Related papers: New Optional Stopping Theorems and Maximal Inequal…
We generalise the martingale-coboundary representation of discrete time stochastic processes to the non-stationary case and to random variables in Orlicz spaces. Related limit theorems (CLT, invariance principle, log log law, probabilities…
In a classical optimal stopping problem in continuous time, the agent can choose any stopping time without constraint. Dupuis and Wang (Optimal stopping with random intervention times, Advances in Applied Probability, 34, 141--157, 2002)…
We review several competing chaining methods to estimate the supremum, the diameter of the range or the modulus of continuity of a stochastic process in terms of tail bounds of their two-dimensional distributions. Then we show how they can…
We study almost sure limiting behavior of extreme and intermediate order statistics arising from strictly stationary sequences. First, we provide sufficient dependence conditions under which these order statistics converges almost surely to…
Optimal stopping is the problem of deciding when to stop a stochastic system to obtain the greatest reward, arising in numerous application areas such as finance, healthcare and marketing. State-of-the-art methods for high-dimensional…
We establish limit theorems for re-scaled occupation time fluctuations of a sequence of branching particle systems in $\R^d$ with anisotropic space motion and weakly degenerate splitting ability. In the case of large dimensions, our limit…
Two concepts of random stopping times in continuous time have been defined in the literature, mixed stopping times and randomized stopping times. We show that under weak conditions these two concepts are equivalent, and, in fact, that all…
We consider a control problem constrained by the unsteady stochastic Stokes equations with nonhomogeneous boundary conditions in connected and bounded domains. In this paper, controls are defined inside the domain as well as on the…
We study a problem when a solution to optimal stopping problem for one-dimensional diffusion will generate by threshold strategy. Namely, we give necessary and sufficient conditions under which an optimal stopping time can be specified as…
Temporal logics over finite traces have recently seen wide application in a number of areas, from business process modelling, monitoring, and mining to planning and decision making. However, real-life dynamic systems contain a degree of…
In this thesis, we provide an initial investigation into bounds for topological entropy of switched linear systems. Entropy measures, roughly, the information needed to describe the behavior of a system with finite precision on finite time…
Under certain mild conditions, limit theorems for additive functionals of some $d$-dimensional self-similar Gaussian processes are obtained. These limit theorems work for general Gaussian processes including fractional Brownian motions,…
In this paper we derive the equations of motion for nonholonomic systems subject to inequality constraints, both, in continuous-time and discrete-time. The last is done by discretizing the continuous time-variational principle which defined…
We investigate the existence of bounded-memory consistent estimators of various statistical functionals. This question is resolved in the negative in a rather strong sense. We propose various bounded-memory approximations, using techniques…
We derive a functional limit theorem for the partial maxima process based on a long memory stationary $\alpha$-stable process. The length of memory in the stable process is parameterized by a certain ergodic-theoretical parameter in an…
In this paper we establish spatial central limit theorems for a large class of supercritical branching Markov processes with general spatial-dependent branching mechanisms. These are generalizations of the spatial central limit theorems…
We consider a class of discretionary stopping problems within the $G$-framework. We first establish the well-definedness of the stopping problem under the $G$-expectation, by showing the quasi-continuity of the stopped process. We then…
We derive universal thermodynamic inequalities that bound from below the moments of first-passage times of stochastic currents in nonequilibrium stationary states of Markov jump processes in the limit where the thresholds that define the…
For any quantity of interest in a system governed by ordinary differential equations, it is natural to seek the largest (or smallest) long-time average among solution trajectories, as well as the extremal trajectories themselves. Upper…
We propose a new method for solving optimal stopping problems (such as American option pricing in finance) under minimal assumptions on the underlying stochastic process $X$. We consider classic and randomized stopping times represented by…