1 citations · 1 across the 2 of their papers we have counts for
2 papers
math.PR2019★ 1 cited
Constrained Optimal Stopping, Liquidity and Effort
David Hobson, Matthew Zeng
In a classical optimal stopping problem in continuous time, the agent can choose any stopping time without constraint. Dupuis and Wang (Optimal stopping with random intervention ti…
math.PR2017
Optimal Stopping and the Sufficiency of Randomized Threshold Strategies
Vicky Henderson, David Hobson, Matthew Zeng
In a classical optimal stopping problem the aim is to maximize the expected value of a functional of a diffusion evaluated at a stopping time. This note considers optimal stopping…