6 papers
The Game of Marginal Utilities
Isaac M. Sonin, Georgy Gaitsgori, Yaakov Malinovsky
We study a noncooperative resource-allocation game in which players distribute fixed resources among projects and the payoff of player is given by \[ F^j(x) = \sum_{i=1…
Optimal Stopping for a Diffusion with Unobserved Bernoulli Drift
Georgy Gaitsgori, Ioannis Karatzas
We solve fairly explicitly an optimal stopping problem for a Wiener process with unobserved Bernoulli drift, in the presence of a cost on terminal position which is symmetric and i…
A Sequential Testing Problem with Signal Control
Steven Campbell, Georgy Gaitsgori, Richard Groenewald
We study a controlled version of the Bayesian sequential testing problem for the drift of a Wiener process, in which the observer exercises discretion over the signal intensity. Th…
Drift Control with Discretionary Stopping for a Diffusion
Václav E. Beneš, Georgy Gaitsgori, Ioannis Karatzas
We consider stochastic control with discretionary stopping for the drift of a diffusion process over an infinite time horizon. The objective is to choose a control process and a st…
A Dynkin Game with Independent Processes and Incomplete Information
Georgy Gaitsgori, Richard Groenewald
We analyze a two-player, nonzero-sum Dynkin game of stopping with incomplete information. We assume that each player observes his own Brownian motion, which is not only independent…
Grab It Before It's Gone: Testing Uncertain Rewards under a Stochastic Deadline
Steven Campbell, Georgy Gaitsgori, Richard Groenewald +1
We study a sequential estimation problem for an unknown reward in the presence of a random horizon. The reward takes one of two predetermined values that can be inferred from the d…