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A simple variance inequality for U-statistics of a Markov chain with applications
U-statistics Markov chains Inequalities Limit theorems
2011/7/19
We establish a simple variance inequality for U-statistics whose underlying sequence of random variables is an ergodic Markov Chain.
A Controller And A Stopper Game With Degenerate Variance Control
Controller stochastic differential game diffusion coefficient
2009/4/1
We consider a zero sum stochastic differential game which involves two players, emph{the controller} and emph{the stopper}. The stopper selects the stopping rule which halts the game. The controller c...