Related papers: Online minimum search for a Brownian bridge
We calculate crossing probabilities and one-sided last exit time densities for a class of moving barriers on an interval $[0,T]$ via Schwartz distributions. We derive crossing probabilities and first hitting time densities for another class…
We present a simulation scheme for simulating Brownian bridges on complete and connected Lie groups. We show how this simulation scheme leads to absolute continuity of the Brownian bridge measure with respect to the guided process measure.…
Two alternative exact characterizations of the minimum error probability of Bayesian M-ary hypothesis testing are derived. The first expression corresponds to the error probability of an induced binary hypothesis test and implies the…
In the context of bounding probability of small deviation, there are limited general tools. However, such bounds have been widely applied in graph theory and inventory management. We introduce a common approach to substantially sharpen such…
Variational phase-field models of brittle fracture pose a local constrained minimization problem of a non-convex energy functional. In the discrete setting, the problem is most often solved by alternate minimization, exploiting the separate…
The {\it crossing number} of a graph $G$ is the minimum number of pairwise intersections of edges in a drawing of $G$. Motivated by the recent work [Faria, L., Figueiredo, C.M.H. de, Sykora, O., Vrt'o, I.: An improved upper bound on the…
The problem of detecting a change in the drift of a Brownian motion is considered. The change point is assumed to have a modified exponential prior distribution with unknown parameters. A worst-case analysis with respect to these parameters…
Spectral decomposition of the covariance operator is one of the main building blocks in the theory and applications of Gaussian processes. Unfortunately it is notoriously hard to derive in a closed form. In this paper we consider the…
Given a graph $G=(V,E)$, the minimum branch vertices problem consists in finding a spanning tree $T=(V,E')$ of $G$ minimizing the number of vertices with degree greater than two. We consider a simple combinatorial lower bound for the…
We construct a Bayesian sequential test of two simple hypotheses about the value of the unobservable drift coefficient of a Brownian motion, with a possibility to change the initial decision at subsequent moments of time for some penalty.…
Recent work of Pickett has given a construction of self-dual normal bases for extensions of finite fields, whenever they exist. In this article we present these results in an explicit and constructive manner and apply them, through computer…
We show how to find a minimum weight loop cutset in a Bayesian network with high probability. Finding such a loop cutset is the first step in the method of conditioning for inference. Our randomized algorithm for finding a loop cutset…
Given an undirected graph with edge costs and node weights, the minimum bisection problem asks for a partition of the nodes into two parts of equal weight such that the sum of edge costs between the parts is minimized. We give a polynomial…
The purpose of this note is to collect in one place a few results about simple random walk and Brownian motion which are often useful. These include standard results such as Beurling estimates, large deviation estimates, and a method for…
In this paper, we investigate two-sided bounds for the small ball probability of a mixed fractional Brownian motion with a general deterministic trend function, in terms of respective small ball probability of a mixed fractional Brownian…
The shortest path problem is among the most fundamental combinatorial optimization problems to answer reachability queries. It is hard to deter-mine which vertices or edges are visited during shortest path traversals. In this paper, we…
We prove an integration by parts formula for the probability measure induced by the semi-classical Riemmanian Brownian bridge over a manifold with a pole.
The Multimarginal Schr\"odinger Bridge (MSB) finds the optimal coupling among a collection of random vectors with known statistics and a known correlation structure. In the MSB formulation, this correlation structure is specified \emph{a…
In this paper we consider non-intersecting Brownian bridges, under fairly general upper and lower boundaries, and starting and ending data. Under the assumption that these boundary data induce a smooth limit shape (without empty facets), we…
Consider a real-valued branching random walk in the boundary case. Using the techniques developed by A\"id\'ekon and Shi [5], we give two integral tests which describe respectively the lower limits for the minimal position and the upper…