Related papers: Multi-dimensional sequential testing and detection
The convex analytic method has proved to be a very versatile method for the study of infinite horizon average cost optimal stochastic control problems. In this paper, we revisit the convex analytic method and make three primary…
A new model for controlled sensing for multihypothesis testing is proposed and studied in the sequential setting. This new model, termed {\em controlled Markovian observation} model, exhibits a more complicated memory structure in the…
We show pathwise uniqueness of multiplicative SDEs, in arbitrary dimensions, driven by fractional Brownian motion with Hurst parameter $H\in (1/3,1)$ with volatility coefficient $\sigma$ that is at least $\gamma$-H\"older continuous for…
In this study, we explore the partial identification of nonseparable models with continuous endogenous and binary instrumental variables. We show that the structural function is partially identified when it is monotone or concave in the…
This work focuses on a specific classification problem, where the information about a sample is not readily available, but has to be acquired for a cost, and there is a per-sample budget. Inspired by real-world use-cases, we analyze average…
We consider the problem of optimizing a real-valued continuous function $f$ using a Bayesian approach, where the evaluations of $f$ are chosen sequentially by combining prior information about $f$, which is described by a random process…
We study a class of infinite-dimensional singular stochastic control problems with applications in economic theory and finance. The control process linearly affects an abstract evolution equation on a suitable partially-ordered…
For degenerate stochastic differential equations driven by fractional Brownian motions with Hurst parameter $H>1/2$, the derivative formulas are established by using Malliavin calculus and coupling method, respectively. Furthermore, we find…
The Lebesgue property (order-continuity) of a monotone convex function on a solid vector space of measurable functions is characterized in terms of (1) the weak inf-compactness of the conjugate function on the order-continuous dual space,…
In this paper we prove the existence of strong solutions to a SDE with a generalized drift driven by a multidimensional fractional Brownian motion for small Hurst parameters H<1/2. Here the generalized drift is given as the local time of…
In this paper, we study the geometric structure induced by the canonical reciprocal cost function and its natural $n$-dimensional extension. In logarithmic coordinates, the potential depends only on the linear combination $S=\alpha\cdot t$,…
We investigate the well-posedness of stochastic differential equations driven by fractional Brownian motion, focusing on the long-range dependent case $H \in (\frac{1}{2}, 1)$. While existing results on regularization by such noise…
We investigate the one-dimensional random assignment problem in the concave case, i.e., the assignment cost is a concave power function, with exponent $0<p<1$, of the distance between $n$ source and $n$ target points, that are i.i.d. random…
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…
Many complex systems generate multifractal time series which are long-range cross-correlated. Numerous methods have been proposed to characterize the multifractal nature of these long-range cross correlations. However, several important…
Using the multiple stochastic integrals we prove an existence and uniqueness result for a linear stochastic equation driven by the fractional Brownian motion with any Hurst parameter. We study both the one parameter and two parameter cases.…
In this work, a novel approach for the solution of the inverse conductivity problem from one and multiple boundary measurements has been developed on the basis of the implication of the framework of BV - functions. The space of the…
We study the problem of detecting a drift change of a Brownian motion under various extensions of the classical case. Specifically, we consider the case of a random post-change drift and examine monotonicity properties of the solution with…
To design Bayesian studies, criteria for the operating characteristics of posterior analyses - such as power and the type I error rate - are often assessed by estimating sampling distributions of posterior probabilities via simulation. In…
We propose a new approach to sequential testing which is an adaptive (on-line) extension of the (off-line) framework developed in [10]. It relies upon testing of pairs of hypotheses in the case where each hypothesis states that the vector…