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math.OC2023
The Minimax Wiener Sequential Testing Problem
Philip Ernst, Hongwei Mei
Consider the sample path of a one-dimensional diffusion for which the diffusion coefficient is given and where the drift may take on one of two values: or . Suppose that…
math.OC2023
Linear-Quadratic Optimal Control Problem for Mean-Field Stochastic Differential Equations with a Type of Random Coefficients
Hongwei Mei, Qingmeng Wei, Jiongmin Yong
Motivated by linear-quadratic optimal control problems (LQ problems, for short) for mean-field stochastic differential equations (SDEs, for short) with the coefficients containing…
math.PR2023
Quickest Real-Time Detection of Multiple Brownian Drifts
Philip A. Ernst, Hongwei Mei, Goran Peskir
Consider the motion of a Brownian particle in dimensions, whose coordinate processes are standard Brownian motions with zero drift initially, and then at some random/unobservab…