Sheng-Jhih Wu

most citedVariance reduction for diffusions

1 citations · 1 across the 3 of their papers we have counts for

collaborators

3 papers

math.PR2014

Local times in a Brownian excursion

Krishna B. Athreya, Raoul Normand, Vivekananda Roy +1

Let ${B (t), t \geq 0}$ be a standard Brownian motion in $R$ . Let $T$ be the first return time to 0 after hitting 1, and ${L (T, x), x \in R}$ be the local time…

math.PR2014★ 1 cited

Variance reduction for diffusions

Chii-Ruey Hwang, Raoul Normand, Sheng-Jhih Wu

The most common way to sample from a probability distribution is to use Monte-Carlo methods. For distributions on a continuous state space, one can find diffusions with the target…

math.NA2013

Method of Successive Projections for Nonnegative Inverse Singular Value problems with Prescribed Structure

Sheng-Jhih Wu, Matthew M. Lin

The study of solving inverse singular value problems for nonnegative matrices has been around for decades. It is clear that an inverse singular problem is trivial if the desirable…