Related papers: One step futher: an explicit solution to Robbins' …

Solving optimal stopping problems by backward induction in high dimensions is often very complex since the computation of conditional expectations is required. Typically, such computations are based on regression, a method that suffers from…

In this paper we consider a method of solving optimal stopping problems in discrete and continuous time based on their dual representation. A novel and generic simulation-based optimization algorithm not involving nested simulations is…

In this paper we consider stopping problems with partial observation under a general risk-sensitive optimization criterion for problems with finite and infinite time horizon. Our aim is to maximize the certainty equivalent of the stopping…

In the uniformity testing task, an algorithm is provided with samples from an unknown probability distribution over a (known) finite domain, and must decide whether it is the uniform distribution, or, alternatively, if its total variation…

We use martingale and stochastic analysis techniques to study a continuous-time optimal stopping problem, in which the decision maker uses a dynamic convex risk measure to evaluate future rewards. We also find a saddle point for an…

Given $n+1$ unit vectors in $\mathbf{R}^n$ or $\mathbf{C}^n,$ consider the absolute values of the determinants of the vectors taken $n$ at a time. By taking a geometric perspective, we show that the minimum of these determinants is…

A Robin boundary-value problem with non-homogeneous differential operator, indefinite potential, and reaction defined only near zero is investigated. The existence of one or more nodal solutions is achieved by using truncation,…

Let $X$ be a random variable and define its concentration function by $$\mathcal{Q}_{h}(X)=\sup_{x\in \mathbb{R}}\mathbb{P}(X\in (x,x+h]).$$ For a sum $S_n=X_1+\cdots+X_n$ of independent real-valued random variables the Kolmogorov-Rogozin…

We formulate and solve a variant of the quickest detection problem which features false negatives. A standard Brownian motion acquires a drift at an independent exponential random time which is not directly observable. Based on the…

Let $X$ be a centered random variable with unit variance, zero third moment, and such that $E[X^4] \ge 3$. Let $\{F_n : n\geq 1\}$ denote a normalized sequence of homogeneous sums of fixed degree $d\geq 2$, built from independent copies of…

The compound decision problem for a vector of independent Poisson random variables with possibly different means has half a century old solution. However, it appears that the classical solution needs smoothing adjustment even when there are…

We give a new insight into the upper bounding of the 3-SAT threshold by the first moment method. The best criteria developed so far to select the solutions to be counted discriminate among neighboring solutions on the basis of uniform…

We study a fundamental stochastic selection problem involving $n$ independent random variables, each of which can be queried at some cost. Given a tolerance level $\delta$, the goal is to find a value that is $\delta$-approximately minimum…

We consider the variable selection problem in linear regression. Suppose that we have a set of random variables $X_1,...,X_m,Y,\epsilon$ such that $Y=\sum_{k\in \pi}\alpha_kX_k+\epsilon$ with $\pi\subseteq \{1,...,m\}$ and $\alpha_k\in…

The classical Erd\H{o}s-Littlewood-Offord problem concerns the random variable $X = a_1 \xi_1 + \dots + a_n \xi_n$, where $a_i \in \mathbb{R} \setminus \{0\}$ are fixed and $\xi_i \sim \text{Ber}(1/2)$ are independent. The…

In this paper, we develop a theoretical framework for nonlinear stochastic optimal control problems with optimal stopping by establishing a density-based deterministic representation of the underlying diffusion. For state-independent…

We first study an optimal stopping problem in which a player (an agent) uses a discrete stopping time in order to stop optimally a payoff process whose risk is evaluated by a (non-linear) $g$-expectation. We then consider a non-zero-sum…

We study solutions of a class of one-dimensional continuous reflected backward stochastic Volterra integral equations driven by Brownian motion, where the reflection keeps the solution above a given stochastic process (lower obstacle). We…

For n>1, let G(n)=\sigma(n)/(n log log n), where \sigma(n) is the sum of the divisors of n. We prove that the Riemann Hypothesis is true if and only if 4 is the only composite number N satisfying G(N) \ge \max(G(N/p),G(aN)), for all prime…

We study a new family of random variables, that each arise as the distribution of the maximum or minimum of a random number $N$ of i.i.d.~random variables $X_1,X_2,\ldots,X_N$, each distributed as a variable $X$ with support on $[0,1]$. The…