Zobrazeno 1 - 10
of 49
pro vyhledávání: '"Vaicenavičius, A."'
Autor:
Vaicenavicius, Juozas, Wiklund, Tilo, Grigaitė, Austė, Kalkauskas, Antanas, Vysniauskas, Ignas, Keen, Steven
Publikováno v:
SAE Intl. J CAV 4(1):35-45, 2021
In this paper, we present a rigorous modular statistical approach for arguing safety or its insufficiency of an autonomous vehicle through a concrete illustrative example. The methodology relies on making appropriate quantitative studies of the perfo
Externí odkaz:
http://arxiv.org/abs/2009.01119
Autor:
Vaicenavicius, Juozas, Widmann, David, Andersson, Carl, Lindsten, Fredrik, Roll, Jacob, Schön, Thomas B.
Probabilistic classifiers output a probability distribution on target classes rather than just a class prediction. Besides providing a clear separation of prediction and decision making, the main advantage of probabilistic models is their ability to
Externí odkaz:
http://arxiv.org/abs/1902.06977
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 of observ
Externí odkaz:
http://arxiv.org/abs/1901.05410
Autor:
Ekström, Erik, Vaicenavicius, Juozas
We study the problem of detecting a drift change of a Brownian motion under various extensions of the classical case. Specifically, we consider the case of a random post-change drift and examine monotonicity properties of the solution with respect to
Externí odkaz:
http://arxiv.org/abs/1710.10821
Autor:
Ekström, Erik, Vaicenavicius, Juozas
The problem of stopping a Brownian bridge with an unknown pinning point to maximise the expected value at the stopping time is studied. A few general properties, such as continuity and various bounds of the value function, are established. However, s
Externí odkaz:
http://arxiv.org/abs/1705.00369
Autor:
Vaicenavicius, Juozas
Publikováno v:
Applied Mathematics & Optimization (2018)
Optimal liquidation of an asset with unknown constant drift and stochastic regime-switching volatility is studied. The uncertainty about the drift is represented by an arbitrary probability distribution; the stochastic volatility is modelled by $m$-s
Externí odkaz:
http://arxiv.org/abs/1701.08579
Publikováno v:
In Stochastic Processes and their Applications March 2022 145:335-352
Autor:
Ekström, Erik, Vaicenavicius, Juozas
We study a problem of finding an optimal stopping strategy to liquidate an asset with unknown drift. Taking a Bayesian approach, we model the initial beliefs of an individual about the drift parameter by allowing an arbitrary probability distribution
Externí odkaz:
http://arxiv.org/abs/1509.00686
Autor:
Ekström, Erik, Vaicenavicius, Juozas
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 distributions. The st
Externí odkaz:
http://arxiv.org/abs/1509.00675
Autor:
Ekström, Erik, Vaicenavicius, Juozas
Publikováno v:
In Stochastic Processes and their Applications February 2020 130(2):806-823