Maike Klein

collaborators

Showing math.PRShow all

2 papers · 1 filter

math.PR2024

On the time consistent solution to optimal stopping problems with expectation constraint

SÃ¶ren 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.…

math.PR2024

On first passage time problems of Brownian motion -- The inverse method of images revisited

SÃ¶ren Christensen, Oskar Hallmann, Maike Klein

Let $W$ be a standard Brownian motion with $W_{0} = 0$ and let $b : [0, \infty) \to R$ be a continuous function with $b (0) > 0$ . In this article, we look at the classical…