Related papers: Integral representation of subharmonic functions a…

A Choquet-type integral representation result for non-negative subharmonic functions of a one-dimensional regular diffusion is established. The representation allows in particular an integral equation for strictly positive subharmonic…

We consider the representation of the value of an optimal stopping problem of a linear diffusion as an expected supremum of a known function. We establish an explicit integral representation of this function by utilizing the explicitly…

Considering a real-valued diffusion, a real-valued reward function and a positive discount rate, we provide an algorithm to solve the optimal stopping problem consisting in finding the optimal expected discounted reward and the optimal…

This paper provides a full characterization of the value function and solution(s) of an optimal stopping problem for a one-dimensional diffusion with an integral criterion. The results hold under very weak assumptions, namely, the diffusion…

We consider the representation of the value of a class of optimal stopping problems of linear diffusions in a linearized form as an expected supremum of a known function. We establish an explicit integral representation of this representing…

We consider a one-dimensional diffusion which solves a stochastic differential equation with Borel-measurable coefficients in an open interval. We allow for the endpoints to be inaccessible or absorbing. Given a Borel-measurable function…

Let $X$ be a one-dimensional diffusion and let $g\colon[0,T]\times\mathbb{R}\to\mathbb{R}$ be a payoff function depending on time and the value of $X$. The paper analyzes the inverse optimal stopping problem of finding a time-dependent…

This paper develops an approach for solving perpetual discounted optimal stopping problems for multidimensional diffusions, with special emphasis on the $d$-dimensional Wiener process. We first obtain some verification theorems for…

Let $E$ be a measurable subset in a segment $[0,r]$ in the positive part of the real axis in the complex plane, and $U=u-v$ be the difference of subharmonic functions $u\not\equiv -\infty$ and $v\not\equiv-\infty$ on the complex plane. An…

In this paper, we introduce a modification of the free boundary problem related to optimal stopping problems for diffusion processes. This modification allows the application of this PDE method in cases where the usual regularity…

We use the transfer matrix formulation of scattering theory in two-dimensions to treat the scattering problem for a potential of the form $v(x,y)=\zeta\,\delta(ax+by)g(bx-ay)$ where $\zeta,a$, and $b$ are constants, $\delta(x)$ is the Dirac…

This article studies an integral representation of functionals of linear growth on metric measure spaces with a doubling measure and a Poincar\'e inequality. Such a functional is defined through relaxation, and it defines a Radon measure on…

We consider random instances of non-convex perceptron problems in the high-dimensional limit of a large number of examples $M$ and weights $N$, with finite load $\alpha = M/N$. We develop a formalism based on replica theory to predict the…

Let $\mathbb C$ be the complex plane, $E$ be a measurable subset in a segment $[0, R]$ of the positive semiaxis $\mathbb R^+$, $u\not\equiv -\infty$ be a subharmonic function on $\mathbb C$. The main result of this article is an upper…

The most common way to sample from a probability distribution is to use Monte-Carlo methods. For distributions on a continuous state space, one can find diffusions with the target distribution as equilibrium measure, so that the state of…

We use nonstandard analysis to study the problem of expressing a Gaussian integral in terms of the limiting behavior of a sequence of spherical integrals. Peterson and Sengupta proved that if a Gaussian measure $\mu$ has full support on a…

This paper studies a machine learning regression problem as a multivariate approximation problem using the framework of the theory of random functions. An ab initio derivation of a regression method is proposed, starting from postulates of…

We point out that a proper use of the Hoeffding--ANOVA decomposition for symmetric statistics of finite urn sequences, previously introduced by the author, yields a decomposition of the space of square-integrable functionals of a…

We consider the optimal stopping problem consisting in, given a strong Markov process, a reward function and a discount rate, finding the stopping time such that the expected reward at the stopping time is maximum. The approach we follow,…

Consider the optimal stopping problem of a one-dimensional diffusion with positive discount. Based on Dynkin's characterization of the value as the minimal excessive majorant of the reward and considering its Riesz representation, we give…