Stability estimating in optimal stopping problem

Elena Zaitseva

Displaying similar documents to “Stability estimating in optimal stopping problem”

On Ozeki’s inequality for power sums

Horst Alzer (2000)

Czechoslovak Mathematical Journal

Similarity:

Let $p \in (0, 1)$ be a real number and let $n \geq 2$ be an even integer. We determine the largest value $c_{n} (p)$ such that the inequality $\sum_{i = 1}^{n} {| a_{i} |}^{p} \geq c_{n} (p)$ holds for all real numbers $a_{1}, ..., a_{n}$ which are pairwise distinct and satisfy ${min}_{i \neq j} | a_{i} - a_{j} | = 1$ . Our theorem completes results of Ozeki, Mitrinović-Kalajdžić, and Russell, who found the optimal value $c_{n} (p)$ in the case $p > 0$ and $n$ odd, and in the case $p \geq 1$ and $n$ even.

Comparison of two methods for approximation of probability distributions with prescribed marginals

Albert Pérez, Milan Studený (2007)

Kybernetika

Similarity:

Let $P$ be a discrete multidimensional probability distribution over a finite set of variables $N$ which is only partially specified by the requirement that it has prescribed given marginals ${P_{A}; A \in 𝒮}$ , where $𝒮$ is a class of subsets of $N$ with $⋃ 𝒮 = N$ . The paper deals with the problem of approximating $P$ on the basis of those given marginals. The divergence of an approximation $\hat{P}$ from $P$ is measured by the relative entropy $H (P | \hat{P})$ . Two methods for approximating $P$ are compared. One of them uses formerly introduced...

Optimality conditions for maximizers of the information divergence from an exponential family

František Matúš (2007)

Kybernetika

Similarity:

The information divergence of a probability measure $P$ from an exponential family $ℰ$ over a finite set is defined as infimum of the divergences of $P$ from $Q$ subject to $Q \in ℰ$ . All directional derivatives of the divergence from $ℰ$ are explicitly found. To this end, behaviour of the conjugate of a log-Laplace transform on the boundary of its domain is analysed. The first order conditions for $P$ to be a maximizer of the divergence from $ℰ$ are presented, including new ones when $P$ is not projectable...

On the structure of continuous uninorms

Paweł Drygaś (2007)

Kybernetika

Similarity:

Uninorms were introduced by Yager and Rybalov [13] as a generalization of triangular norms and conorms. We ask about properties of increasing, associative, continuous binary operation $U$ in the unit interval with the neutral element $e \in [0, 1]$ . If operation $U$ is continuous, then $e = 0$ or $e = 1$ . So, we consider operations which are continuous in the open unit square. As a result every associative, increasing binary operation with the neutral element $e \in (0, 1)$ , which is continuous in the open unit square may be...

Covariance structure of wide-sense Markov processes of order k ≥ 1

Arkadiusz Kasprzyk, Władysław Szczotka (2006)

Applicationes Mathematicae

Similarity:

A notion of a wide-sense Markov process $X_{t}$ of order k ≥ 1, $X_{t} \sim W M (k)$ , is introduced as a direct generalization of Doob’s notion of wide-sense Markov process (of order k=1 in our terminology). A base for investigation of the covariance structure of $X_{t}$ is the k-dimensional process $x_{t} = (X_{t - k + 1}, . . ., X_{t})$ . The covariance structure of $X_{t} \sim W M (k)$ is considered in the general case and in the periodic case. In the general case it is shown that $X_{t} \sim W M (k)$ iff $x_{t}$ is a k-dimensional WM(1) process and iff the covariance function of $x_{t}$ has the triangular...

Spectral condition, hitting times and Nash inequality

Eva Löcherbach, Oleg Loukianov, Dasha Loukianova (2014)

Annales de l'I.H.P. Probabilités et statistiques

Similarity:

Let $X$ be a $μ$ -symmetric Hunt process on a LCCB space $𝙴$ . For an open set $𝙶 \subseteq 𝙴$ , let $τ_{𝙶}$ be the exit time of $X$ from $𝙶$ and $A^{𝙶}$ be the generator of the process killed when it leaves $𝙶$ . Let $r : [0, \infty [\to [0, \infty [$ and $R (t) = \int_{0}^{t} r (s) d s$ . We give necessary and sufficient conditions for $𝔼_{μ} R (τ_{𝙶}) l t; \infty$ in terms of the behavior near the origin of the spectral measure of $- A^{𝙶}$ . When $r (t) = t^{l}$ , $l \geq 0$ , by means of this condition we derive the Nash inequality for the killed process. In the diffusion case this permits to show that the existence of moments of order $l + 1$ for $τ_{𝙶}$ ...