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25 papers · 1 filter
From finite population optimal stopping to mean field optimal stopping
Mehdi Talbi, Nizar Touzi, Jianfeng Zhang
This paper analyzes the convergence of the finite population optimal stopping problem towards the corresponding mean field limit. Building on the viscosity solution characterizatio…
Random walk on nonnegative integers in beta distributed random environment
Guillaume Barraquand, Mark Rychnovsky
We consider random walks on the nonnegative integers in a space-time dependent random environment. We assume that transition probabilities are given by independent $\mathrm{Beta}(μ…
Non-Stationary Queues with Batch Arrivals
Andrew Daw, Brian Fralix, Jamol Pender
Motivated by applications that involve setting proper staffing levels for multi-server queueing systems with batch arrivals, we present a thorough study of the queue-length process…
Stochastic Control with Delayed Information and Related Nonlinear Master Equation
Yuri F. Saporito, Jianfeng Zhang
In this paper we study stochastic control problems with delayed information, that is, the control at time can depend only on the information observed before time for some…
On Transitory Queueing
Harsha Honnappa, Rahul Jain, Amy R. Ward
We introduce a framework and develop a theory of transitory queueing models. These are models that are not only non-stationary and time-varying but also have other features such as…
On distribution free Skorokhod-Malliavin calculus
R. Mikulevicius, B. L. Rozovskii
The starting point of the current paper is a sequence of uncorrelated random variables. The distribution functions of these variables are assumed to be given but no assumptions on…