On zeros of self-reciprocal random algebraic polynomials.
One sufficient condition for the unit multiplicity of a stochastic process.
One-dimensional diffusion in an asymmetric random environment
One-dimensional random walks, decreasing rearrangements and discrete Steiner symmetrization
One-Step Prediction for P...-Weakly Stationary Processes.
Operator self-similar processes on Banach spaces.
Optimal choice problem with backward solicitation
Optimal closing of a pair trade with a model containing jumps
A pair trade is a portfolio consisting of a long position in one asset and a short position in another, and it is a widely used investment strategy in the financial industry. Recently, Ekström, Lindberg, and Tysk studied the problem of optimally closing a pair trading strategy when the difference of the two assets is modelled by an Ornstein-Uhlenbeck process. In the present work the model is generalized to also include jumps. More precisely, we assume that the difference between the assets is an...
Optimal control by means switchings
Optimal filtering for bilinear system states and its application to terpolymerization process identification.
Optimal linear filtering of general multidimensional Gaussian processes and its application to Laplace transforms of quadratic functionals.
Optimal portfolios in Lévy markets under state-dependent bounded utility functions.
Optimal selection of the maximum of a discountable sequence of independent random variables
Optimal sequential multiple hypothesis testing in presence of control variables
Suppose that at any stage of a statistical experiment a control variable that affects the distribution of the observed data at this stage can be used. The distribution of depends on some unknown parameter , and we consider the problem of testing multiple hypotheses , , allowing the data to be controlled by , in the following sequential context. The experiment starts with assigning a value to the control variable and observing as a response. After some analysis, another value for...
Optimal sequential multiple hypothesis tests
This work deals with a general problem of testing multiple hypotheses about the distribution of a discrete-time stochastic process. Both the Bayesian and the conditional settings are considered. The structure of optimal sequential tests is characterized.
Optimal sequential procedures with Bayes decision rules
In this article, a general problem of sequential statistical inference for general discrete-time stochastic processes is considered. The problem is to minimize an average sample number given that Bayesian risk due to incorrect decision does not exceed some given bound. We characterize the form of optimal sequential stopping rules in this problem. In particular, we have a characterization of the form of optimal sequential decision procedures when the Bayesian risk includes both the loss due to incorrect...
Optimal solutions to stochastic differential inclusions
A martingale problem approach is used first to analyze compactness and continuous dependence of the solution set to stochastic differential inclusions of Ito type with convex integrands on the initial distributions. Next the problem of existence of optimal weak solutions to such inclusions and their dependence on the initial distributions is investigated.
Optimal state estimation of a Markov process from point process observations
Optimal stopping and impulsive control of one-dimensional diffusion processes
Optimal stopping for Markov Processes
In questa nota presentiamo dei nuovi risultati sul problema di tempo d’arresto ottimale per processi di Markov con tempo discreto.