On randomized stopping

On randomized stopping

It is known that optimal stopping problems for controlled diffusion processes can be transformed into optimal control problems by using the method of randomized stopping (see [2] and [8]). Since only a few optimal stopping problems can be solved analytically (see [13]), one has to resort to numerical approximations of the solution. In such cases, one would like to know the rate of convergence o...

Randomized stopping games and Markov market games

We study nonzero-sum stopping games with randomized stopping strategies. The existence of Nash equilibrium and ε-equilibrium strategies are discussed under various assumptions on players random payoffs and utility functions dependent on the observed discrete time Markov process. Then we will present a model of a market game in which randomized stopping times are involved. The model is a mixture...

Stopping Rules for Randomized Greedy Triangulation Schemes

Many algorithms for performing inference in graphical models have complexity that is exponential in the treewidth a parameter of the underlying graph structure. Computing the (minimal) treewidth is NPcomplete, so stochastic algorithms are sometimes used to find low width tree decompositions. A common approach for finding good decompositions is iteratively executing a greedy triangulation algori...

Time-Randomized Stopping Problems for a Family of Utility Functions

Randomized Stopping Times and Provably Secure Pseudorandom Permutation Generators

Conventionally, key-scheduling algorithm (KSA) of a cryptographic scheme runs for predefined number of steps. We suggest a different approach by utilization of randomized stopping rules to generate permutations which are indistinguishable from uniform ones. We explain that if the stopping time of such a shuffle is a Strong Stationary Time and bits of the secret key are not reused then these alg...