相关论文: Optimal Multistage Sampling in a Boundary-Crossing…
In a Subgraph Problem we are given some graph and want to find a feasible subgraph that optimizes some measure. We consider Multistage Subgraph Problems (MSPs), where we are given a sequence of graph instances (stages) and are asked to find…
We consider the problem of an overdamped Brownian particle moving in multiscale potential with N + 1 characteristic length scales: the macroscale and N separated microscales. We show that the coarse-grained dynamics is given by an…
When a sensor has continuous measurements but sends limited messages over a data network to a supervisor which estimates the state, the available packet rate fixes the achievable quality of state estimation. When such rate limits turn…
We study a finite-dimensional continuous-time optimal control problem on finite horizon for a controlled diffusion driven by Brownian motion, in the linear-quadratic case. We admit stochastic coefficients, possibly depending on an…
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a stopping time to minimize the expectation of a convex terminal…
In this note we introduce and solve a soft classification version of the famous Bayesian sequential testing problem for a Brownian motion's drift. We establish that the value function is the unique non-trivial solution to a free boundary…
How to determine the vector of power supplies of a stochastic power system for the next short horizon, such that the probability is less than a prespecified value that any phase-angle difference of a power line of the power network exits…
In preliminary analysis of control charts, one may encounter multiple shifts and/or outliers especially with a large number of observations. The following paper addresses this problem. A statistical model for detecting and estimating…
We study a parabolic boundary control problem with one spatial dimension, control constraints of box type, and an objective function that measures the $L^2$-distance to a desired terminal state. It is shown that, for a certain choice of the…
The first-passage-time problem for a Brownian motion with alternating infinitesimal moments through a constant boundary is considered under the assumption that the time intervals between consecutive changes of these moments are described by…
In this paper, we develop a multistage approach for estimating the mean of a bounded variable. We first focus on the multistage estimation of a binomial parameter and then generalize the estimation methods to the case of general bounded…
The average current of an overdamped Brownian particle moving along the axis of a three-dimensional periodic tube is investigated in the presence of a symmetric potential and a temporally symmetric unbiased external force. Reduction of the…
Within the nonparametric diffusion model, we develop a multiple test to infer about similarity of an unknown drift $b$ to some reference drift $b_0$: At prescribed significance, we simultaneously identify those regions where violation from…
Motivated by an approximation problem from mathematical finance, we analyse the stability of the boundary crossing probability for the multivariate Brownian motion process, with respect to small changes of the boundary. Under broad…
In this paper, we study a linear-quadratic optimal control problem for mean-field stochastic differential equations driven by a Poisson random martingale measure and a multidimensional Brownian motion. Firstly, the existence and uniqueness…
In the transfer learning paradigm models learn useful representations (or features) during a data-rich pretraining stage, and then use the pretrained representation to improve model performance on data-scarce downstream tasks. In this work,…
The sequential multiple testing problem is considered under two generalized error metrics. Under the first one, the probability of at least $k$ mistakes, of any kind, is controlled. Under the second, the probabilities of at least $k_1$…
We study the problem of optimal inside control of a stochastic Volterra equation driven by a Brownian motion and a Poisson random measure. We prove a sufficient and a necessary maximum principle for the optimal control when the trader has…
A wide variety of real random composites can be studied by means of prototypes of multiphase microstructures with a controllable spatial inhomogeneity. To create them, we propose a versatile model of randomly overlapping super-spheres of a…
A solution to the optimal problem for determining vector fields which maximize (resp. minimize) the transition probabilities from one location to another for a class of reflecting diffusion processes is obtained in the present paper. The…