Research Group: Stochastic Systems and Signals (SST)

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Number of items: 137.

Article

Mandal, P.K. and Mandrekar, V. (2000) A Bayes formula for Gaussian noise processes and its applications. SIAM Journal on Control and Optimization, 39 (3). pp. 852-871. ISSN 0363-0129

Bagchi, Arunabha (1976) A martingale approach to state estimation in delay-differential systems. Journal of Mathematical Analysis and Applications, 56 (1). pp. 195-210. ISSN 0022-247X

Bagchi, Arunabha (1976) A new martingale approach to Kalman Filtering. Information Sciences, 10 (2). pp. 187-192. ISSN 0020-0255

Vellekoop, Michel and Nieuwenhuis, Hans (2009) A tree-based method to price American options in the Heston model. Journal of Computational Finance, 13 (1). pp. 1-21. ISSN 1460-1559

Bagchi, A. and Bose, S.K. (1994) Acoustic plane wave reflection from a composite laminate: normal incidence. Journal of Sound and Vibration, 173 (1). pp. 43-55. ISSN 0022-460X

Kwakernaak, H. and Sivan, R. (1972) Authors' reply. IEEE Transactions on Automatic Control, 17 (4). p. 578. ISSN 0018-9286

Bagchi, A. and Strijbos, R.C.W. (1983) Authors' reply. IEEE Transactions on Automatic Control, 28 (8). p. 867. ISSN 0018-9286

Mandal, P.K. and Mandrekar, V. (2000) Bayes formula for optimal filter with n-ple Markov Gaussian errors. Acta Applicandae Mathematicae, 63 (1-3). pp. 245-252. ISSN 0167-8019

Jamshidian, Farshid (2006) Bivariate support of forward Libor and swap rates.

Jamshidian, Farshid (2008) Bivariate support of forward libor and swap rates. Mathematical Finance, 18 (3). pp. 427-443. ISSN 0960-1627

Bagchi, Arunabha (1985) Book review: Probability theory and mathematical statistics / by V.S. Pugachev. - Oxford : Pergamon Press, 1984. - ISBN 0-08-029148-1. Automatica, 21 (4). p. 504. ISSN 0005-1098

Bagchi, A. (1989) Book review: Stochastic differential systems—Analysis and filtering / by V.S. Pugachev and I.N. Sinitsyn. - Chichester : Wiley, 1987. - ISBN 0-471-91243-3. Automatica, 25 (4). pp. 639-640. ISSN 0005-1098

Bagchi, Arunabha (1990) Boundary value processes: estimation and identification. Computers & Mathematics with Applications, 19 (1). pp. 9-19. ISSN 0898-1221

Jamshidian, Farshid (2005) Chaotic expansion of powers and martingale representation.

Bagchi, A. (1975) Continuous time systems identification with unknown noise covariance = Systèmes d'identification de temps continu avec co-variation de bruit (ou bruits) inconnus = Identifikation zeitkontinuierlicher systeme mit unbekannter rauschkovarianz. Automatica, 11 (5). pp. 533-536. ISSN 0005-1098

Bagchi, Arunabha (1978) Control of linear stochastic time delayed systems. Journal of Mathematical Analysis and Applications, 63 (1). pp. 244-252. ISSN 0022-247X

Bagchi, A. and Strijbos, R.C.W. (1982) Decoupled decomposition of the Riccati equation. IEEE Transactions on Automatic Control, 27 (3). pp. 696-698. ISSN 0018-9286

Bagchi, Arunabha and Suresh Kumar, K. (2009) Dynamic asset management with risk-sensitive criterion and non-negative factor constraints: a differential game approach. Stochastics : An International Journal of Probability and Stochastic Processes, 81 (5). pp. 503-530. ISSN 1744-2508

Vellekoop, M.H. and Nieuwenhuis, J.W. (2006) Efficient Pricing of Derivatives on Assets with Discrete Dividends. Applied Mathematical Finance, 13 (3). pp. 265-284. ISSN 1350-486X

Jamshidian, Farshid (2007) Exchange Options.

Aihara, ShinIchi and Bagchi, Arunabha (2006) Filtering and identification of Heston's stochastic volatility model and its market risk. Journal of economic dynamics & control, 30 (12). pp. 2363-2388. ISSN 0165-1889

Aihara, ShinIchi and Bagchi, Arunabha (2006) Filtering and identification of stochastic volatility for parabolic type factor models. International journal of innovative computing, information and control, 2 (5). pp. 1-9. ISSN 1349-4198

Bagchi, Arunabha (1994) Foreword. Acta applicandae mathematicae, 35 (1-2). pp. 1-3. ISSN 0167-8019

Saha, S. and Mandal, P.K. and Boers, Y. and Driessen, H. and Bagchi, A. (2008) Gaussian proposal density using moment matching in SMC methods. Statistics and Computing, 19 (2). pp. 203-208. ISSN 0960-3174

Curtain, Ruth F. and Sasane, Amol J. (2003) Hankel norm approximation for well-posed linear systems. Systems & Control Letters, 48 (5). pp. 407-414. ISSN 0167-6911

Bagchi, Arunabha (1985) Identification of a hereditary system with distributed delay. Systems & Control Letters, 5 (5). pp. 339-345. ISSN 0167-6911

Aihara, Shin Ichi and Bagchi, Arunabha (2010) Identification of affine term structures from yield curve data. International journal of theoretical and applied finance , 13 (2). pp. 259-283. ISSN 0219-0249

Aihara, ShinIchi and Bagchi, Arunabha and Imreizeeq, Emad (2011) Identification of electricity spot models by using convolution particle filter. International journal of innovative computing, information and control, 7 (1). pp. 61-72. ISSN 1349-4198

Aihara, ShinIchi and Bagchi, Arunabha (1989) Infinite dimensional parameter identification for stochastic parabolic systems. Statistics & probability letters, 8 (3). pp. 279-287. ISSN 0167-7152

Luesink, Rob and Bagchi, Arunabha (1991) Krein factorization of covariance operators of 2-parameter random fields and application to the likelihood ratio. IEEE Transactions on Information Theory, 37 (1). pp. 53-59. ISSN 0018-9448

Aihara, S.-I. and Bagchi, A. (1987) Linear-quadratic stochastic differential games for distributed parameter systems. Computers & Mathematics with Applications, 13 (1-3). pp. 247-259. ISSN 0898-1221

Bagchi, Arunabha and Olsder, Geert Jan (1981) Linear-quadratic stochastic pursuit-evasion games. Applied mathematics and optimization, 7 (19). pp. 95-123. ISSN 0095-4616

Bagchi, Arunabha and Kelemen, Matei (1993) Modeling and feedback control of a flexible arm of a robot for prescribed frequency-domain tolerances. Automatica, 29 (4). pp. 899-909. ISSN 0005-1098

Römer, G.R.B.E. and Zwart, H. and Graaff, K.A.J. de and Meijer, J. (1998) Modelling of the temperature field induced by laser surface irradiation by laser surface irradiation in view of the feedback control theory. Lasers in engineering, 7 . pp. 179-197. ISSN 0898-1507

Helminck, Aloysius G. and Helminck, Gerardus F. (2005) Multiplicity One for Representations Corresponding to Spherical Distribution Vectors of Class ρ. Acta Applicandae Mathematicae, 86 (1-2). pp. 21-48. ISSN 0167-8019

Aihara, Shin Ichi and Bagchi, Arunabha (1995) Nonlinear smoothing for random fields. Stochastic Processes and Their Applications, 55 (1). pp. 143-158. ISSN 0304-4149

Jamshidian, Farshid (2008) Numeraire Invariance and application to Option Pricing and Hedging.

Jamshidian, Farshid (2004) Numeraire-invariant option pricing & american, bermudan, and trigger stream rollover.

Bagchi, Arunabha and Olsder, Geert Jan (1983) Numerical approaches to linear—quadratic differential games with imperfect observations. Journal of the Franklin Institute, 315 (5-6). pp. 423-433. ISSN 0016-0032

Bagchi, Arunabha and Mazumdar, Ravi R. (1993) On Radon-Nikodym derivatives of finitely-additive measures induced by nonlinear transformations on hilbert space. Nonlinear Analysis: Theory, methods & analysis, 21 (12). pp. 879-902. ISSN 0362-546X

Mazumdar, Ravi R. and Kannurpatti, Raghavan and Bagchi, Arunabha (1995) On input/output maps for nonlinear systems via continuity in a locally convex topology. Systems & Control Letters, 24 (4). pp. 273-281. ISSN 0167-6911

Aihara, ShinIchi and Bagchi, Arunabha and Saha, Saikat (2009) On parameter estimation of stochastic volatility models from stock data using particle filter - Application to AEX index -. International journal of innovative computing, information and control, 5 (1). pp. 17-27. ISSN 1349-4198

Nurdin, Hendra I. and Bagchi, Arunabha (2006) On the Solutions of the Rational Covariance Extension Problem Corresponding to Pseudopolynomials Having Boundary Zeros. IEEE Transactions on Automatic Control, 51 (2). pp. 350-355. ISSN 0018-9286

Jamshidian, Farshid (2011) On the combinatorics of iterated stochastic integrals. Stochastics : An International Journal of Probability and Stochastic Processes, 83 (1). pp. 1-15. ISSN 1744-2508

Bagchi, Arunabha and Chen, Han-Fu (1997) Optimal adaptive control for a class of stochastic systems. Sadhana : Academy proceedings in engineering science, 22 (4). pp. 485-498. ISSN 0256-2499

Bagchi, Arunabha and Schilperoort, Tom (1980) Optimal linear stochastic control for systems with multiplicative noise. IEEE Transactions on Automatic Control, 25 (5). pp. 1005-1007. ISSN 0018-9286

Vellekoop, M.H. and Clark, J.M.C. (2001) Optimal speed of detection in generalized Wiener disorder problems. Stochastic Processes and Their Applications, 95 (1). pp. 25-54. ISSN 0304-4149

Aihara, Shin Ichi and Bagchi, Arunabha (1991) Parameter identification for hyperbolic stochastic systems. Journal of Mathematical Analysis and Applications, 160 (2). pp. 485-499. ISSN 0022-247X

Bagchi, Arunabha and Brummelhuis, Paul ten (1994) Parameter identification in tidal models with uncertain boundaries. Automatica, 30 (5). pp. 745-759. ISSN 0005-1098

Spierdijk, Laura and Vellekoop, Michel (2006) Politiek, cultuur, taal en religie. Een analyse van het stemgedrag tijdens het Eurovisie Songfestival. STAtOR, 7 (1). pp. 24-31. ISSN 1567-3383

Helminck, Gerard (2007) Preface. Acta Applicandae Mathematicae, 99 (32). pp. 221-222. ISSN 0167-8019

Helminck, G.F. (2005) Preface. Acta Applicandae Mathematicae, 86 (1-2). pp. 1-2. ISSN 0167-8019

Nurdin, Hendra I. and Mazumdar, Ravi R. and Bagchi, Arunabha (2009) Reduced-dimension linear transform coding of distributed correlated signals with incomplete observations. IEEE Transactions on Information Theory, 55 (6). pp. 2848-2858. ISSN 0018-9448

Helminck, Gerardus F. and Mishina, Marina G. and Polenkova, Svetlana V. (2007) Reductions of Lower Triangular Toda Hierarchies. Acta Applicandae Mathematicae, 99 (3). pp. 245-259. ISSN 0167-8019

Bagchi, A. and Olsder, G.J. and Strijbos, R.C.W. (1981) Regional allocation of investment as a hierarchical optimization problem. Regional Science and Urban Economics, 11 (2). pp. 205-213. ISSN 0166-0462

Evers, Ingmar and Jamshidian, Farshid (2005) Replication of flexi-swaps. Risk magazine . pp. 67-70.

Bagchi, Arunabha (1984) Research survey. Automatica, 20 (4). p. 485. ISSN 0005-1098

Mourik, Simon van and Veldman, Arthur (2005) Rollende vloeistof. Nieuw archief voor wiskunde, Ser. 5, vol. 6 (2). pp. 124-129. ISSN 0028-9825

Bagchi, Arunabha and Westdijk, Hans (1989) Smoothing and likelihood ratio for Gaussian boundary value processes. IEEE Transactions on Automatic Control, 34 (9). pp. 954-962. ISSN 0018-9286

Bagchi, Arunabha and Mazumdar, Ravi (1994) Some recent results in finitely additive white noise theory. Acta applicandae mathematicae, 35 (1-2). pp. 27-47. ISSN 0167-8019

Helminck, Aloysius G. and Helminck, Gerardus F. (2002) Spherical Distribution Vectors. Acta Applicandae Mathematicae, 73 (1-2). pp. 39-57. ISSN 0167-8019

Ghosh, M.K. and Bagchi, A. (1998) Stochastic games with average payoff criterion. Applied mathematics and optimization, 38 (3). pp. 283-301. ISSN 0095-4616

Aihara, Shin Ichi and Bagchi, Arunabha (2005) Stochastic hyperbolic dynamics for infinite-dimensional forward rates and option pricing. Mathematical Finance, 15 (1). pp. 27-47. ISSN 0960-1627

Das, Iswar and Kumar, Gaurev and Stein, Alfred and Bagchi, Arunabha and Dadhwal, Vinay K. (2011) Stochastic landslide vulnerability modeling in space and time in a part of the northern Himalayas, India. Environmental monitoring and assessment, 178 (1-4). pp. 25-37. ISSN 0167-6369

Bagchi, Arunabha (1976) Stochastic linear differential game with a square integrable martingale as noise. IEEE Transactions on Automatic Control, 21 (5). pp. 764-766. ISSN 0018-9286

Hoogland, J.K. and Neumann, C.D.D. and Vellekoop, M.H. (2003) Symmetries in Jump-Diffusion Models with Applications in Option Pricing and Credit Risk. International Journal of Theoretical and Applied Finance , 6 (2). pp. 135-172. ISSN 0219-0249

Bagchi, A. (1975) Symposium on stochastic control - Symposium sur le contrôle stochastique - Symposium über stochastische Steuerung : IFAC Report. Automatica, 11 (2). pp. 213-217. ISSN 0005-1098

Bagchi, Arunabha and Basar, Tamar (1980) Team decision theory for linear continuous-time systems. IEEE Transactions on Automatic Control, 25 (6). pp. 1154-1161. ISSN 0018-9286

Jamshidian, Farshid (2007) The duality of optimal exercise and domineering claims : a Doob-Meyer decomposition approach to the Snell envelope. Stochastics : An International Journal of Probability and Stochastic Processes, 79 (1-2). pp. 27-60. ISSN 1744-2508

Göttsche, O.E. and Vellekoop, M.H. (2011) The early exercise premium for the American put under discrete dividends. Mathematical Finance, 21 (2). pp. 335-354. ISSN 0960-1627

Eisner, T. and Zwart, H.J. (2008) The growth of a $C_0$-semigroup characterised by its cogenerator. Journal of evolution equations, 8 (4). pp. 749-764. ISSN 1424-3199

Bagchi, A. and Evans, A.G. (1996) The mechanics and physics of thin film decohesion and its measurement. Interface science, 3 (3). pp. 169-193. ISSN 0927-7056

Boers, Yvo and Sviestins, Egils and Driessen, Hans (2010) The mixed labeling problem in multitarget particle filtering. IEEE Transactions on Aerospace and Electronic Systems, 46 (2). 792 -802. ISSN 0018-9251

Jamshidian, Farshid (2007) Trivariate support of flat-volatility forward Libor rates.

Jamshidian, Farshid (2010) Trivariate support of flat-volatility forward Libor rates. Mathematical Finance, 20 (2). pp. 229-258. ISSN 0960-1627

Lootsma, Y.J. and Schaft, A.J. van der and Camlıbel, M.K. (1999) Uniqueness of solutions of linear relay systems. Automatica, 35 (3). pp. 467-478. ISSN 0005-1098

Jamshidian, Farshid (2005) Various identities for iterated integrals of a semimartingale.

Nieuwenhuis, J.W. and Vellekoop, M.H. (2004) Weak convergence of tree methods, to price options on defaultable assets. Decisions in Economics and Finance, 27 (2). pp. 87-107. ISSN 1593-8883

Bagchi, Arunabha and Karandikar, Rajeeva (1994) White noise theory of robust nonlinear filtering with correlated state and observation noises. Systems & Control Letters, 23 (2). pp. 137-148. ISSN 0167-6911

Book Review

Bagchi, A. (1990) Stochastic optimal control / by R.F. Stengel. [Review of the book ] , New York, NY, USA, pp. 320-323. ISBN 9780471864622

Book Section

Blom, H.A.P. and Krystul, J. and Bakker, G.J. (2006) Free Flight Collision Risk Estimation by Sequential MC Simulation. In: Stochastic Hybrid Systems. Automation and Control Engineering Series, 24 . Taylor & Francis CRC Press, pp. 247-279. ISBN 9780849390838

Ghosh, Mrinal K. and Bagchi, Arunabha (2005) Modeling stochastic hybrid systems. In: System modeling and optimization: proceedings of the 21st IFIP TC7 Conference held in July 21st-25th, 2003, Sophia Antipolis, France. IFIP International Federation for Information Processing, 166 . Kluwer Academic. ISBN 9781402077609

Blom, Henk A.P. and Bakker, G.J. (Bert) and Krystul, Jaroslav (2009) Rare event estimation for a large-scale stochastic hybrid system with air traffic application. In: Rare Event Simulation using Monte Carlo Methods. John Wiley & Sons, pp. 193-214. ISBN 9780470772690

Krystul, Jaroslav and Blom, Henk A.P. and Bagchi, Arunabha (2006) Stochastic Differential Equations on Hybrid State Spaces. In: Stochastic Hybrid Systems. Automation and Control Engineering Series . Taylor & Francis CRC Press, pp. 15-46. ISBN 9780849390838

Conference or Workshop Item

Blom, H.A.P. and Krystul, J. and Bakker, G.J. (2006) A Particle System for Safety Verification of Free Flight in Air Traffic. In: 45th IEEE Conference on Decision and Control, 13-15 Dec 2006, San Diego, CA, USA (pp. pp. 1574-1579).

Saha, S. and Mandal, P.K. and Bagchi, A. (2008) A new approach to particle based smoothed marginal MAP. In: 16th European Signal Processing Conference, EUSIPCO, 25-29 August 2008, Lausanne, Switzerland.

Aoki, Edson Hiroshi and Bagchi, Arunabha and Mandal, Pranab and Boers, Yvo (2011) A theoretical look at information-driven sensor management criteria. In: 14th International Conference on Information Fusion, FUSION 2011, 5-8 July 2011, Chicago, IL, USA.

Chen, An and Pelsser, Antoon and Vellekoop, Michel (2008) Approximation solutions for indifference pricing under general utility functions. In: 7th Winter school on Mathematical Finance, January 21-23, 2008, Lunteren, the Netherlands.

Blom, H.A.P. and Krystul, J. and Bakker, G.J. (2006) Estimating Rare Event Probabilities in Large Scale Stochastic Hybrid Systems by Sequential Monte Carlo Simulation. In: 6th International Workshop on Rare Event Simulation, 8-10 October 2006, Bamberg, Germany (pp. pp. 1-7).

Aihara, Shin Ichi and Bagchi, Arunabha and Saha, Saikat (2008) Estimating volatility and model parameters of stochastic volatility models with jumps using particle filter. In: 17th IFAC World Congress, 06-11 July 2008, Seoul (pp. pp. 6490-6495).

Saha, S. and Mandal, P.K. and Boers, Y. and Driessen, H. (2006) Exact moment matching for efficient importance functions in SMC methods. In: Nonlinear Statistical Signal Processing Workshop (NSSPW): Classical, Unscented and Particle Filtering Methods, 13-15 Sept 2006, Cambridge, UK (pp. p. 14).

Baker, Glyn and Beneder, Reimer and Zilber, Alex (2004) FX barriers with smile dynamics. In: 4th Winter School on Financial Mathematics, January 24-26, 2005, Lunteren, the Netherlands.

Jamshidian, Farshid (2004) Numeraire-invariant option pricing and american, bermudan, trigger stream rollover. In: 4th Winter School on Financial Mathematics, January 24-26, 2005, Lunteren, the Netherlands.

Aoki, E.H. and Bagchi, A. and Mandal, P. and Boers, Y. (2011) On the "near-universal proxy" argument for theoretical justification of information-driven sensor management. In: IEEE Statistical Signal Processing Workshop, SSP 2011, 28-30 June 2011, Nice, France (pp. pp. 245-248).

Nurdin, Hendra I. and Bagchi, Arunabha (2004) On the solutions of the rational covariance extension problem corresponding to pseudopolynomials having boundary zeros. In: 43rd IEEE Conference on Decision and Control, CDC, 14-17 December 2004 , Nassau, Bahamas (pp. pp. 5386-5391).

Bagchi, Arunabha and Chen, Han-Fu (1995) Optimal adaptive control for a class of stochastic systems. In: American Control Conference, June 21-23, 1995, Seattle, Washington (pp. pp. 2015-2019).

Saha, S. and Mandal, P.K. and Bagchi, A. and Boers, Y. and Driessen, H. (2009) Parameter estimation in a general state space model from short observation data: A SMC based approach. In: 2009 IEEE/SP 15th Workshop on Statistical Signal Processing, 31 Aug - 03 Sep 2009, Cardiff, UK (pp. pp. 41-44).

Aihara, S. and Bagchi, A. and Imreizeeq, E.S.N. (2009) Parameter estimation of electricity spot models from futures prices. In: Proceedings of the 15th IFAC Symposium on System Identification, 6-8 July 2009, Saint-Malo (pp. pp. 1457-1462).

Aihara, S.I. and Bagchi, A. (2006) Parameter estimation of parabolic type factor model and empirical study of US treasury bonds. In: 22nd IFIP TC7 Conference on System Modeling and Optimization 2005, July 18-22, 2005, Turin, Italy (pp. pp. 207-217).

Saha, S. and Boers, Y. and Driessen, J.N. and Mandal, P.K. and Bagchi, A. (2009) Particle filter based MAP state estimation: a comparison. In: 12th International Conference on Information Fusion 2009, 6-9 July, 2009, Seattle, USA (pp. pp. 278-283).

Boers, Yvo and Driessen, Hans and Bagchi, Arunabha and Mandal, Pranab (2010) Particle filter based entropy. In: 13th International Conference on Information Fusion, FUSION 2010, 26-29 July 2010, Edinburgh, UK.

Blom, H.A.P. and Bakker, G.J. and Krystul, J. (2007) Probabilistic Reachability Analysis for Large Scale Stochastic Hybrid Systems. In: 46th IEEE Conference on Decision and Control, 12-14 Dec 2007, New Orleans, USA (pp. pp. 3182-3189).

Hupkens, Erik P. and Bagchi, Arunabha (1997) Quickest detection of changes in random fields. In: IEEE International Symposium on Information Theory, 29 June - 4 July 1997, Rethymnon, Crete, Greece.

Aihara, Shin Ichi and Bagchi, Arunabha (2007) Recursive parameter identification for infinite-dimensional factor model by using particle filter. In: 38th ISCIE International Symposium on Stochastic Systems Theory and Its Applications, 9-10 Nov 2006, Suwa, Nagano, Japan (pp. pp. 40-45).

Aoki, E.H. and Boers, Y. and Mandal, P.K. and Bagchi, Arunabha (2012) SMC methods to avoid self-resolving for online Bayesian parameter estimation. In: 15th International Conference on Information Fusion, FUSION 2012, 9-12 July 2012, Singapore (pp. pp. 98-105).

Lezaud, Pascal and Krystul, Jaroslav and Le Gland, Franc¸ois (2010) Sampling per mode simulation for switching diffusions. In: Eighth International Workshop on Rare-Event Simulation, RESIM, 21-23 June 2010, Cambridge, UK.

Krystul, J. and Blom, H.A.P. (2006) Sequential Monte Carlo simulation for the estimation of small reachability probabilities for stochastic hybrid systems. In: 2006 Second International Symposium on Communications, Control and Signal Processing, 13-15 Mar 2006, Marrakech, Morocco.

Bagchi, A. and Brummelhuis, P.G.J. ten (1990) Simultaneous ML estimation of state and parameters for hyperbolic systems with noisy boundary condition. In: 29th IEEE Conference on Decision and Control, 1990, Honolulu, Hawaii (pp. pp. 222-224).

Iftime, Orest V. and Sasane, Amol J. (2002) Sub-optimal Hankel norm approximation for the Wiener class. In: 15th International Symposium on Mathematical Theory of Networks and Systems, MTNS, 12-16 August 2002, South Bend, Indiana, USA.

Bagchi, Arunabha and Karandikar, Rajeeva (1992) White noise theory of robust nonlinear filtering with correlated state and observation noises. In: 31st IEEE Conference on Decision and Control, December 1992, Tucson, Arizona (pp. pp. 1245-1246).

Lecture

Stein, Alfred (2007) Geef me de ruimte. [Lecture]

Report

Sasane, Amol J. and Curtain, Ruth F. (2002) A frequency domain solution to the sub-optimal Hankel norm approximation problem. [Report]

Aoki, Edson Hiroshi and Bagchi, Arunabha and Mandal, Pranab and Boers, Yvo (2011) A theoretical analysis of Bayes-optimal multi-target tracking and labelling. [Report]

Aoki, Edson H. and Boers, Yvo and Svensson, Lennart and Mandal, Pranab K. and Bagchi, Arunabha (2012) An analysis of the Bayesian track labelling problem. [Report]

Nurdin, H.I. and Bagchi, A. (2004) An approach to rational approximation of power spectral densities on the unit circle. [Report]

Danilov, D. and Mandal, P.K. (2002) Cross sectional efficient estimation of stochastic volatility short rate models. [Report]

Aihara, Shin Ichi and Bagchi, Arunabha (2008) Filtering and identification of affine term structures from yield curve data. [Report]

Saha, S. and Mandal, P.K. and Boers, Y. and Driessen, H. and Bagchi, A. (2007) Gaussian proposal density using moment matching in SMC methods. [Report]

Das, Shubhabrata and Mandal, Pranab K. and Ghosh, Diptesh (2009) On homogeneous skewness of unimodal distributions. [Report]

Mandal, P.K. and Ghosh, D. and Das, S. (2005) On solving discrete optimization problems with multiple random elements under general regret functions. [Report]

Ghosh, D. and Mandal, P.K. and Das, S. (2005) On solving discrete optimization problems with one random element under general regret functions. [Report]

Saha, S. and Mandal, P.K. and Bagchi, A. and Boers, Y. and Driessen, H. (2008) On the Monte Carlo marginal MAP estimator for general state space models. [Report]

Nurdin, H.I. and Mazumdar, R. and Bagchi, A. (2003) On the estimation and compression of distributed correlated signals with incomplete observations. [Report]

Nurdin, H.I. and Bagchi, A. (2004) On the solutions of the rational covariance extension problem corresponding to pseudopolynomials having boundary zeros. [Report]

Katsilieris, Fotios and Boers, Yvo (2012) Optimal search: a practical interpretation of information-driven sensor management. [Report]

Aoki, Edson Hiroshi and Bagchi, Arunabha and Mandal, Pranab and Boers, Yvo (2011) Particle filter approximations for general open loop and open loop feedback sensor management. [Report]

Hupkens, Erik P. and Bagchi, Arunabha (1996) The detection of local changes in (semi-) causal stochastic fields. [Report]

Thesis

Iftime, Orest Vasile (2002) A J-spectral factorization approach to H∞ control problems. thesis.

Everdij, Maria Hendrika Clara (2010) Compositional modelling using Petri nets with the analysis power of stochastic hybrid processes. thesis.

Vellekoop, Ivo Micha (2008) Controlling the propagation of light in disordered scattering media. thesis.

Hupkens, Erik Peter (1997) Detection in Random Fields. thesis.

Mourik, Simon van (2008) Modelling and control of systems with flow. thesis.

Krystul, Jaroslav (2006) Modelling of stochastic hybrid systems with applications to accident risk assessment. thesis.

Imreizeeq, Emad Saleh Naser (2011) Parameter estimation of a new energy spot model from futures prices. thesis.

Bocquel, Mélanie Anne Édith (2013) Random finite sets in multi-target tracking: efficient sequential MCMC implementation. thesis.

He, Yizhi (2007) Real options in the energy markets. thesis.

Minina, Vera (2008) The cost of risk and option hedging in incomplete markets. thesis.

This list was generated on Thu Apr 17 06:07:40 2014 CEST.