Related papers: Convergence of values in optimal stopping

We show that if either the process is strong Feller and the boundary point is probabilistically regular for the stopping set, or the process is strong Markov and the boundary point is probabilistically regular for the interior of the…

We study optimal transport for stationary stochastic processes taking values in finite spaces. In order to reflect the stationarity of the underlying processes, we restrict attention to stationary couplings, also known as joinings. The…

In this note, with the help of the boundary classification of diffusions, we derive a criterion of the convergence of perpetual integral functionals of transient real-valued diffusions. In the particular case of transient Bessel processes,…

The idea of a parsing of a stationary process according to a collection of words is introduced, and the basic framework required for the asymptotic analysis of these parsings is presented. We demonstrate how the pointwise ergodic theorem…

We establish new quantitative estimates for general systems of functions with wavelet-type dyadic structure. These estimates are applied to obtain the optimal growth of various types of Weyl multipliers for certain wavelet-type systems.…

For linear processes with independent identically distributed innovations that are regularly varying with tail index $\alpha \in (0, 2)$, we study functional convergence of the joint partial sum and partial maxima processes. We derive a…

Consider a filtering process associated to a hidden Markov model with densities for which both the state space and the observation space are complete, separable, metric spaces. If the underlying, hidden Markov chain is strongly ergodic and…

In this paper we derive a technique of obtaining limit theorems for suprema of L\'evy processes from their random walk counterparts. For each $a>0$, let $\{Y^{(a)}_n:n\ge 1\}$ be a sequence of independent and identically distributed random…

This letter investigates the convergence and concentration properties of the Stochastic Mirror Descent (SMD) algorithm utilizing biased stochastic subgradients. We establish the almost sure convergence of the algorithm's iterates under the…

This paper deals with the problem of estimating the delays and amplitudes of a weighted superposition of pulses, called stream of pulses. This problem is motivated by a variety of applications, such as ultrasound and radar. This paper shows…

We study convergence and stability properties of control-affine systems. Our considerations are motivated by the problem of stabilizing a control-affine system by means of output feedback for states in which the output function attains an…

We prove a generalization of Graham's Conjecture for optimal pebbling with arbitrary sets of target distributions. We provide bounds on optimal pebbling numbers of products of complete graphs and explicitly find optimal $t$-pebbling numbers…

In this paper, we prove a theorem on the rate of convergence for the optimal cost computed using PS methods. It is a first proved convergence rate in the literature of PS optimal control. In addition to the high-order convergence rate, two…

The problem of constrained Markov decision process is considered. An agent aims to maximize the expected accumulated discounted reward subject to multiple constraints on its costs (the number of constraints is relatively small). A new dual…

We prove non asymptotic linear convergence rates for the constrained Anderson acceleration extrapolation scheme. These guarantees come from new upper bounds on the constrained Chebyshev problem, which consists in minimizing the maximum…

Filtered probability spaces (called "filtrations" for short) are shown to satisfy such a topological zero-one law: for every property of filtrations, either the property holds for almost all filtrations, or its negation does. In particular,…

Approximate computing is an effective computing paradigm for improving the energy efficiency of error-tolerant applications. Approximate logic synthesis (ALS) is an automatic process to generate approximate circuits with reduced area,…

We prove that the maximum degree $\Delta_n$ of a random series-parallel graph with $n$ vertices satisfies $\Delta_n/\log n \to c$ in probability, and $\mathbb{E}\, \Delta_n \sim c \log n$ for a computable constant $c>0$. The same result…

Bruss's odds theorem \cite{Bruss1} addresses the problem of determining the optimal stopping time for sequences of independent indicator functions. In this note, we derive upper and lower bounds for the success probability under the optimal…

In this paper we consider stochastic optimization problems for an ambiguity averse decision maker who is uncertain about the parameters of the underlying process. In a first part we consider problems of optimal stopping under drift…