Introduces branched harmonic majorants arranged in a depth-indexed branching structure to identify the optimal stopping region and recover the value function as expected gain at exit from the non-contact set, with truncation providing explicit approximations.
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6 Pith papers cite this work. Polarity classification is still indexing.
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Cooperation strictly improves all agents' indirect utilities if and only if their preferences are compatible with a common collective pricing measure in semimartingale models.
Presents a tractable class of McKean-Vlasov SDEs with polynomial drifts for SIS epidemic models, establishing unique strong solutions, extinction/persistence analysis, and Euler-Maruyama error estimates.
An exact expression is derived for the expected perimeter of the convex hull of planar Brownian motion exiting the unit disk, along with bounds and Monte Carlo estimates for the expected area.
Extends Tweedie's formulae to GBM, BESQ, and CIR processes to enable non-Gaussian diffusion generative models and empirical Bayes applications.
Solutions to singular SDEs with additive fBM (H<1/2) are constructed as limits of approximations and their trajectory properties are analyzed.
citing papers explorer
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Branched harmonic majorants: representations for multidimensional optimal stopping
Introduces branched harmonic majorants arranged in a depth-indexed branching structure to identify the optimal stopping region and recover the value function as expected gain at exit from the non-contact set, with truncation providing explicit approximations.
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When cooperation is beneficial to all agents
Cooperation strictly improves all agents' indirect utilities if and only if their preferences are compatible with a common collective pricing measure in semimartingale models.
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On McKean-Vlasov SDEs with polynomial drifts for SIS epidemic models
Presents a tractable class of McKean-Vlasov SDEs with polynomial drifts for SIS epidemic models, establishing unique strong solutions, extinction/persistence analysis, and Euler-Maruyama error estimates.
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Expected perimeter of the convex hull of planar Brownian motion stopped upon exiting the unit disk
An exact expression is derived for the expected perimeter of the convex hull of planar Brownian motion exiting the unit disk, along with bounds and Monte Carlo estimates for the expected area.
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Tweedie's Formulae and Diffusion Generative Models Beyond Gaussian
Extends Tweedie's formulae to GBM, BESQ, and CIR processes to enable non-Gaussian diffusion generative models and empirical Bayes applications.
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A singular SDE driven by additive fractional Brownian motion with Hurst parameter H<1/2
Solutions to singular SDEs with additive fBM (H<1/2) are constructed as limits of approximations and their trajectory properties are analyzed.