Results 11 to 20 of about 223,857 (311)
On time-inconsistent stopping problems and mixed strategy stopping times [PDF]
Stochastic Processes and their Applications, 2020 A game-theoretic framework for time-inconsistent stopping problems where the time-inconsistency is due to the consideration of a non-linear function of an expected reward is developed. A class of mixed strategy stopping times that allows the agents in the game to jointly choose the intensity function of a Cox process is introduced and motivated.
Christensen, Sören +1 more
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Stochastic Processes with Expected Stopping Time [PDF]
Logical Methods in Computer ScienceMarkov chains are the de facto finite-state model for stochastic dynamical systems, and Markov decision processes (MDPs) extend Markov chains by incorporating non-deterministic behaviors.
Krishnendu Chatterjee, Laurent Doyen
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Pathwise inequalities for local time : applications to skorokhod embeddings and optimal stopping [PDF]
, 2007 We develop a class of pathwise inequalities of the form H(B-t) >= M-t + F(L-t), where B-t is Brownian motion, L-t its local time at zero and M-t a local martingale.
Hobson, David (David G.) +9 more
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Vestnik Samarskogo Gosudarstvennogo Tehničeskogo Universiteta. Seriâ: Fiziko-Matematičeskie Nauki, 2019 The paper proposes a method for constructing models based on the analysis of birth and death processes with linear growth in semimartingale terms.
Aleksander Aleksandrovich Butov +1 more
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Entropy, 2019 In this paper, we consider the existence of local smooth solution to stochastic magneto-hydrodynamic equations without diffusion forced by additive noise in R 3 .
Zhaoyang Qiu, Yanbin Tang
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Methodology for determining the optimal parameters of a public transport stop point
Интеллект. Инновации. Инвестиции, 2022 The article describes a study to determine the optimal parameters of a public transport stop. One of the directions of state policy in the field of transport services for the population in cities is the development and priority of public transport ...
А. A. Fadyushin
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Finite Stopping Time and Finite Expected Stopping Time
Journal of the Royal Statistical Society Series B: Statistical Methodology, 1965 Summary Generalized sequential probability-ratio procedures are defined for dependent and non-identically distributed random variables. For these procedures, conditions are found implying that the stopping time is finite with probability 1 and the expected stopping time is finite. These results are applied to rank order problems.
Savage, I. R., Savage, L. J.
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Sequential point and interval estimation of scale parameter of exponential distribution
International Journal of Mathematics and Mathematical Sciences, 1995 Sequential fixed-width confidence intervals are obtained for the scale parameter σ when the location parameter θ of the negative exponential distribution is unknown.
Z. Govindarajulu
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Convergence of hitting times for jump-diffusion processes
Modern Stochastics: Theory and Applications, 2015 We investigate the convergence of hitting times for jump-diffusion processes. Specifically, we study a sequence of stochastic differential equations with jumps.
Georgiy Shevchenko
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A Characterization of Stopping Times
The Annals of Probability, 1994 The authors give two characterizations of stopping times via martingales and Markov processes. The first result is the following: Let \(({\mathcal F}_ t)\) be a filtration satisfying the usual hypotheses and \(R\) be an \({\mathcal F}_ \infty\) random variable, then \(R\) is an \(({\mathcal F}_ t)\) stopping time if and only if \(E(H\mid {\mathcal F}_ ...
Knight, Frank B., Maisonneuve, Bernard
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