3 papers
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.OC2025
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…
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…