| Publication | Date of Publication | Type |
|---|
The minimax Wiener sequential testing problem
SIAM Journal on Control and Optimization | 2025-01-14 | Paper |
Yule's ``Nonsense correlation: moments and density
Bernoulli | 2024-11-05 | Paper |
Numerical solutions of optimal stopping problems for a class of hybrid stochastic systems
Nonlinear Analysis. Hybrid Systems | 2024-07-30 | Paper |
Quickest real-time detection of multiple Brownian drifts
SIAM Journal on Control and Optimization | 2024-07-09 | Paper |
On the Diameter of the Stopped Spider Process
Mathematics of Operations Research | 2024-03-05 | Paper |
Exact Optimal Stopping for Multidimensional Linear Switching Diffusions
Mathematics of Operations Research | 2024-02-27 | Paper |
| The Minimax Wiener Sequential Testing Problem | 2023-10-31 | Paper |
| Exact and asymptotic distribution theory for the empirical correlation of two AR(1) processes | 2023-10-12 | Paper |
Yule's ``nonsense correlation for Gaussian random walks
Stochastic Processes and their Applications | 2023-07-12 | Paper |
| Quickest Real-Time Detection of Multiple Brownian Drifts | 2023-05-09 | Paper |
Quickest real-time detection of a Brownian coordinate drift
The Annals of Applied Probability | 2022-10-10 | Paper |
The least favorable noise
Electronic Communications in Probability | 2022-07-08 | Paper |
Fiscal stimulus as an optimal control problem
Stochastic Processes and their Applications | 2022-06-20 | Paper |
The rencontre problem
Stochastic Processes and their Applications | 2022-06-20 | Paper |
Asymptotic behavior of the occupancy density for obliquely reflected Brownian motion in a half-plane and Martin boundary
The Annals of Applied Probability | 2022-02-14 | Paper |
Escape and absorption probabilities for obliquely reflected Brownian motion in a quadrant
Stochastic Processes and their Applications | 2021-11-03 | Paper |
Optimal real-time detection of a drifting Brownian coordinate
The Annals of Applied Probability | 2021-03-18 | Paper |
Optimal real-time detection of a drifting Brownian coordinate
The Annals of Applied Probability | 2021-03-18 | Paper |
The value of insight
Mathematics of Operations Research | 2021-01-08 | Paper |
When is it best to follow the leader?
Stochastic Processes and their Applications | 2020-04-29 | Paper |
Heavy-tailed distributions in branching process models of secondary cancerous tumors
Advances in Applied Probability | 2020-02-05 | Paper |
The bias mapping of the Yule-Walker estimator is a contraction
STATISTICA SINICA | 2019-11-19 | Paper |
Asymptotics for the time of ruin in the war of attrition
Advances in Applied Probability | 2019-09-16 | Paper |
| Yule's "nonsense correlation" solved: Part II | 2019-09-05 | Paper |
Stability and busy periods in a multiclass queue with state-dependent arrival rates
Queueing Systems | 2019-07-31 | Paper |
A Legendre-based computational method for solving a class of Itô stochastic delay differential equations
Numerical Algorithms | 2019-03-26 | Paper |
MEXIT: maximal un-coupling times for stochastic processes
Stochastic Processes and their Applications | 2019-01-25 | Paper |
Sequential rerandomization
Biometrika | 2018-12-10 | Paper |
Sequential rerandomization
Biometrika | 2018-12-10 | Paper |
On occupation times of the first and third quadrants for planar Brownian motion
Journal of Applied Probability | 2018-09-26 | Paper |
Exercising control when confronted by a (Brownian) spider
Operations Research Letters | 2018-02-06 | Paper |
Minimizing Fisher information with absolute moment constraints
Statistics & Probability Letters | 2017-12-22 | Paper |
The value of foresight
Stochastic Processes and their Applications | 2017-11-09 | Paper |
Yule's ``nonsense correlation solved!
The Annals of Statistics | 2017-09-08 | Paper |
Yule's ``nonsense correlation solved!
The Annals of Statistics | 2017-09-08 | Paper |
On the arbitrage price of European call options
Stochastic Models | 2017-04-13 | Paper |
Stationary Gaussian Markov processes as limits of stationary autoregressive time series
Journal of Multivariate Analysis | 2017-02-23 | Paper |
Bayesian aggregation of two forecasts in the partial information framework
Statistics & Probability Letters | 2016-10-31 | Paper |
On the time for Brownian motion to visit every point on a circle
Journal of Statistical Planning and Inference | 2016-03-08 | Paper |
On optimal retirement
Journal of Applied Probability | 2014-07-11 | Paper |
| The General Stationary Gaussian Markov Process | 2013-12-31 | Paper |
Asymptotic optimality of dynamic first-fit packing on the half-axis
(available as arXiv preprint) | N/A | Paper |
The Gapeev-Shiryaev Conjecture
(available as arXiv preprint) | N/A | Paper |
