相关论文: Stopping times are hitting times: a natural repres…

Two nested classes of discrete-time linear time-invariant systems, which differ by the set of periodic signals that they leave invariant, are studied. The first class preserves the property of periodic monotonicity (period-wise…

We consider simple random walk on a realization of an Erd\H{o}s-R\'enyi graph that is asymptotically almost surely (a.a.s.) connected. We show a Central Limit Theorem (CLT) for the average starting hitting time, i.e. the expected time it…

While entropy changes are the usual subject of fluctuation theorems, we seek fluctuation relations involving time-symmetric quantities, namely observables that do not change sign if the trajectories are observed backward in time. We find…

We use martingale and stochastic analysis techniques to study a continuous-time optimal stopping problem, in which the decision maker uses a dynamic convex risk measure to evaluate future rewards. We also find a saddle point for an…

Many researchers have investigated first hitting times as models for survival data. First hitting times arise naturally in many types of stochastic processes, ranging from Wiener processes to Markov chains. In a survival context, the state…

We consider the optimal double stopping time problem defined for each stopping time $S$ by $v(S)=\esssup\{E[\psi(\tau_1, \tau_2) | \F_S], \tau_1, \tau_2 \geq S \}$. Following the optimal one stopping time problem, we study the existence of…

We consider the game-theoretic approach to time-inconsistent stopping of a one-dimensional diffusion where the time-inconsistency is due to the presence of a non-exponential (weighted) discount function. In particular, we study (weak)…

The most important notations of Communicating Sequential Process(CSP) are the process and the prefix (event)$\rightarrow$(process) operator. While we can formally apply the $\rightarrow$ operator to define a live process's behavior, the…

We consider the time-varying actuator placement in continuous time, where the goal is to maximize the trace of the controllability Grammian. A natural relaxation of the problem is to allow the binary $\{0,1\}$ variable indicating whether an…

We consider the symmetric exclusion process {\eta_t,t>0} on {0,1}^{Z^d}. We fix a pattern A:={\eta:\sum_{\Lambda}\eta(i)\ge k}, where \Lambda is a finite subset of Z^d and k is an integer, and we consider the problem of establishing sharp…

We consider stochastic dynamical systems defined by differential equations with a uniform random time delay. The latter equations are shown to be equivalent to deterministic higher-order differential equations: for an $n$-th order equation…

Civilization maintains an elaborate infrastructure devoted to the maintenance of synchronized time. Governments mandate daylight saving time. Standards bodies insert leap seconds into Coordinated Universal Time. Engineers debate leap…

We consider a wide class of increasing L\'evy processes perturbed by an independent Brownian motion as a degradation model. Such family contains almost all classical degradation models considered in the literature. Classically failure time…

We introduce a new formulation of reflected BSDEs and doubly reflected BSDEs associated with irregular obstacles. In the first part of the paper, we consider an extension of the classical optimal stopping problem over a larger set of…

We prove an explicit formula of hitting times in terms of enumerations of spanning trees for random walks on general connected graphs. We apply the formula to improve Lawler's bound of hitting times for general graphs, prove a sharp bound…

We study sequential interval scheduling when task start and end times are random. The set of tasks and their weights are known in advance, while each task's start and end times are drawn from known discrete distributions and revealed only…

When gas molecules bind to a surface they may do so in such a way that the adsorption of one molecule inhibits the arrival of others. We consider random sequential adsorption in which the empty sites of a graph are irreversibly occupied in…

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…

This paper studies a central planner's decision making on behalf of a group of members with diverse discount rates. In the context of optimal stopping, we work with an aggregation preference to incorporate all discount rates via an attitude…

he starting process with countable number of types \mu(t) generates a stopped branching process \xi(t). The starting process stops, by falling into the nonempty set S. It is assumed, that the starting process is subcritical, indecomposable…