Showing math.PRShow all
3 papers · 1 filter
math.PR2024
On differentiability of reward functionals corresponding to Markovian randomized stopping times
Boy Schultz
We conduct an investigation of the differentiability and continuity of reward functionals associated to Markovian randomized stopping times. Our focus is mostly on the differentiab…
math.PR2024
On the existence of Markovian randomized equilibria in Dynkin games of war-of-attrition-type
Sören Christensen, Boy Schultz
In optimal stopping problems, a Markov structure guarantees Markovian optimal stopping times (first exit times). Surprisingly, there is no analogous result for Markovian stopping g…
math.PR2024
On the time consistent solution to optimal stopping problems with expectation constraint
Sören Christensen, Maike Klein, Boy Schultz
We study the (weak) equilibrium problem arising from the problem of optimally stopping a one-dimensional diffusion subject to an expectation constraint on the time until stopping.…