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math.PR2009★ 4 cited
ROC and the bounds on tail probabilities via theorems of Dubins and F. Riesz
Eric Clarkson, J. L. Denny, Larry Shepp
For independent and in the inequality , we give sharp lower bounds for unimodal distributions having finite variance, and sharp upper bounds assuming symmetri…
math.PR2005★ 71 cited
Drift rate control of a Brownian processing system
Bar Ata, J. M. Harrison, L. A. Shepp
A system manager dynamically controls a diffusion process Z that lives in a finite interval [0,b]. Control takes the form of a negative drift rate θthat is chosen from a fixed set…