arXiv subjects

Shoou-Ren Hsiau

Publications and source records attributed to Shoou-Ren Hsiau.

4 recordsLinked to original sources

arXiv2026

Stochastic dominance of first return times for nearest-neighbor random walks on $\mathbb{Z}^d$

For a $d$-dimensional probability vector $\mathbf{h}=(h_1,\dots, h_d)$, let $(S^{\mathbf{h}}_n)_{n\geq 0}$ be a nearest-neighbor random walk on $\mathbb{Z}^d$ such that at each step, it moves to one of the two nearest neighbors in the $i$-th dimension with probability $\frac{1}{2} h_i$ ($i=1,\dots, d$). Let $T^{\mathbf{h}}=\inf\{n\geq 1: S^{\mathbf{h}}_n=(0,\dots,0)\}$, the first return time to the origin. For two $d$-dimensional probability vectors $\mathbf{h}'$ and $\mathbf{h}''$ with the former majorizing the latter, we show that $T^{\mathbf{h}'}$ is stochastically smaller than $T^{\mathbf{h}''}$. In particular, the first return time for the $d$-dimensional simple random walk is stochastically larger than $T^{\mathbf{h}}$ for all $d$-dimensional probability vectors $\mathbf{h}$.

math.PR↗

arXiv2025

Stochastic Ordering for Bernoulli and Normal Random Walks

Let $(S_n^p)_{n\geq 0}$ be a Bernoulli random walk where each of the independent increments is either $1$ or $-1$ with probabilities $p$ and $1-p$. For $p'$ and $p'' \in [0,1]$ with $|p'-1/2|>|p''-1/2|$, we show that $(|S_n^{p''}|)_{n\geq 0}$ is stochastically smaller than $(|S_n^{p'}|)_{n\geq 0}$. In other words, $(|S_n^{p}|)_{n\geq 0}$ is stochastically decreasing in $p \in [0,1/2]$ and increasing in $p\in [1/2,1]$. An analogous result is also given for the family of normal random walks indexed by $μ\in R$ where each of the independent increments is normally distributed with common mean $μ$ and variance $1$. Extension to Brownian motion then follows by a limiting argument. As an application, these results are used to easily derive stochastic ordering properties for stopping times of Bernoulli and normal random walks.

math.PR↗

arXiv2025

A Double Secretary Problem

We consider a double secretary problem which contains $2n$ applicants of $n$ different qualities, two of each quality. As in the classical secretary problem (CSP), the applicants are interviewed sequentially in a random order by a manager and the manager wants to find an optimal stopping rule that maximizes the probability of selecting one of the two best applicants. We prove that the problem leads to a monotone structure and so the corresponding one-stage look-ahead rule (which is of threshold type) is optimal. The limiting behavior of the rule and of the maximum probability are studied and compared with that of the CSP.

math.PR↗

arXiv2017

Optimal selection of the $k$-th best candidate

In the subject of optimal stopping, the classical secretary problem is concerned with optimally selecting the best of $n$ candidates when their relative ranks are observed sequentially. This problem has been extended to optimally selecting the $k$-th best candidate for $k\ge 2$. While the optimal stopping rule for $k=1,2$ (and all $n\ge 2$) is known to be of threshold type (involving one threshold), we solve the case $k=3$ (and all $n\ge 3$) by deriving an explicit optimal stopping rule that involves two thresholds. We also prove several inequalities for $p(k,n)$, the maximum probability of selecting the $k$-th best of $n$ candidates. It is shown that (i) $p(1,n)=p(n,n)>p(k,n)$ for $1<k<n$, (ii) $p(k,n)\ge p(k,n+1)$, (iii) $p(k,n)\ge p(k+1,n+1)$, and (iv) $p(k,\infty):=\lim_{n\to \infty} p(k,n)$ is decreasing in $k$.

math.PR↗