Efficient Valuation of Equity-Indexed Annuities Under LLvy Processes Using Fourier-Cosine Series

2014 ◽  
Author(s):  
Geng Deng ◽  
Tim Dulaney ◽  
Craig J. McCann ◽  
Mike Yan
Keyword(s):  
Fourier Cosine ◽  
Cosine Series ◽  
Fourier Cosine Series

scholarly journals A Mode-Matching Solution for TE-Backscattering from an Arbitrary 2D Rectangular Groove in a PEC

2020 ◽  
Vol 20 (3) ◽  
pp. 159-163 ◽  
Author(s):  
Mehdi Bozorgi
Keyword(s):  
Singular Integrals ◽  
Logarithmic Singularity ◽  
Linear Equations ◽  
Mode Matching ◽  
Electric Conductor ◽  
Fourier Cosine ◽  
Cosine Series ◽  
Fourier Cosine Series ◽  
Highly Oscillatory Integrals ◽  
Rectangular Groove

In this paper, the simple yet effective mode-matching technique is utilized to compute TE-backscattering from a 2D filled rectangular groove in an infinite perfect electric conductor (PEC). The tangential magnetic fields inside and outside of the groove are represented as the sums of infinite series of cosine harmonics (half-range Fourier cosine series). By applying the continuity of the tangential magnetic field, these modes are matched on the groove to obtain the series coefficients by solving a system of linear equations. For this purpose, some oscillatory logarithmic singular integrals involving Hankel and trigonometric functions are solved numerically, starting by removing the logarithmic singularity via integration by parts. In the following, the new well-behaved highly oscillatory integrals are computed using efficient methods, and several comparisons are made to demonstrate the validity and ability of the presented procedure.

P2438Deep learning model for atrial fibrillation detection based on single beat morphology

2019 ◽  
Vol 40 (Supplement_1) ◽  
Author(s):  
S W E Baalman ◽  
F E Schroevers ◽  
A Oakley ◽  
L A Ramos ◽  
R R Lopes ◽  
...  
Keyword(s):  
Atrial Fibrillation ◽  
Deep Learning ◽  
Sinus Rhythm ◽  
Learning Model ◽  
Heart Beat ◽  
Fourier Cosine ◽  
Cosine Series ◽  
Specificity And Sensitivity ◽  
Fourier Cosine Series ◽  
Data Points

Abstract Background The electrocardiogram (ECG) is commonly used, but most recent rhythm discrimination algorithms still lack both specificity and sensitivity. Deep learning techniques have shown promising results in the classification of physiological signals like ECGs. Purpose To develop and test a deep learning (DL) model to discriminate between atrial fibrillation (AF) and sinus rhythm (SR). Methods For the development of the DL model we used 1499 ECGs sampled at 500 Hz of patients diagnosed with AF. All ECGs were labeled by two experienced investigators. Only ECGs labeled as SR or AF were included in the dataset. To simplify the learning process, solely the first ECG channel was used. The ECG waveforms were preprocessed using the Fourier cosine series to correct for baseline wander. Input data was generated by normalizing and scaling all different heartbeats by centralizing the R peak, leading to 15744 single heart beat samples of 80 data points (figure A). Multiple feedforward architectures were tested with different numbers of layers, filters and activation functions. The models were trained by equally splitting the data (50%SR, 50%AF) in a training (65%), validation (25%) and test set (15%). The best performing model was chosen based on the accuracy. Results A total of 1469 ECGs (1061 (72%)SR, 408 (28%)AF) were included. The model with the best performance was a feedforward model consisting three dense layers with ReLU activation and four dense layers with Linear activation. Training of the model was performed in 32 epochs. Validation of the model resulted in an accuracy of 96% (figure B), precision of 95% and recall of 96%. Conclusions The morphology based deep learning model developed in this study was able to discriminate atrial fibrillation from sinus rhythm with a fairly high accuracy using a limited size dataset and only one lead.

An Exact Series Solution for the Vibration of Mindlin Rectangular Plates with Elastically Restrained Edges

2013 ◽  
Vol 572 ◽  
pp. 489-493 ◽  
Author(s):  
Kai Xue ◽  
Jiu Fa Wang ◽  
Qiu Hong Li ◽  
Wei Yuan Wang ◽  
Ping Wang
Keyword(s):  
Series Solution ◽  
Rectangular Plates ◽  
Analysis Method ◽  
Original Function ◽  
Cross Sectional ◽  
Fourier Cosine ◽  
Cosine Series ◽  
Fourier Cosine Series ◽  
Elastically Restrained Edges ◽  
Elastically Restrained

An analysis method has been proposed for the vibration analysis of the Mindlin rectangular plates with general elastically boundary supports, in which the vibration displacements and the cross-sectional rotations of the mid-plane are sought as the linear combination of a double Fourier cosine series and auxiliary series functions. The use of these supplementary functions is to solve the potential discontinuity associated with the x-derivative and y-derivative of the original function along the four edges, so this method can be applied to get the exact solution. Finally the numerical results are presented to validate the correct of the method.

Stress and Deformation Fields Around a Cylindrical Cavity Embedded in a Pressure-Sensitive Elastoplastic Medium

1998 ◽  
Vol 65 (2) ◽  
pp. 374-379 ◽  
Author(s):  
I. D. R. Bradford ◽  
D. Durban
Keyword(s):  
Cylindrical Cavity ◽  
Coupled System ◽  
Small Strain ◽  
Cavity Surface ◽  
Radial Coordinate ◽  
Fourier Cosine ◽  
Cosine Series ◽  
Pressure Sensitive ◽  
Fourier Cosine Series ◽  
Stress And Deformation

The problem of an internally pressurized cylindrical cavity under remote nonequibiaxial compression is examined within the framework of small strain theory. The cavity is embedded in a medium with a pressure-sensitive elastoplastic, strain-hardening and nonassociative response. The stress and deformation fields around the cavity are derived using a Drucker-Prager type deformation theory under the assumption of plane strain. The symmetry conditions allow the solution to be expanded as a Fourier cosine series in the circumferential direction. The Fourier coefficients are functions of the radial coordinate and are governed by a coupled system of ordinary differential equations. Numerical examples illustrate the evolution of the elastoplastic interface, together with the variation in both the stress concentration factor and the displacements at the cavity surface, due to increasing remote load.

Reducing the near boundary errors of nonhomogeneous heat equations by boundary consistent methods

2020 ◽  
Author(s):  
Chein-Shan Liu ◽  
Chih-Wen Chang
Keyword(s):  
Heat Equations ◽  
Series Method ◽  
Sine Series ◽  
Fourier Cosine ◽  
Cosine Series ◽  
Fourier Sine ◽  
Fourier Cosine Series ◽  
Fourier Sine Series ◽  
Gibbs Phenomena ◽  
Nonhomogeneous Heat

Abstract In the paper, we point out a drawback of the Fourier sine series method to represent a given odd function, where the boundary Gibbs phenomena would occur when the boundary values of the function are non-zero. We modify the Fourier sine series method by considering the consistent conditions on the boundaries, which can improve the accuracy near the boundaries. The modifications are extended to the Fourier cosine series and the Fourier series. Then, novel boundary consistent methods are developed to solve the 1D and 2D heat equations. Numerical examples confirm the accuracy of the boundary consistent methods, accounting for the non-zeros of the source terms and considering the consistency of heat equations on the boundaries, which can not only overcome the near boundary errors but also improve the accuracy of solution about four orders in the entire domain, upon comparing to the conventional Fourier sine series method and Duhamel’s principle.

scholarly journals Estimating the Gerber-Shiu Function in Lévy Insurance Risk Model by Fourier-Cosine Series Expansion

Mathematics ◽  
2021 ◽  
Vol 9 (12) ◽  
pp. 1402
Author(s):  
Wen Su ◽  
Yunyun Wang
Keyword(s):  
Series Expansion ◽  
Risk Model ◽  
Insurance Risk ◽  
Transform Method ◽  
Fourier Cosine ◽  
Cosine Series ◽  
Surplus Process ◽  
Fourier Cosine Series ◽  
The Fourier Transform ◽  
Better Than

In this paper, we propose an estimator for the Gerber–Shiu function in a pure-jump Lévy risk model when the surplus process is observed at a high frequency. The estimator is constructed based on the Fourier–Cosine series expansion and its consistency property is thoroughly studied. Simulation examples reveal that our estimator performs better than the Fourier transform method estimator when the sample size is finite.

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