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In the paper, we consider the problem of pricing options in wide classes of Lévy processes. We propose a general approach to the numerical methods based on a finite difference approximation for the generalized Black-Scholes equation. The goal of the paper is to incorporate the Wiener-Hopf factorization into finite difference methods for pricing options in Lévy models with jumps. The method is applicable for pricing barrier and American options. The pricing problem is reduced to the sequence of linear algebraic systems with a dense Toeplitz matrix; then the Wiener-Hopf factorization method is applied. We give an important probabilistic interpretation based .....
We consider a task graph mapped on a set of homogeneous processors. We aim at minimizing the energy consumption while enforcing two constraints: a prescribed bound on the execution time (or makespan), and a reliability threshold. Dynamic voltage and frequency scaling (DVFS) is an approach frequently used to reduce the energy consumption of a schedule, but slowing down the execution of a task to save energy is decreasing the reliability of the execution. In this work, to improve the reliability of a schedule while reducing the energy consumption, we allow for the re-execution of some tasks. We assess the complexity .....
Over the past years several works have proposed access control models for XML data where only read-access rights over non-recursive DTDs are considered. A few amount of works have studied the access rights for updates. In this paper, we present a general model for specifying access control on XML data in the presence of update operations of W3C XQuery Update Facility. Our approach for enforcing such updates specifications is based on the notion of query rewriting where each update operation defined over arbitrary DTD (recursive or not) is rewritten to a safe one in order to be evaluated only over .....
Hybrid systems are used to model embedded computing systems interacting with their physical environment. There is a conceptual mismatch between high-level hybrid system languages like Simulink, which are used for simulation, and hybrid automata, the most suitable representation for safety verification. Indeed, in simulation languages the interaction between discrete and continuous execution steps is specified using the concept of zero-crossings, whereas hybrid automata exploit the notion of staying conditions. We describe a translation from a hybrid data-flow language to logico-numerical hybrid automata that treats this issue in detail. We examine various zero-crossing semantics, propose a sound translation, and discuss to .....
Francisco J. Cazorla; Eduardo Quinones; Tullio Vardanega; Liliana Cucu-Grosjean; Benoit Triquet; Guillem Bernat; Emery Berger; Jaume Abella ; Franck Wartel; Michael Houston; Luca Santinelli; Leonidas Kosmidis; Codé Lo; Dorin Maxim
Détail
[Research Report], 2012, pp. 30. RR-7869
Début du résumé
Static Timing Analysis is the state-of-the-art practice to ascertain the timing behaviour of current-generation real-time embedded systems. The adoption of more complex hardware to respond to the increasing demand for computing power in next-generation systems exacerbates some of the limitations of Static Timing Analysis. In particular, the effort of acquiring (1) detail information on the hardware to develop an accurate model of its execution latency as well as (2) knowledge of the timing behaviour of the program in the presence of varying hardware conditions, such as those dependent on the history of previously executed instructions. We call these problems the .....
