Related papers: Temporal and Spatial Turnpike-Type Results Under F…
This article establishes sufficient conditions for a linear-in-time bound on the non-asymptotic variance of particle approximations of time-homogeneous Feynman-Kac formulae. These formulae appear in a wide variety of applications including…
We derive general bounds on the probability that the empirical first-passage time $\overline{\tau}_n\equiv \sum_{i=1}^n\tau_i/n$ of a reversible ergodic Markov process inferred from a sample of $n$ independent realizations deviates from the…
We discuss importance sampling of exit problems that involve unbounded stopping times; examples are mean first passage times, transition rates or committor probabilities in molecular dynamics. The naive application of variance minimization…
Nonparametric regression problems with qualitative constraints such as monotonicity or convexity are ubiquitous in applications. For example, in predicting the yield of a factory in terms of the number of labor hours, the monotonicity of…
Central limit theorems are established for the sum, over a spatial region, of observations from a linear process on a $d$-dimensional lattice. This region need not be rectangular, but can be irregularly-shaped. Separate results are…
Competing risks data with discrete lifetime comes up in practice. However, only limited literature exists for such data. In this paper, we propose a non-parametric test based on U-statistics for testing independence of time to failure and…
In this paper, we study the turnpike property in age structured population dynamics with birth control. These models describe the temporal evolution of one or more populations, incorporating age dependence and spatial structure. To this…
We tackle the problem of trajectory planning in an environment comprised of a set of obstacles with uncertain time-varying locations. The uncertainties are modeled using widely accepted Gaussian distributions, resulting in a…
This article studies tail behavior for the error components in the stochastic frontier model, where one component has bounded support on one side, and the other has unbounded support on both sides. Under weak assumptions on the error…
In this paper we aim to address two questions faced by a long-term investor with a power-type utility at high levels of wealth: one is whether the turnpike property still holds for a general utility that is not necessarily differentiable or…
We study the limitations for defining spatial and temporal intervals when the only available reference frame is a single composite quantum system, whose internal degrees of freedom serve as a temporal reference, a clock, and whose center of…
We consider the time-dependent Navier-Stokes equations in a half-space with boundary data on the line $(x,y)=(x_0,y)$ assumed to be time-periodic (or stationary) with a fixed asymptotic velocity ${\bf u}_{\infty}=(1,0)$ at infinity. We show…
This work provides a novel convergence analysis for stochastic optimization in terms of stopping times, addressing the practical reality that algorithms are often terminated adaptively based on observed progress. Unlike prior approaches,…
The new notion of maturity-independent risk measures is introduced and contrasted with the existing risk measurement concepts. It is shown, by means of two examples, one set on a finite probability space and the other in a diffusion…
Turnpike theorems state that if an investor's utility is asymptotically equivalent to a power utility, then the optimal investment strategy converges to the CRRA strategy as the investment horizon tends to infinity. This paper aims to…
Recently, there has been a growing interest in developing inventory control policies which are robust to model misspecification. One approach is to posit that nature selects a worst-case distribution for any stochastic primitives from some…
In this work we give a comprehensive overview of the time consistency property of dynamic risk and performance measures, focusing on a the discrete time setup. The two key operational concepts used throughout are the notion of the…
Two approaches to time consistency of risk averse multistage stochastic problems were discussed in the recent literature. In one approach certain properties of the cor-responding risk measure are postulated which imply its decomposability.…
This paper showcases the effectiveness of the quasiconvexity property in addressing the optimal regularity of the temporal derivative and establishes conditions for its continuity in nonlocal time-dependent obstacle problems.
We present for the first time an asymptotic convergence analysis of two time-scale stochastic approximation driven by "controlled" Markov noise. In particular, the faster and slower recursions have non-additive controlled Markov noise…