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math.PR2026
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…
math.PR2025
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…
math.PR2025
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…