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math.PR2026
Markov Chain CLTs: Resolving Open Problems
Austin Brown, Jeffrey S. Rosenthal, Quan Zhou
Markov chain central limit theorems (CLTs) and their associated variances are very important for implementing Markov chain Monte Carlo algorithms among other applications. Häggströ…
math.PR2018
Optimal real-time detection of a drifting Brownian coordinate
Philip Ernst, Goran Peskir, Quan Zhou
Consider the motion of a Brownian particle in three dimensions, whose two spatial coordinates are standard Brownian motions with zero drift, and the remaining (unknown) spatial coo…
math.PR2016
The value of foresight
Philip Ernst, L. C. G. Rogers, Quan Zhou
Suppose you have one unit of stock, currently worth 1, which you must sell before time . The Optional Sampling Theorem tells us that whatever stopping time we choose to sell, th…