Linear programming fictitious play algorithm for mean field games with optimal stop** and absorption
We develop the fictitious play algorithm in the context of the linear programming approach
for mean field games of optimal stop** and mean field games with regular control and …
for mean field games of optimal stop** and mean field games with regular control and …
Time-varying boundaries for diffusion models of decision making and response time
Diffusion models are widely-used and successful accounts of the time course of two-choice
decision making. Most diffusion models assume constant boundaries, which are the …
decision making. Most diffusion models assume constant boundaries, which are the …
An elementary approach to the inverse first-passage-time problem for soft-killed Brownian motion
A Klump, M Kolb - Journal of Applied Probability, 2024 - cambridge.org
We prove existence and uniqueness for the inverse-first-passage time problem for soft-killed
Brownian motion using rather elementary methods relying on basic results from probability …
Brownian motion using rather elementary methods relying on basic results from probability …
Geometry of distribution-constrained optimal stop** problems
We adapt ideas and concepts developed in optimal transport (and its martingale variant) to
give a geometric description of optimal stop** times τ τ of Brownian motion subject to the …
give a geometric description of optimal stop** times τ τ of Brownian motion subject to the …
Hydrodynamic limit of N-branching Markov processes
J Bérard, B Frénais - ar**/10.1214/16-AAP1172.pdf" data-clk="hl=en&sa=T&oi=gga&ct=gga&cd=8&d=10585070020304923618&ei=qE2sZ_zGJNaIieoP4pXqgQk" data-clk-atid="4mvp8hm55ZIJ" target="_blank">[PDF] projecteuclid.org
The inverse first-passage problem and optimal stop**
E Ekström, S Janson - 2016 - projecteuclid.org
Given a survival distribution on the positive half-axis and a Brownian motion, a solution of
the inverse first-passage problem consists of a boundary so that the first passage time over …
the inverse first-passage problem consists of a boundary so that the first passage time over …
The inverse first-passage time problem as hydrodynamic limit of a particle system
A Klump - Methodology and Computing in Applied Probability, 2023 - Springer
We study a particle system without branching but with selection at timepoints depending on
a given probability distribution on the positive real line. The hydrodynamic limit of the particle …
a given probability distribution on the positive real line. The hydrodynamic limit of the particle …