相关论文: Optimal Multistage Sampling in a Boundary-Crossing…

We consider a ranking and selection (R&S) problem with the goal to select a system with the largest or smallest expected performance measure among a number of simulated systems with a pre-specified probability of correct selection. Fully…

We formulate and solve a variant of the quickest detection problem which features false negatives. A standard Brownian motion acquires a drift at an independent exponential random time which is not directly observable. Based on the…

We consider a Brownian motion with linear drift that splits at fixed time points into a fixed number of branches, which may depend on the branching point. For this process, which we shall refer to as the Brownian decision tree, we…

Donsker's theorem shows that random walks behave like Brownian motion in an asymptotic sense. This result can be used to approximate expectations associated with the time and location of a random walk when it first crosses a nonlinear…

Given a survival distribution on the positive half-axis and a Brownian motion, a solution of the inverse first-passage problem consists of a boundary so that the first passage time over the boundary has the given distribution. We show that…

We present a new method to sample conditioned trajectories of a system evolving under Langevin dynamics, based on Brownian bridges. The trajectories are conditioned to end at a certain point (or in a certain region) in space. The bridge…

In this paper we study the stochastic control problem of partially observed (multi-dimensional) stochastic system driven by both Brownian motions and fractional Brownian motions. In the absence of the powerful tool of Girsanov…

We study the problem of Brownian motion in a multiscale potential. The potential is assumed to have N+1 scales (i.e. N small scales and one macroscale) and to depend periodically on all the small scales. We show that for nonseparable…

We solve the problem of optimal stopping of a Brownian motion subject to the constraint that the stopping time's distribution is a given measure consisting of finitely-many atoms. In particular, we show that this problem can be converted to…

Many natural systems exhibit phase transition where external environmental conditions spark a shift to a new and sometimes quite different state. Therefore, detecting the behavior of a stochastic dynamic system such as the most probable…

We determine the optimal performance of learning the orientation of the symmetry axis of a set of P = alpha N points that are uniformly distributed in all the directions but one on the N-dimensional sphere. The components along the symmetry…

We solve an optimal stopping problem where the underlying diffusion is Brownian motion on $\bf R$ with a positive drift changing at zero. It is assumed that the drift $\mu_1$ on the negative side is smaller than the drift $\mu_2$ on the…

Assuming that data are collected sequentially from independent streams, we consider the simultaneous testing of multiple binary hypotheses under two general setups; when the number of signals (correct alternatives) is known in advance, and…

The multiple disorder problem seeks to determine a sequence of stopping times which are as close as possible to the unknown times of disorders at which the observation process changes its probability characteristics. We derive closed form…

We study the maximum likelihood estimator of the drift parameters of a stochastic differential equation, with both drift and diffusion coefficients constant on the positive and negative axis, yet discontinuous at zero. This threshold…

Given a fixed-sample-size test that controls the error probabilities under two specific, but arbitrary, distributions, a 3-stage and two 4-stage tests are proposed and analyzed. For each of them, a novel, concrete, non-asymptotic,…

In this paper, we investigate the optimal control problem for systems driven by mixed fractional Brownian motion (including a fractional Brownian motion with Hurst parameter $H>1/2$ and the standard Brownian motion). By using Malliavin…

We address a general optimal switching problem over finite horizon for a stochastic system described by a differential equation driven by Brownian motion. The main novelty is the fact that we allow for infinitely many modes (or regimes,…

We derive P(M,t_m), the joint probability density of the maximum M and the time t_m at which this maximum is achieved for a class of constrained Brownian motions. In particular, we provide explicit results for excursions, meanders and…

We derive explicit formulas for probabilities of Brownian motion with jumps crossing linear or piecewise linear boundaries in any finite interval. We then use these formulas to approximate the boundary crossing probabilities for general…