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Concept

Stopping time

Related publications (11)

Wind, Hail, and Climate Extremes: Modelling and Attribution Studies for Environmental Data

Ophélia Mireille Anna Miralles

This thesis presents work at the junction of statistics and climate science. We first provide methodology for use by climate scientists when performing fast event attribution using extreme value theory, and then describe two interdisciplinary projects in c ...

EPFL2023

Timing and spatial selection bias in rapid extreme event attribution

Anthony Christopher Davison, Ophélia Mireille Anna Miralles

Selection bias may arise when data have been chosen in a way that subsequent analysis does not account for. Such bias can arise in climate event attribution studies that are performed rapidly after a devastating "trigger event'', whose occurrence correspon ...

ELSEVIER2023

Motor state transitions and Breathing in Brain Machine Interfaces

Bastien Orset

Brain-Machine interfaces aim to create a direct neural link between user's brain and machines. This goal has pushed scientists to investigate a large spectrum of applications in the realm of assistive and rehabilitation technologies. However, despite great ...

EPFL2021

On Cyclic Dependencies and Regulators in Time-Sensitive Networks

Jean-Yves Le Boudec, Ludovic Bernard Gérard Thomas

For time-sensitive networks, as in the context of IEEE TSN and IETF Detnet, cyclic dependencies are associated with certain fundamental properties such as improving availability and decreasing reconfiguration effort. Nevertheless, the existence of cyclic d ...

IEEE2020

On the American swaption in the linear-rational framework

Damir Filipovic

We study American swaptions in the linear-rational (LR) term structure model introduced in Filipović et al. [J. Finance., 2017, 72, 655–704]. The American swaption pricing problem boils down to an optimal stopping problem that is analytically tractable. It ...

2018

Global Optimization on an Interval

Thomas Alois Weber

This paper provides expressions for solutions of a one-dimensional global optimization problem using an adjoint variable which represents the available one-sided improvements up to the interval "horizon." Interpreting the problem in terms of optimal stoppi ...

Springer2016

Informational Efficiency under Short Sale Constraints

Martin Larsson

A constrained informationally efficient market is defined as one in which the price process arises as the outcome of some equilibrium where agents face restrictions on trade. This paper investigates the case of short sale constraints, a setting which, desp ...

Siam Publications2015

Filtration Shrinkage, Strict Local Martingales And The Follmer Measure

Martin Larsson

When a strict local martingale is projected onto a subfiltration to which it is not adapted, the local martingale property may be lost, and the finite variation part of the projection may have singular paths. This phenomenon has consequences for arbitrage ...

Inst Mathematical Statistics2014

Hitting time of large subsets of the hypercube

Jiri Cerny

We study the simple random walk on the n-dimensional hypercube, in particular its hitting times of large (possibly random) sets. We give simple conditions on these sets ensuring that the properly rescaled hitting time is asymptotically exponentially distri ...

2008

An optimal prediction problem in financial modelling

The subject of the present thesis is an optimal prediction problem concerning the ultimate maximum of a stable Lévy process over a finite interval of time. Such "optimal prediction" problems are of both theoretical and practical interest, in particular the ...

EPFL2007

A stochastic control model of economic growth with environmental disaster prevention

This paper proposes a capital accumulation model with a random stopping time corresponding to the occurrence of an environmental catastrophe. Depending on the preventive capital stock accumulated at the time of the catastrophe, the damage cost associated w ...

Elsevier2006

Related publications (11)