4 papers
An irreversible investment problem with a learning-by-doing feature
Erik Ekström, Yerkin Kitapbayev, Alessandro Milazzo +1
We study a model of irreversible investment for a decision-maker who has the possibility to gradually invest in a project with unknown value. In this setting, we introduce and expl…
A class of stochastic control problems with state constraints
Tiziano De Angelis, Erik Ekström
We obtain a probabilistic solution to linear-quadratic optimal control problems with state constraints. Given a closed set , a diffusi…
The relative efficiency of sequential tests
Henri Doerks, Erik Ekström, Yuqiong Wang
While many statistical procedures rely on a fixed sample size, sequential methods allow a decision-maker to adapt the sample size to achieve a given precision. In this way, sequent…
Dynkin ghost games with asymmetry and consolation
Erik Ekström, Yuqiong Wang
We study a stopping game of preemption type between two players who both act under uncertain competition. In this framework we introduce, and study the effect of, (i) asymmetry of…