Related papers: Maximal Inequalities and Some Applications
In decision-making, maxitive functions are used for worst-case and best-case evaluations. Maxitivity gives rise to a rich structure that is well-studied in the context of the pointwise order. In this article, we investigate maxitivity with…
In this work, we reformulate the problem of existence of maximal elements for preference relations as a variational inequality problem in the sense of Stampacchia. Similarly, we establish the uniqueness of maximal elements using a…
Suprema of random processes appear naturally in a plethora of disciplines, and Talagrand's majorizing theorem yields a geometric interpretation for them: for a centered Gaussian random process $(X_t)_{t \in T},$ $\mathbb{E}[\sup_{t \in…
An algorithm for the unbiased simulation of continuous max-(resp.\ min-)id stochastic processes is developed. The algorithm only requires the simulation of finite Poisson random measures on the space of continuous functions and avoids the…
Maximum likelihood estimation is a fundamental optimization problem in statistics. We study this problem on manifolds of matrices with bounded rank. These represent mixtures of distributions of two independent discrete random variables. We…
A Dynkin game is considered for stochastic differential equations with random coefficients. We first apply Qiu and Tang's maximum principle for backward stochastic partial differential equations to generalize Krylov estimate for the…
This work provides data-processing and majorization inequalities for $f$-divergences, and it considers some of their applications to coding problems. This work also provides tight bounds on the R\'{e}nyi entropy of a function of a discrete…
In certain problems in a variety of applied probability settings (from probabilistic analysis of algorithms to statistical physics), the central requirement is to solve a recursive distributional equation of the form X =^d…
Let $X$ be a ball quasi-Banach function space on ${\mathbb R}^n$. In this article, assuming that the powered Hardy--Littlewood maximal operator satisfies some Fefferman--Stein vector-valued maximal inequality on $X$ and is bounded on the…
The paper addresses the problem of computing maximal conditional expected accumulated rewards until reaching a target state (briefly called maximal conditional expectations) in finite-state Markov decision processes where the condition is…
Markov decision processes (MDPs) are a popular model for performance analysis and optimization of stochastic systems. The parameters of stochastic behavior of MDPs are estimates from empirical observations of a system; their values are not…
This paper is concerned with the maximum principle of stochastic optimal control problems, where the coefficients of the state equation and the cost functional are uncertain, and the system is generally under Markovian regime switching.…
Let $(E, \| \cdot\|)$ be a Banach space such that, for some $q\geq 2$, the function $x\mapsto \|x\|^q$ is of $C^2$ class and its first and second Fr\'{e}chet derivatives are bounded by some constant multiples of $(q-1)$-th power of the norm…
Let $X(t),t\in \mathbb{R}$ be a stochastically continuous stationary max-stable process with Fr\'{e}chet marginals $\Phi_\alpha, \alpha>0$ and set $M_X(T)=\sup_{t \in [0,T]} X(t),T>0$. In the light of the seminal articles [1,2], it follows…
Suppose $X_1,X_2,...$ are i.i.d. nonnegative random variables with finite expectation, and for each $k$, $X_k$ is observed at the $k$-th arrival time $S_k$ of a Poisson process with unit rate which is independent of the sequence $\{X_k\}$.…
Let $G=(V,E)$ be a finite graph and $M_G$ be the centered Hardy-Littlewood maximal operator defined there. We find the optimal value $\bf{C}_{G,p}$ such that the inequality $$\text{Var}_{p}(M_{G}f)\leq {\textbf{C}}_{G,p}\text{Var}_{p}(f)$$…
Maximum entropy method is a constructive criterion for setting up a probability distribution maximally non-committal to missing information on the basis of partial knowledge, usually stated as constrains on expectation values of some…
For a general free L\'evy process, we prove the existence of its higher variation processes as limits in distribution, and identify the limits in terms of the L\'evy-It\^o representation of the original process. For a general free compound…
The Menchov-Rademacher inequality is an inequality in harmonic analysis that bounds the $L_2$ norm of a certain maximal operator. It was first established in order to prove almost everywhere convergence of a one-parameter series of…
A necessary maximum principle is proved for optimal controls of stochastic systems driven by multidimensional Teugel's martingales. The multidimensional Teugel's martingales are constructed by orthogonalizing the multidimensional L\'{e}vy…