相关论文: Quickest detection of a hidden target and extremal…
This article explores an optimal stopping problem for branching diffusion processes. It consists in looking for optimal stopping lines, a type of stopping time that maintains the branching structure of the processes under analysis. By using…
A one-dimensional, continuous, regular, and strong Markov process $X$ with state space $E$ hits any point $z \in E$ fast with positive probability. To wit, if $\tau_z = \inf \{t \geq 0:X_{t} = z\}$, then $P_\xi({ \tau}_z<\varepsilon)>0$ for…
Considering a real-valued diffusion, a real-valued reward function and a positive discount rate, we provide an algorithm to solve the optimal stopping problem consisting in finding the optimal expected discounted reward and the optimal…
Let $\tau = (\tau_i : i \in {\Bbb Z})$ denote i.i.d.~positive random variables with common distribution $F$ and (conditional on $\tau$) let $X = (X_t : t\geq0, X_0=0)$, be a continuous-time simple symmetric random walk on ${\Bbb Z}$ with…
We provide, in a general setting, explicit solutions for optimal stopping problems that involve a diffusion process and its running maximum. Besides, a new feature includes absorbing boundaries that vary with the value of the running…
This note considers a variation of the full-information secretary problem where the random variables to be observed are independent and identically distributed. Consider $X_1,\dots,X_n$ to be an independent sequence of random variables, let…
In a classical problem for the stopping of a diffusion process $(X_t)_{t \geq 0}$, where the goal is to maximise the expected discounted value of a function of the stopped process ${\mathbb E}^x[e^{-\beta \tau}g(X_\tau)]$, maximisation…
Discrete diffusion models have emerged as a powerful generative modeling framework for discrete data with successful applications spanning from text generation to image synthesis. However, their deployment faces challenges due to the high…
A novel quickest detection setting is proposed which is a generalization of the well-known Bayesian change-point detection model. Suppose \{(X_i,Y_i)\}_{i\geq 1} is a sequence of pairs of random variables, and that S is a stopping time with…
In this paper, Bayesian quickest change detection problems with sampling right constraints are considered. Specifically, there is a sequence of random variables whose probability density function will change at an unknown time. The goal is…
We study the (weak) equilibrium problem arising from the problem of optimally stopping a one-dimensional diffusion subject to an expectation constraint on the time until stopping. The weak equilibrium problem is realized with a set of…
We consider the problem of quickest changepoint detection under the Average Run Length (ARL) constraint where the pre-change and post-change laws lie in composite families $\mathscr{P}$ and $\mathscr{Q}$ respectively. In such a problem, a…
Given two probability measures $\mu, \nu$ on $\mathbb{R}^d$, in subharmonic order, we describe optimal stopping times $\tau$ that maximize/minimize the cost functional $\mathbb{E} |B_0 - B_\tau|^{\alpha}$, $\alpha > 0$, where $(B_t)_t$ is…
Rapid detection of spatial events that propagate across a sensor network is of wide interest in many modern applications. In particular, in communications, radar, IoT, environmental monitoring, and biosurveillance, we may observe…
We consider the problem of optimal stopping for a one-dimensional diffusion process. Two classes of admissible stopping times are considered. The first class consists of all nonanticipating stopping times that take values in [0,\infty],…
Transient detection and flux measurement via image subtraction stand at the base of time domain astronomy. Due to the varying seeing conditions, the image subtraction process is non-trivial, and existing solutions suffer from a variety of…
Well-posedness and a number of qualitative properties for solutions to the Cauchy problem for the following nonlinear diffusion equation with a spatially inhomogeneous source $$ \partial_tu=\Delta u^m+|x|^{\sigma}u^p, $$ posed for…
This paper provides a full characterization of the value function and solution(s) of an optimal stopping problem for a one-dimensional diffusion with an integral criterion. The results hold under very weak assumptions, namely, the diffusion…
In this article, we study the classical finite-horizon optimal stopping problem for multidimensional diffusions through an approach that differs from what is typically found in the literature. More specifically, we first prove a key…
We propose a quickest change detection problem over sensor networks where both the subset of sensors undergoing a change and the local post-change distributions are unknown. Each sensor in the network observes a local discrete time random…