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math.PR2025
Optimal stopping involving a diffusion and its running maximum: a generalisation of the maximality principle
Neofytos Rodosthenous, Mihail Zervos
The maximality principle has been a valuable tool in identifying the free-boundary functions that are associated with the solutions to several optimal stopping problems involving o…
math.PR2024
Non-zero-sum optimal stopping game with continuous versus periodic exercise opportunities
José Luis Pérez, Neofytos Rodosthenous, Kazutoshi Yamazaki
We introduce a new non-zero-sum game of optimal stopping with asymmetric exercise opportunities. Given a stochastic process modelling the value of an asset, one player observes and…