Zobrazeno 1 - 10
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pro vyhledávání: '"Optional stopping theorem"'
Akademický článek
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Akademický článek
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Autor:
Nikeghbali, Ashkan, Yor, Marc
Publikováno v:
The Annals of Probability, 2005 Sep 01. 33(5), 1804-1824.
Externí odkaz:
https://www.jstor.org/stable/3481703
Autor:
Hanwu Li
Publikováno v:
Acta Mathematica Scientia. 41:349-360
In this paper, we study the martingale inequalities under G-expectation and their applications. To this end, we introduce a new kind of random time, called G-stopping time, and then investigate the properties of a G-martingale (supermartingale) such
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::600c90334779196dba5d5e7bbb9a5701
https://doi.org/10.1007/s10473-021-0201-6
https://doi.org/10.1007/s10473-021-0201-6
Publikováno v:
Stochastic Processes and their Applications. 130:1258-1288
We consider the optimal stopping problem with non-linear $f$-expectation (induced by a BSDE) without making any regularity assumptions on the reward process $\xi$. and with general filtration. We show that the value family can be aggregated by an opt
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::780e62b83d5f31e18f948e640147e861
https://doi.org/10.1016/j.spa.2019.05.001
https://doi.org/10.1016/j.spa.2019.05.001
Autor:
Knolle Helmut
Publikováno v:
Revista Colombiana de Estadística, Vol 27, Iss 1, Pp 67-75 (2004)
A closed and homogeneously mixing population is subdivided into four classes, the susceptibles (S), the latent infected (L), the infectious (I), and the immune or removed persons (R). It is assumed that infectious persons may have contacts with any o
Externí odkaz:
https://doaj.org/article/c2e05599ce81401b9eb3a8c9a3933341
Autor:
Behrang Forghani, Iddo Ben-Ari
Publikováno v:
Transactions of the American Mathematical Society. 373:2207-2227
A discrete-time Markov chain can be transformed into a new Markov chain by looking at its states along iterations of an almost surely finite stopping time. By the optional stopping theorem, any bounded harmonic function with respect to the transition
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5d5189df9f3524971c90d8bbbf122341
https://doi.org/10.1090/tran/7975
https://doi.org/10.1090/tran/7975
Autor:
Sung-Wen Lan, I-Hsiang Wang
Publikováno v:
ISIT
Sequential binary hypothesis testing from temporally heterogeneously generated random samples with an active decision maker under budget constraints is considered. The problem is motivated from applications in crowdsourced classification and sequenti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0f72870e9c726af95d54cc29017b6b0e
https://doi.org/10.1109/isit45174.2021.9517747
https://doi.org/10.1109/isit45174.2021.9517747
Autor:
Grey, D. R.
Publikováno v:
Journal of Applied Probability, 1980 Sep 01. 17(3), 654-661.
Externí odkaz:
https://www.jstor.org/stable/3212959
Autor:
Kämmerle, K.
Publikováno v:
Journal of Applied Probability, 1986 Sep 01. 23(3), 601-613.
Externí odkaz:
https://www.jstor.org/stable/3214000