Related papers: Bayesian quickest detection problems for some diff…
We study a stochastic control problem for nonlinear systems governed by stochastic differential equations with irregular drift. The drift coefficient is assumed to decompose as $b(t,x,a)=b_1(t,x)+b_2(x)b_3(t,a)$, where $b_1$ is bounded and…
The online increasing subsequence problem is a stochastic optimisation task with the objective to maximise the expected length of subsequence chosen from a random series by means of a nonanticipating decision strategy. We study the…
Parameter estimation in diffusion processes from discrete observations up to a first-hitting time is clearly of practical relevance, but does not seem to have been studied so far. In neuroscience, many models for the membrane potential…
This paper investigates the robustness of stochastic optimal control for controlled regime switching diffusions. We consider systems driven by both continuous fluctuations and discrete regime changes, allowing for model misspecification in…
We addressed the problem of detecting the change in behavior of information diffusion from a small amount of observation data, where the behavior changes were assumed to be effectively reflected in changes in the diffusion parameter value.…
We introduce a notion of bounded variation solution for a new class of nonlinear control systems with ordinary and impulsive controls, in which the drift function depends not only on the state, but also on its past history, through a finite…
A sensor network is considered where at each sensor a sequence of random variables is observed. At each time step, a processed version of the observations is transmitted from the sensors to a common node called the fusion center. At some…
Changes, planned or unexpected, are common during the execution of real-life processes. Detecting these changes is a must for optimizing the performance of organizations running such processes. Most of the algorithms present in the…
Many industrial and security applications employ a suite of sensors for detecting abrupt changes in temporal behavior patterns. These abrupt changes typically manifest locally, rendering only a small subset of sensors informative.…
We consider a class of stochastic control problems which has been widely used in optimal foraging theory. The state processes have two distinct dynamics, characterized by two pairs of drift and diffusion coefficients, depending on whether…
The identification of environmental changes is crucial in many fields. The present research is aimed at investigating the optimal performance for detecting change points in a quantum system when its Hamiltonian suddenly changes at a…
When recording the movement of individual animals, cells or molecules one will often observe changes in their diffusive behaviour at certain points in time along their trajectory. In order to capture the different diffusive modes assembled…
The problem of clock offset estimation in a two way timing message exchange regime is considered when the likelihood function of the observation time stamps is Gaussian, exponential or log-normally distributed. A parametrized solution to…
This paper derives an optimal control strategy for a simple stochastic dynamical system with constant drift and an additive control input. Motivated by the example of a physical system with an unexpected change in its dynamics, we take the…
The impulse response of a flame to acoustic velocity perturbations is a key quantity for predicting thermoacoustic stability, but its identification from sparse, noisy observations requires solving an ill-posed inverse convolution problem.…
The problem of detection time distribution concerns a quantum particle surrounded by detectors and consists of computing the probability distribution of where and when the particle will be detected. While the correct answer can be obtained…
We propose a new statistical observation scheme of diffusion processes named convolutional observation, where it is possible to deal with smoother observation than ordinary diffusion processes by considering convolution of diffusion…
Since the work of Page in the 1950s, the problem of detecting an abrupt change in the distribution of stochastic processes has received a great deal of attention. In particular, a deep connection has been established between Lorden's…
We study the optimal dividend problem for a firm's manager who has partial information on the profitability of the firm. The problem is formulated as one of singular stochastic control with partial information on the drift of the underlying…
We study the problem of estimating the mode and maximum of an unknown regression function in the presence of noise. We adopt the Bayesian approach by using tensor-product B-splines and endowing the coefficients with Gaussian priors. In the…