arXiv subjects

Christopher Lustri

Publications and source records attributed to Christopher Lustri.

3 recordsLinked to original sources

arXiv2019

On Asymptotics of Optimal Stopping Times

We consider optimal stopping problems, in which a sequence of independent random variables is drawn from a known continuous density. The objective of such problems is to find a procedure which maximizes the expected reward; this is often known as the "full information" problem. In this analysis, we obtain asymptotic expressions for the expectation and variance of the optimal stopping time as the number of drawn variables becomes large. In the case of distributions with infinite upper bound, the asymptotic behaviour of these statistics depends solely on the algebraic power of the probability distribution decay rate in the upper limit. In the case of densities with finite upper bound, the asymptotic behaviour these statistics depend on the algebraic form of the distribution near the finite upper bound. Explicit calculations are provided for several common probability density functions, which are compared to numerical simulations that support the asymptotic predictions.

math.PR↗

arXiv2018

Nonlinear $q$-Stokes phenomena for $q$-Painlevé I

We consider the asymptotic behaviour of solutions of the first $q$-difference Painlevé equation in the limits $|q|\rightarrow 1$ and $n\rightarrow\infty$. Using asymptotic power series, we describe four families of solutions that contain free parameters hidden beyond-all-orders. These asymptotic solutions exhibit Stokes phenomena, which is typically invisible to classical power series methods. In order to investigate such phenomena we apply exponential asymptotic techniques to obtain mathematical descriptions of the rapid switching behaviour associated with Stokes curves. Through this analysis, we also determine the regions of the complex plane in which the asymptotic behaviour is described by a power series expression, and find that the Stokes curves are described by curves known as $q$-spirals.

math-ph↗

arXiv2016

Stokes Phenomena in Discrete Painlevé II

We consider the asymptotic behaviour of the second discrete Painlevé equation in the limit as the independent variable becomes large. Using asymptotic power series, we find solutions that are asymptotically pole-free within some region of the complex plane. These asymptotic solutions exhibit Stokes phenomena, which is typically invisible to classical power series methods. We subsequently apply exponential asymptotic techniques to investigate such phenomena, and obtain mathematical descriptions of the rapid switching behaviour associated with Stokes curves. Through this analysis, we determine the regions of the complex plane in which the asymptotic approximations are valid, and find that the behaviour of these asymptotic solutions shares a number of features with the tronquée and tri-tronquée solutions of the second continuous Painlevé equation.

nlin.SI↗