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Jan 30, 2019
Probability

Let A⊂C(E)×C(E) with D(A) dense in C(E), and assume that there exist solutions of the martingale problem for A with sample paths in DE[0,∞) for all initial distributions ν∈P(E).

Markov selection for constrained martingale problems

Constrained Markov processes, such as reflecting diffusions, behave as an unconstrained process in the interior of a domain but upon reaching the bou…
Sep 05, 2018
Human-Computer Interaction

Multimodal Dialogue Management for Multiparty Interaction with Infants

We present dialogue management routines for a system to engage in multiparty agent-infant interaction. The ultimate purpose of this research is to he…
Apr 14, 2018
Computation

Constrained maximum likelihood estimation of clusterwise linear reg…

We consider an equivariant approach imposing data-driven bounds for the variances to avoid singular and spurious solutions in maximum likelihood (ML)…
Jul 02, 2013
Programming Languages

In this paper, we have defined an unfold operation for CHR which preserves the qualified answers of a program.

Unfolding for CHR programs

Program transformation is an appealing technique which allows to improve run-time efficiency, space-consumption, and more generally to optimize a giv…
Jan 12, 2017
Discrete Mathematics

On Efficient Domination for Some Classes of $H$-Free Chordal Graphs

A vertex set $D$ in a finite undirected graph $G$ is an efficient dominating set (e.d.s. for short) of $G$ if every vertex of $G$ is dominated by exa…
Jul 21, 2015
Logic in Computer Science
Programming Languages

Proving Correctness of Imperative Programs by Linearizing Constrained…

We present a method for verifying the correctness of imperative programs which is based on the automated transformation of their specifications. Give…
Dec 13, 2013
Statistical Finance

Semi-Markov Models in High Frequency Finance: A Review

In this paper we describe three stochastic models based on a semi-Markov chains approach and its generalizations to study the high frequency price dy…
Apr 11, 2019
Mathematical Finance
Optimization and Control
Risk Management

Optimal excess-of-loss reinsurance for stochastic factor risk models

We study the optimal excess-of-loss reinsurance problem when both the intensity of the claims arrival process and the claim size distribution are inf…
Apr 24, 2018
Logic in Computer Science
Programming Languages

We have presented a two-step approach to the verification of programs that manipulate inductively defined data structures, such as lists and trees. The first step consists in the transformation of the set of clauses that encodes the given verificati…

Solving Horn Clauses on Inductive Data Types Without Induction

We address the problem of verifying the satisfiability of Constrained Horn Clauses (CHCs) based on theories of inductively defined data structures, s…
Jun 26, 2014
Portfolio Management
Probability

In this Section we aim to compute the ˜H-pseudo-optimal strategy ψ∗ for a term insurance contract, whose payoff, denoted by GT, is given in (4.3). Similarly to the case of pure endowment contracts, the optimal value process V(ψ∗) is characterized by…

Hedging of unit-linked life insurance contracts with unobservable m…

In this paper we investigate the local risk-minimization approach for a combined financial-insurance model where there are restrictions on the inform…
Feb 18, 2016
Discrete Mathematics

Maximum Weight Independent Set in lClaw-Free Graphs in Polynomial Time

The Maximum Weight Independent Set (MWIS) problem is a well-known NP-hard problem. For graphs $G_1, G_2$, $G_1+G_2$ denotes the disjoint union of $G_…
Jun 14, 2011
Discrete Mathematics

Dominating Induced Matchings for P7-Free Graphs in Linear Time

Let $G$ be a finite undirected graph with edge set $E$. An edge set $E' \subseteq E$ is an {\em induced matching} in $G$ if the pairwise distance of …
Sep 12, 2012
Discrete Mathematics

Maximum Weight Independent Sets in Odd-Hole-Free Graphs Without Dart …

The Maximum Weight Independent Set (MWIS) Problem on graphs with vertex weights asks for a set of pairwise nonadjacent vertices of maximum total weig…
Dec 03, 2014
Logic in Computer Science
Software Engineering

In this paper we have presented some preliminary results obtained by integrating an Interpolating Horn Clause solver (FTCLP) with an Iterated Specialization tool (VeriMAP). The experimental evaluation confirms that such an integration is effective i…

Verification of Programs by Combining Iterated Specialization with …

We present a verification technique for program safety that combines Iterated Specialization and Interpolating Horn Clause Solving. Our new method co…
Mar 29, 2019
Mathematical Finance

Optimal Reinsurance and Investment in a Diffusion Model

We consider a diffusion approximation to an insurance risk model where an external driver models a stochastic environment. The insurer can buy reinsu…
Sep 18, 2017
Statistical Finance

A new approach to the modeling of financial volumes

In this paper we study the high frequency dynamic of financial volumes of traded stocks by using a semi-Markov approach. More precisely we assume tha…
Feb 25, 2017
Discrete Mathematics

On Chordal-$k$-Generalized Split Graphs

A graph $G$ is a {\em chordal-$k$-generalized split graph} if $G$ is chordal and there is a clique $Q$ in $G$ such that every connected component in …
Mar 12, 2013
Applications

Modeling US housing prices by spatial dynamic structural equation mod…

This article proposes a spatial dynamic structural equation model for the analysis of housing prices at the State level in the USA. The study contrib…
Dec 13, 2013
Data Analysis
Statistics and Probability

Forecasting wind speed financial return

The prediction of wind speed is very important when dealing with the production of energy through wind turbines. In this paper, we show a new nonpara…
Aug 04, 2017
Logic in Computer Science
Software Engineering

Predicate Pairing for Program Verification

It is well-known that the verification of partial correctness properties of imperative programs can be reduced to the satisfiability problem for cons…
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