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The Chernoff bound is a well-known tool for obtaining a high probability bound on the expectation of a Bernoulli random variable in terms of its sample average. This bound is commonly used in statistical learning theory to upper bound the…
A class of stochastic optimal control problems involving optimal stopping is considered. Methods of Krylov are adapted to investigate the numerical solutions of the corresponding normalized Bellman equations and to estimate the rate of…
The aim of this paper is to present a result of discrete approximation of some class of stable self-similar stationary increments processes. The properties of such processes were intensively investigated, but little is known on the context…
We introduce a consistent estimator of the extreme value index under random truncation based on a single sample fraction of top observations from truncated and truncation data. We establish the asymptotic normality of the proposed estimator…
In this note, we introduce a general version of the well-known elliptical potential lemma that is a widely used technique in the analysis of algorithms in sequential learning and decision-making problems. We consider a stochastic linear…
We consider optimal stopping problems for a Brownian motion and a geometric Brownian motion with a "disorder", assuming that the moment of a disorder is uniformly distributed on a finite interval. Optimal stopping rules are found as the…
This paper investigates the problem of generalized linear bandits with heavy-tailed rewards, whose $(1+\epsilon)$-th moment is bounded for some $\epsilon\in (0,1]$. Although there exist methods for generalized linear bandits, most of them…
Regularization by the Shannon entropy enables us to efficiently and approximately solve optimal transport problems on a finite set. This paper is concerned with regularized optimal transport problems via Bregman divergence. We introduce the…
We consider kernel smoothed Grenander-type estimators for a monotone hazard rate and a monotone density in the presence of randomly right censored data. We show that they converge at rate $n^{2/5}$ and that the limit distribution at a fixed…
The sub-Gaussian stable distribution is a heavy-tailed elliptically contoured law which has interesting applications in signal processing and financial mathematics. This work addresses the problem of feasible estimation of distributions. We…
The article starts with generalizations of some classical results and new truncation error upper bounds in the sampling theorem for bandlimited stochastic processes. Then, it investigates $L_p([0,T])$ and uniform approximations of…
For a wide class of monotonic functions $f$, we develop a Chernoff-style concentration inequality for quadratic forms $Q_f \sim \sum\limits_{i=1}^n f(\eta_i) (Z_i + \delta_i)^2$, where $Z_i \sim N(0,1)$. The inequality is expressed in terms…
In mathematical finance, Levy processes are widely used for their ability to model both continuous variation and abrupt, discontinuous jumps. These jumps are practically relevant, so reliable inference on the feature that controls jump…
We investigate the stability of equilibrium-induced optimal values with respect to (w.r.t.) reward functions $f$ and transition kernels $Q$ for time-inconsistent stopping problems under nonexponential discounting in discrete time. First,…
Youden's index cutoff is a classifier mapping a patient's diagnostic test outcome and available covariate information to a diagnostic category. Typically the cutoff is estimated indirectly by first modeling the conditional distributions of…
We obtain the first probabilistic proof of continuous differentiability of time-dependent optimal boundaries in optimal stopping problems. The underlying stochastic dynamics is a one-dimensional, time-inhomogeneous diffusion. The gain…
In this paper, we develop a general theory of truncated inverse binomial sampling. In this theory, the fixed-size sampling and inverse binomial sampling are accommodated as special cases. In particular, the classical Chernoff-Hoeffding…
We consider optimal stopping problems with finite-time horizon and state-dependent discounting. The underlying process is a one-dimensional linear diffusion and the gain function is time-homogeneous and difference of two convex functions.…
The trade-off between the cost of acquiring and processing data, and uncertainty due to a lack of data is fundamental in machine learning. A basic instance of this trade-off is the problem of deciding when to make noisy and costly…
In this paper we extend Stein's method to the distribution of the product of $n$ independent mean zero normal random variables. A Stein equation is obtained for this class of distributions, which reduces to the classical normal Stein…