M. Kobylanski

activity

20092015

most citedOptimal multiple stopping time problem

47 citations · 88 across the 6 of their papers we have counts for

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math.PR2009★ 47 cited

Optimal multiple stopping time problem

Magdalena Kobylanski, Marie-Claire Quenez, Elisabeth Rouy-Mironescu

We study the optimal multiple stopping time problem defined for each stopping time $S$ by $v (S) = ess sup_{τ_{1}, ..., τ_{d} \geq S} E [ψ (τ_{1}, ..., τ_{d}) ∣ F_{S}]$ . The key…

math.PR2009

Optimal double stopping time

Magdalena Kobylanski, Marie-Claire Quenez, Elisabeth Rouy-Mironescu

We consider the optimal double stopping time problem defined for each stopping time $S$ by $v(S)=\esssup\{E[ψ(τ_1, τ_2) | \F_S], τ_1, τ_2 \geq S \}$. Following the optimal one stop…