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Proceedings of the Forum "Math-for-Industry" 2018

Part of the Mathematics for Industry Book Series (volume 35)

Editors: Cheng, Jin; Dinghua, Xu; Saeki, Osamu; Shirai, Tomoyuki

DOI: 10.1007/978-981-16-5576-0

ISBN: 978-981-16-5575-3

Publisher: Springer Singapore - Springer Journals

Jan 1, 2022

1 - 9 of 9 Chapters

Available

Copula-Based Estimation of Value at Risk for the Portfolio Problem

Molina Barreto, Andres Mauricio; Ishimura, Naoyuki

Pages: 1 –13

[We are concerned with the estimation of Value at Risk (VaR) for the portfolio problem. The evaluation is performed in two approaches; one is a standard way and the other is a copula-based method. Our innovative point is the latter, which involves copulas to measure the dependence relation...
Available

Notes on Backward Stochastic Differential Equations for Computing XVA

Sekine, Jun; Tanaka, Akihiro

Pages: 15 –50

[The X-valuation adjustment (XVA) problem, which is a recent topic in mathematical finance, is considered and analyzed. First, the basic properties of backward stochastic differential equations (BSDEs) with a random horizon in a progressively enlarged filtration are reviewed. Next, the...
Available

An Overview of Exact Solution Methods for Guaranteed Minimum Death Benefit Options in Variable Annuities

Ulm, Eric R.

Pages: 51 –65

[We review work to date on analytic solutions for guaranteed minimum death benefit options embedded in variable annuity contracts. We describe the common solution methods including direct integration, PDE methods, and discounted density approaches. Analytic solutions have been obtained to most...
Available

Mathematical Modeling and Inverse Problem Approaches for Functional Clothing Design Based on Thermal Mechanism

Xu, Dinghua; Li, Tingyue

Pages: 67 –92

[Functional clothing design is of paramount importance in the clothing industry, and the thermal comfort clothing (TCC) and thermal protective clothing (TPC) are the two kinds of functional clothing satisfying the thermal comfort and thermal safety, respectively. It is therefore important to...
Available

Determinantal Reinforcement Learning with Techniques to Avoid Poor Local Optima

Osogami, Takayuki; Raymond, Rudy

Pages: 93 –102

[Reinforcement learning for controlling multiple collaborative agents is an important task for many real-world applications, such as those involving robots and IoT devices. For most applications, the action of each agent should not only be relevant but also have diversity according to the role of...
Available

Surface Denoising Based on Normal Filtering in a Robust Statistics Framework

Yadav, Sunil Kumar; Skrodzki, Martin; Zimmermann, Eric; Polthier, Konrad

Pages: 103 –132

[During a surface acquisition process using 3D scanners, noise is inevitable and an important step in geometry processing is to remove these noise components from these surfaces (given as point set or triangulated mesh). The noise removal process (denoising) can be performed by filtering the...
Available

Unique Continuation on a Sphere for Helmholtz Equation and Its Numerical Treatments

Chen, Yu; Cheng, Jin

Pages: 133 –144

[We consider the unique continuation on a sphere for Helmholtz equation in three dimensions. A Hölder-type conditional stability is obtained. The numerical method is provided together with several numerical examples. The results in this paper may be applied to the study of inverse problems such...
Available

Huberization Image Restoration Model from Incomplete Multiplicative Noisy Data

Liu, Xiaoman; Liu, Jijun

Pages: 145 –162

[In this paper, a preprocessing denoising scheme is added in the algorithm to solve a double regularization image restoration model while the image is polluted by high-level multiplicative noise. The model is established in frequency domain by incomplete sampling operator with wavelet sparse and...
Available

A Brief Review of Some Swarming Models Using Stochastic Differential Equations

Nguyen, Linh Thi Hoai; Ta, Ton Viet; Yagi, Atsushi

Pages: 163 –179

[This paper gives a brief review of our work on stochastic differential equation (SDE) models describing the swarm behavior of animals. We firstly represent a general model which includes attraction, repulsion and individual–environment interaction. The environment may contain obstacles or/and...

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