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pro vyhledávání: '"Lester E. Dubins"'
This classic of advanced statistics is geared toward graduate-level readers and uses the concepts of gambling to develop important ideas in probability theory. The authors have distilled the essence of many years'research into a dozen concise chapter
Publikováno v:
Theory of Probability & Its Applications. 38:226-261
We consider, for Bessel processes $X \in {\operatorname{Bes}}^\alpha (x)$ with arbitrary order (dimension) $\alpha \in {\bf R}$, the problem of the optimal stopping (1.4) for which the gain is determined by the value of the maximum of the process X a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9879adb6791bfe01c238ba581df1928a
https://doi.org/10.1137/1138024
https://doi.org/10.1137/1138024
Publikováno v:
Ann. Probab. 37, no. 1 (2009), 393-402
Dedicated to the memory of Gideon Schwarz (1933-2007) It is shown that the ratio between the expected diameter of an L2-bounded martingale and the standard deviation of its last term cannot exceed p 3. Moreover, a one-parameter family of stopping tim
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https://projecteuclid.org/euclid.aop/1234881694
https://projecteuclid.org/euclid.aop/1234881694
Autor:
Lester E. Dubins
Publikováno v:
Journal of Mathematical Economics. 20:461-464
A decision problem, as described in Dubins (1977), is an ordered pair of sets G, D, where G can be thought of as a group of individuals who must choose one, and only one, decision (act) from the set, D, of possible decisions (acts). Suppose, with lit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::77a8146c505d45ff4f5a15cdd7a2e2f5
https://doi.org/10.1016/0304-4068(91)90003-c
https://doi.org/10.1016/0304-4068(91)90003-c
Publikováno v:
International Series in Operations Research & Management Science ISBN: 9781461352488
Markov decision problems can be viewed as gambling problems that are invariant under the action of a group or semi-group. It is shown that invariant stationary plans are almost surely adequate for a leavable, measurable, invariant gambling problem wi
Externí odkaz:
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https://doi.org/10.1007/978-1-4615-0805-2_13
https://doi.org/10.1007/978-1-4615-0805-2_13
Autor:
Lester E. Dubins
Publikováno v:
Lecture Notes in Mathematics ISBN: 9783540663423
Each stochastic process, in particular the Wiener process, has a finitely additive cousin whose paths are polynomials, and another cousin whose paths are step functions.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c7ae25dca5e5cc53586b047d55684681
https://doi.org/10.1007/bfb0096529
https://doi.org/10.1007/bfb0096529
Publikováno v:
Ann. Probab. 24, no. 2 (1996), 882-904
Let $(\mathscr{F}_t)_{t \geq 0}$ be the filtration of a Brownian motion $(B(t))_{t \geq 0}$ on $(\Omega,\mathscr{F},P)$. An example is given of a measure $Q \sim P$ (in the sense of absolute continuity) for which $(\mathscr{F}_t)_{t \geq 0}$ is not t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c9213aad153fca5d34474df197e07ed0
https://doi.org/10.1214/aop/1039639367
https://doi.org/10.1214/aop/1039639367
Autor:
Lester E. Dubins
Publikováno v:
T. S. Ferguson, L. S. Shapley, and J. B. MacQueen, eds. Statistics, probability and game theory: Papers in honor of David Blackwell (Hayward, CA: Institute of Mathematical Statistics, 1996), 7-12
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5deb9561f4061babdbd6d7f07be2fd62
https://doi.org/10.1214/lnms/1215453561
https://doi.org/10.1214/lnms/1215453561
Autor:
Lester E. Dubins, Karel Prikry
Publikováno v:
Lecture Notes in Mathematics ISBN: 9783540602194
Whether, with respect to every partition of the unit square, S, consisting of Borel subsets of S, Lebesgue measure on S admits a countably additive disintegration, is undecidable with the usual axioms for set theory. Also reported herein: There are B
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::507573dc09bd2699182c60386863c4e6
https://doi.org/10.1007/bfb0094217
https://doi.org/10.1007/bfb0094217
Autor:
Lester E. Dubins, Meir Smorodinsky
Publikováno v:
Séminaire de Probabilités XXVI ISBN: 9783540560210
From the absolute value of a martingale, X, there is a unique increasing process that can be subtracted so as to obtain a martingale, Y. Paul Levy discovered that if X is Brownian motion, B, then Y, too, is a Brownian motion. Equivalently, Levy found
Externí odkaz:
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https://doi.org/10.1007/bfb0084318
https://doi.org/10.1007/bfb0084318