Skip to main content

Research Repository

Advanced Search

All Outputs (2)

A diffusion process associated with Fréchet means (2015)
Journal Article
Le, H. (2015). A diffusion process associated with Fréchet means. Annals of Applied Probability, 25(6), https://doi.org/10.1214/14-AAP1066

This paper studies rescaled images, under exp−1μ, of the sample Fréchet means of i.i.d. random variables {Xk|k≥1} with Fréchet mean μ on a Rie-mannian manifold. We show that, with appropriate scaling, these images converge weakly to a diffusion proce... Read More about A diffusion process associated with Fréchet means.

Time-randomized stopping problems for a family of utility functions (2015)
Journal Article
Pérez López, I., & Le, H. (2015). Time-randomized stopping problems for a family of utility functions. SIAM Journal on Control and Optimization, 53(3), https://doi.org/10.1137/130946800

This paper studies stopping problems of the form $V=\inf_{0 \leq \tau \leq T} \mathbb{E}[U(\frac{\max_{0\le s \le T} Z_s }{Z_\tau})]$ for strictly concave or convex utility functions U in a family of increasing functions satisfying certain conditions... Read More about Time-randomized stopping problems for a family of utility functions.