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Characteristic function (convex analysis)

Known as: Characteristic function 
In the field of mathematics known as convex analysis, the characteristic function of a set is a convex function that indicates the membership (or non… Expand
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Papers overview

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Highly Cited
2008
Highly Cited
2008
Here we develop an option pricing method for European options based on the Fourier-cosine series and call it the COS method. The… Expand
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Highly Cited
2008
Highly Cited
2008
We study information-theoretic security for discrete memoryless interference and broadcast channels with independent confidential… Expand
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Highly Cited
2003
Highly Cited
2003
In this paper, we introduce linear and nonlinear consensus protocols for networks of dynamic agents that allow the agents to… Expand
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Highly Cited
2003
Highly Cited
2003
In this paper, we investigate the capacity distribution of spatially correlated, multiple-input-multiple-output (MIMO) channels… Expand
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Highly Cited
1999
Highly Cited
1999
This paper shows how the fast Fourier Transform may be used to value options when the characteristic function of the return is… Expand
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Highly Cited
1999
Highly Cited
1999
This paper proposes a methodology for the valuation of contingent securities. In particular, it establishes how the… Expand
Highly Cited
1995
Highly Cited
1995
1. Introduction 2. Analysis techniques for petri nets 3. S-systems and T-systems 4. Liveness in free choice 5. The coverability… Expand
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Highly Cited
1993
Highly Cited
1993
Abstract The paper deals with moment invariants, which are invariant under general affine transformation and may be used for… Expand
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Highly Cited
1992
Highly Cited
1992
Before we look at the MMD calculations in various cases, we prove the following useful characterization of MMD for translation… Expand
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Highly Cited
1977
Highly Cited
1977
  • R. Myerson
  • Math. Oper. Res.
  • 1977
  • Corpus ID: 207234898
Graph-theoretic ideas are used to analyze cooperation structures in games. Allocation rules, selecting a payoff for every… Expand