated by some financial applications. We use a pathwise stochastic control approach to provide a dual formulation of the problem. This enables us to develop a numerical technique fo
Externí odkaz:
http://arxiv.org/abs/1112.4351
Publikováno v:
SIAM J. Numer. Anal. 50(2), 595-625, 2012
In this paper, we present a novel penalty approach for the numerical solution of continuously controlled HJB equations and HJB obstacle problems. Our results include estimates of the penalisation error for a class of penalty terms, and we show that v
Externí odkaz:
http://arxiv.org/abs/1105.5954