相关论文: Quickest Real-Time Detection of Multiple Brownian …
Consider the motion of a Brownian particle in two or more dimensions, whose coordinate processes are standard Brownian motions with zero drift initially, and then at some random/unobservable time, one of the coordinate processes gets a…
Consider the motion of a Brownian particle in three dimensions, whose two spatial coordinates are standard Brownian motions with zero drift, and the remaining (unknown) spatial coordinate is a standard Brownian motion with a non-zero drift.…
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…
In this paper we resolve an open problem proposed by Lai, Poor, Xin, and Georgiadis (2011, IEEE Transactions on Information Theory). Consider a sequence of Brownian Motions with unknown drift equal to one or zero, which we may be observed…
We construct a Bayesian sequential test of two simple hypotheses about the value of the unobservable drift coefficient of a Brownian motion, with a possibility to change the initial decision at subsequent moments of time for some penalty.…
Given a Wiener process with unknown and unobservable drift, we try to estimate this drift as effectively but also as quickly as possible, in the presence of a quadratic penalty for the estimation error and of a fixed, positive cost per unit…
In the classical quickest detection problem, one must detect as quickly as possible when a Brownian motion without drift "changes" into a Brownian motion with positive drift. The change occurs at an unknown "disorder" time with exponential…
We study a classical Bayesian statistics problem of sequentially testing the sign of the drift of an arithmetic Brownian motion with the $0$-$1$ loss function and a constant cost of observation per unit of time for general prior…
We study interacting systems of linear Brownian motions whose drift vector at every time point is determined by the relative ranks of the coordinate processes at that time. Our main objective has been to study the long range behavior of the…
The problem of detecting a change in the drift of a Brownian motion is considered. The change point is assumed to have a modified exponential prior distribution with unknown parameters. A worst-case analysis with respect to these parameters…
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…
Brownian motion has played important roles in many different fields of science since its origin was first explained by Albert Einstein in 1905. Einstein's theory of Brownian motion, however, is only applicable at long time scales. At short…
We obtain exact asymptotic results for the disorder averaged persistence of a Brownian particle moving in a biased Sinai landscape. We employ a new method that maps the problem of computing the persistence to the problem of finding the…
We study a system of reflected Brownian motions on the positive half-line in which each particle has a drift toward the origin determined by the local times at the origin of all the particles. If this local time drift is too strong, such…
Among all generalized Ornstein-Uhlenbeck processes which sample the same invariant measure and for which the same amount of randomness (a $N$-dimensional Brownian motion) is injected in the system, we prove that the asymptotic rate of…
We consider the quickest change-point detection problem where the aim is to detect the onset of a pre-specified drift in "live"-monitored standard Brownian motion; the change-point is assumed unknown (nonrandom). The object of interest is…
We construct a stochastic process whose drift is a function of the process's local time at a reflecting barrier. The process arose as a model of the interactions of a Brownian particle and an inert particle in (Knight, 2001). Interesting…
We consider an optimal control problem, where a Brownian motion with drift is sequentially observed, and the sign of the drift coefficient changes at jump times of a symmetric two-state Markov process. The Markov process itself is not…
We consider Langevin equation involving fractional Brownian motion with Hurst index $H\in(0,\frac12)$. Its solution is the fractional Ornstein-Uhlenbeck process and with unknown drift parameter $\theta$. We construct the estimator that is…
We derive the first-passage-time statistics of a Brownian motion driven by an exponential time-dependent drift up to a threshold. This process corresponds to the signal integration in a simple neuronal model supplemented with an…