Discontinuous solutions of deterministic optimal stopping time problems
Discounted optimal stopping for maxima in diffusion models with finite horizon.
Domination by Borel stopping times and some separation properties
Durées de séjour et temps d'entrée associés à un processus de Markov homogène
Embeddings in brownian motion
Ensembles analytiques et temps d'arrêt
Entry-exit decisions with implementation delay under uncertainty
We employ a natural method from the perspective of the optimal stopping theory to analyze entry-exit decisions with implementation delay of a project, and provide closed expressions for optimal entry decision times, optimal exit decision times, and the maximal expected present value of the project. The results in conventional research were obtained under the restriction that the sum of the entry cost and exit cost is nonnegative. In practice, we may meet cases when this sum is negative, so it is...
Enveloppe de Snell d'un processus à paramètre bidimensionnel
Erratum / Correction to : “A bound on the moment generating function of a sum of dependent variables with an application to simple random sampling without replacement”
Fill's algorithm for absolutely continuous stochastically monotone kernels.
Finite return times for measure-preserving transformations.
Full-information best choice problems with imperfect observation and a random number of observations
Grossissement d'une filtration et semi-martingales : formules explicites
Grossissement d'une filtration et semi-martingales : théorèmes généraux
Hitting half-spaces or spheres by Ornstein-Uhlenbeck type diffusions
The purpose of the paper is to provide a general method for computing the hitting distributions of some regular subsets D for Ornstein-Uhlenbeck type operators of the form 1/2Δ + F·∇, with F bounded and orthogonal to the boundary of D. As an important application we obtain integral representations of the Poisson kernel for a half-space and balls for hyperbolic Brownian motion and for the classical Ornstein-Uhlenbeck process. The method developed in this paper is based on stochastic calculus and...
Hitting time of a corner for a reflected diffusion in the square
We discuss the long time behavior of a two-dimensional reflected diffusion in the unit square and investigate more specifically the hitting time of a neighborhood of the origin. We distinguish three different regimes depending on the sign of the correlation coefficient of the diffusion matrix at the point 0. For a positive correlation coefficient, the expectation of the hitting time is uniformly bounded as the neighborhood shrinks. For a negative one, the expectation explodes in a polynomial way...
Independence of time and position for a random walk.
Inégalités en norme pour le produit des suprema de plusieurs martingales arrêtées à des temps aléatoires. Inégalités avec poids
Inferring the residual waiting time for binary stationary time series
For a binary stationary time series define to be the number of consecutive ones up to the first zero encountered after time , and consider the problem of estimating the conditional distribution and conditional expectation of after one has observed the first outputs. We present a sequence of stopping times and universal estimators for these quantities which are pointwise consistent for all ergodic binary stationary processes. In case the process is a renewal process with zero the renewal state...
Integration of the optimal risk in a stopping problem with absorption