Related papers: Difference prophet inequalities for [0,1]-valued i…

In the classical prophet inequality, a gambler faces a sequence of items, whose values are drawn independently from known distributions. Upon the arrival of each item, its value is realized and the gambler either accepts it and the game…

Let $\xi_1, \xi_2,\ldots$ be a sequence of independent and identically distributed random variables with zero mean, finite second moment and regularly varying right distribution tail. Motivated by a stop-loss insurance model, we consider a…

Let $K_n$ denote the number of distinct values among the first $n$ terms of an infinite exchangeable sequence of random variables $(X_1,X_2,\ldots)$. We prove for $n=3$ that the extreme points of the convex set of all possible laws of $K_3$…

Improving Importance Sampling estimators for rare event probabilities requires sharp approximations of conditional densities. This is achieved for events E_{n}:=(f(X_{1})+...+f(X_{n}))\inA_{n} where the summands are i.i.d. and E_{n} is a…

We give the description of the following model: $$ U_{n}=X_{n}(Y_{n}+U_{n-1})$$ for $n>1$ in the case where the $X_{n}$ are i.d.d. random variables with probability density: $$ A x^{A-1} , x \in [0,1] ,$$ $A$ is also a random variable…

We provide a systematic approach to deal with the following problem. Let $X_1,\ldots,X_n$ be, possibly dependent, $[0,1]$-valued random variables. What is a sharp upper bound on the probability that their sum is significantly larger than…

There are two major models of value uncertainty in the optimal stopping literature: the secretary model, which assumes no prior knowledge, and the prophet inequality model, which assumes full information about value distributions. In…

The prophet inequality is one of the cornerstone problems in optimal stopping theory and has become a crucial tool for designing sequential algorithms in Bayesian settings. In the i.i.d. $k$-selection prophet inequality problem, we…

In this paper we shall consider some famous means such as arithmetic, harmonic, geometric, root square mean, etc. Considering the difference of these means, we can establish. some inequalities among them. Interestingly, the difference of…

Let $\{X_i\}$ be a sequence of independent identically distributed random variables with an intermediate regularly varying (IR) right tail $\bar{F}$. Let $(N, C_1, ..., C_N)$ be a nonnegative random vector independent of the $\{X_i\}$ with…

This paper derives new bounds on the difference of the entropies of two discrete random variables in terms of the local and total variation distances between their probability mass functions. The derivation of the bounds relies on maximal…

For a random variable we can define a variational relationship with practical physical meaning as dI=dbar(x)-bar(dx), where I is called as uncertainty measurement. With the help of a generalized definition of expectation,…

This essay looks at decision-making with interval-valued probability measures. Existing decision methods have either supplemented expected utility methods with additional criteria of optimality, or have attempted to supplement the…

We prove several inequalities estimating the distance between volumes of two bodies in terms of the maximal or minimal difference between areas of sections or projections of these bodies. We also provide extensions in which volume is…

For a map of the unit interval with an indifferent fixed point, we prove an upper bound for the variance of all observables of $n$ variables $K:[0,1]^n\to\R$ which are componentwise Lipschitz. The proof is based on coupling and decay of…

It is known that there is a constant $c > 0$ such that for every sequence $x_1, x_2, \ldots$ in $[0,1)$ we have for the star discrepancy $D_N^*$ of the first $N$ elements of the sequence that $N D_N^* \ge c \cdot \log N$ holds for…

Measures of uncertainty and divergence are introduced for interval-valued probability distributions and are shown to have desirable mathematical properties. A maximum uncertainty inference procedure for marginal interval distributions is…

The probability that the sum of independent, centered, identically distributed, heavy-tailed random variables achieves a very large value is asymptotically equal to the probability that there exists a single summand equalling that value. We…

Let $(X_{i}, \mathcal{F}_{i})_{i\geq 1}$ be a sequence of supermartingale differences and let $S_k=\sum_{i=1}^k X_i$. We give an exponential moment condition under which $P(\max_{1\leq k \leq n} S_k \geq n)=O(\exp\{-C_1 n^{\alpha}\}),$…

The ratio $P(S_n=x)/P(Z_n=x)$ is investigated for three cases: (a) when $S_n$ is a sum of 1-dependent non-negative integer-valued random variables (rvs), satisfying some moment conditions, and $Z_n$ is Poisson rv; (b) when $S_n$ is a…