22 citations · 60 across the 23 of their papers we have counts for
4 papers · 2 filters
Sequential tracking of an unobservable two-state Markov process under Brownian noise
Alexey Muravlev, Mikhail Urusov, Mikhail Zhitlukhin
We consider an optimal control problem, where a Brownian motion with drift is sequentially observed, and the sign of the drift coefficient changes at jump times of a symmetric two-…
Approximating exit times of continuous Markov processes
Thomas Kruse, Mikhail Urusov
The time at which a one-dimensional continuous strong Markov process attains a boundary point of its state space is a discontinuous path functional and it is, therefore, unclear wh…
Wasserstein convergence rates for random bit approximations of continuous Markov processes
Stefan Ankirchner, Thomas Kruse, Mikhail Urusov
We determine the convergence speed of a numerical scheme for approximating one-dimensional continuous strong Markov processes. The scheme is based on the construction of coin tossi…
A functional limit theorem for coin tossing Markov chains
Stefan Ankirchner, Thomas Kruse, Mikhail Urusov
We prove a functional limit theorem for Markov chains that, in each step, move up or down by a possibly state dependent constant with probability , respectively. The theorem e…