39 citations · 69 across the 9 of their papers we have counts for
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math.PR2019
Playing with ghosts in a Dynkin game
Tiziano De Angelis, Erik Ekström
We study a class of optimal stopping games (Dynkin games) of preemption type, with uncertainty about the existence of competitors. The set-up is well-suited to model, for example,…
math.ST2019
Bayesian sequential least-squares estimation for the drift of a Wiener process
Erik Ekström, Ioannis Karatzas, Juozas Vaicenavicius
Given a Wiener process with unknown and unobservable drift, we try to estimate this drift as effectively but also as quickly as possible, in the presence of a quadratic penalty for…