Related papers: Convergence of values in optimal stopping

For an infinite-horizon continuous-time optimal stopping problem under non-exponential discounting, we look for an optimal equilibrium, which generates larger values than any other equilibrium does on the entire state space. When the…

For a functional $\E$ and a peak selection that picks up a global maximum of $\E$ on varying cones, we study the convergence up to a subsequence to a critical point of the sequence generated by a mountain pass type algorithm. Moreover, by…

We provide sufficient conditions for polynomial rate of convergence in the weak law of large numbers for supercritical general indecomposable multi-type branching processes. The main result is derived by investigating the embedded…

We obtain an optimal bound for a Gaussian approximation of a large class of vector-valued random processes. Our results provide a substantial generalization of earlier results that assume independence and/or stationarity. Based on the decay…

Positively (resp. negatively) associated point processes are a class of point processes that induce attraction (resp. inhibition) between the points. As an important example, determinantal point processes (DPPs) are negatively associated.…

We give bounds on the rate of convergence to equilibrium of the symmetric simple exclusion process in $\Z^d$. Our results include the existent results in the literature. We get better bounds and larger class of initial states via a unified…

Optimal transportation distances are valuable for comparing and analyzing probability distributions, but larger-scale computational techniques for the theoretically favorable quadratic case are limited to smooth domains or regularized…

The aim of this note is to study the convergence in capacity for functions in the class $\mathcal E(X,\omega)$. We obtain several stability theorems. Some of these are (optimal) generalizations of results of Xing, while others are new.

The clustering of integers with equal total stopping times has long been observed in the 3x + 1 Problem, and a number of elementary results about it have been used repeatedly in the literature. In this paper we introduce a simple…

In the same spirit as Tsybakov (2003), we define the optimality of an aggregation procedure in the problem of classification. Using an aggregate with exponential weights, we obtain an optimal rate of convex aggregation for the hinge risk…

We study the optimal stopping time problem $v(S)={\rm ess}\sup_{\theta \geq S} E[\phi(\theta)|\mathcal {F}_S]$, for any stopping time $S$, where the reward is given by a family $(\phi(\theta),\theta\in\mathcal{T}_0)$ \emph{of non negative…

Adaptive optimal control using value iteration (VI) initiated from a stabilizing policy is theoretically analyzed in various aspects including the continuity of the result, the stability of the system operated using any single/constant…

We established the rate of convergence in the central limit theorem for stopped sums of a class of martingale difference sequences.

We show, under weaker assumptions than in the previous literature, that a perpetual optimal stopping game always has a value. We also show that there exists an optimal stopping time for the seller, but not necessarily for the buyer.…

We study a new optimal stopping problem: Let $G$ be a fixed graph with $n$ vertices which become active on-line in time, one by another, in a random order. The active part of $G$ is the subgraph induced by the active vertices. Find a…

Through a straightforward Bayesian approach we show that under some general conditions a maximum running time, namely the number of discrete steps performed by a computer program during its execution, can be defined such that the…

Given a super-critical branching random walk on $\mathbb R$ started from the origin, let $M_n$ be the maximal position of individuals at the $n$-th generation. Under some mild conditions, it is known from \cite{A13} that as…

Let $\{X_i(t),t\ge0\}, 1\le i\le n$ be independent copies of a stationary process $\{X(t), t\ge0\}$. For given positive constants $u,T$, define the set of $r$th conjunctions $ C_{r,T,u}:= \{t\in [0,T]: X_{r:n}(t) > u\}$ with $X_{r:n}(t)$…

We consider again the fast-slow motions setups in the continuous time $\frac {dX_N(t)}{dt}=N^{1/2} \sig(X_N(t))(\xi(tN))+b(X_N(t)),\, t\in [0,T]$ and the discrete time $X_N((n+1)/N)=X_N(n/N)+N^{-1/2}\sig(X_N(n/N))\xi(n)+N^{-1}b(X_N(n/N)),\,…

This article gives an overview of the developments in controlled diffusion processes, emphasizing key results regarding existence of optimal controls and their characterization via dynamic programming for a variety of cost criteria and…