Related papers: A quickest detection problem with false negatives
A novel sequential change detection problem is proposed, in which the goal is to not only detect but also accelerate the change. Specifically, it is assumed that the sequentially collected observations are responses to treatments selected…
An unbiased shift of the two-sided Brownian motion $(B_t \colon t\in{\mathbb R})$ is a random time $T$ such that $(B_{T+t} \colon t\in{\mathbb R})$ is still a two-sided Brownian motion. Given a pair $\mu, \nu$ of orthogonal probability…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
The interdiction problem arises in a variety of areas including military logistics, infectious disease control, and counter-terrorism. In the typical formulation of network interdiction, the task of the interdictor is to find a set of edges…
This paper studies a problem of Bayesian parameter estimation for a sequence of scaled counting processes whose weak limit is a Brownian motion with an unknown drift. The main result of the paper is that the limit of the posterior…
We consider a sequential problem in decentralized detection. Two observers can make repeated noisy observations of a binary hypothesis on the state of the environment. At any time, any of the two observers can stop and send a final message…
In the quickest change detection problem in which both nuisance and critical changes may occur, the objective is to detect the critical change as quickly as possible without raising an alarm when either there is no change or a nuisance…
Existing drift detection methods focus on designing sensitive test statistics. They treat the detection threshold as a fixed hyperparameter, set once to balance false alarms and late detections, and applied uniformly across all datasets and…
We consider a reflected backward stochastic differential equations with default time and an optional barrier in a filtration generated by a one-dimensional Brownian motion and a defaultable process. We suppose that the barrier have…
A sensor network is considered where at each sensor a sequence of random variables is observed. At each time step, a processed version of the observations is transmitted from the sensors to a common node called the fusion center. At some…
We consider the problem of optimally stopping a Brownian bridge with an unknown pinning time so as to maximise the value of the process upon stopping. Adopting a Bayesian approach, we assume the stopper has a general continuous prior and is…
We introduce a notion of bounded variation solution for a new class of nonlinear control systems with ordinary and impulsive controls, in which the drift function depends not only on the state, but also on its past history, through a finite…
Given a spectrally negative L\'evy process, we predict, in a $L_1$ sense, the last passage time of the process below zero before an independent exponential time. This optimal prediction problem generalises Baurdoux and Pedraza (2020) where…
We consider the problem of optimal estimation of the value of a vector parameter $\thetavector=(\theta_0,\ldots,\theta_n)^{\top}$ of the drift term in a fractional Brownian motion represented by the finite sum…
Assuming that the stock price $Z=(Z_t)_{0\leq t\leq T}$ follows a geometric Brownian motion with drift $\mu\in\mathbb{R}$ and volatility $\sigma>0$, and letting $M_t=\max_{0\leq s\leq t}Z_s$ for $t\in[0,T]$, we consider the optimal…
We study the problem of stopping a Brownian motion at a given distribution $\nu$ while optimizing a reward function that depends on the (possibly randomized) stopping time and the Brownian motion. Our first result establishes that the set…
We consider the problem of efficient estimation for the drift of fractional Brownian motion $B^H:=(B^H_t)_{t\in[0,T]}$ with hurst parameter $H$ less than 1/2. We also construct superefficient James-Stein type estimators which dominate,…
In this paper, we consider a best action identification problem in the stochastic linear bandit setup with a fixed confident constraint. In the considered best action identification problem, instead of minimizing the accumulative regret as…
The classical problem of quickest change detection is studied with an additional constraint on the cost of observations used in the detection process. The change point is modeled as an unknown constant, and minimax formulations are proposed…
We formulate an optimal switching problem when the underlying filtration is generated by a marked point process and a Brownian motion. Each mode is characterized by a different compensator for the point process, and thus by a different…