60 citations · 87 across the 11 of their papers we have counts for
17 papers
Resource Extraction from a Stochastic Population with Harvesting Quotas
Erik Ekström, Dante Mata, Harto Saarinen
We study a resource extraction problem of ergodic type, where harvesting quotas are imposed that restrict the harvesting rate by a function of the current biomass. In a setting wit…
Hiring and firing -- a signaling game
Erik Ekström, Topias Tolonen-Weckström
We study a signaling game between an employer and a potential employee, where the employee has private information regarding their production capacity. At the initial stage, the em…
Stopping problems with an unknown state
Erik Ekström, Yuqiong Wang
We extend the classical setting of an optimal stopping problem under full information to include for problems with an unknown state. The framework allows the unknown state to influ…
The maximality principle in singular control with absorption and its applications to the dividend problem
Tiziano De Angelis, Erik Ekström, Marcus Olofsson
Motivated by a new formulation of the classical dividend problem, we show that Peskir's maximality principle can be transferred to singular stochastic control problems with 2-dimen…
A sequential estimation problem with control and discretionary stopping
Erik Ekström, Ioannis Karatzas
We show that "full-bang" control is optimal in a problem that combines features of (i) sequential least-squares {\it estimation} with Bayesian updating, for a random quantity obser…
Bayesian sequential composite hypothesis testing in discrete time
Erik Ekström, Yuqiong Wang
We study the sequential testing problem of two alternative hypotheses regarding an unknown parameter in an exponential family when observations are costly. In a Bayesian setting, t…
Multi-dimensional sequential testing and detection
Erik Ekström, Yuqiong Wang
We study extensions to higher dimensions of the classical Bayesian sequential testing and detection problems for Brownian motion. In the main result we show that, for a large class…
Disorder Detection with Costly Observations
Erhan Bayraktar, Erik Ekstrom, Jia Guo
We study the Wiener disorder detection problem where each observation is associated with a positive cost. In this setting, a strategy is a pair consisting of a sequence of observat…
Monotonicity and robustness in Wiener disorder detection
Erik Ekström, Juozas Vaicenavicius
We study the problem of detecting a drift change of a Brownian motion under various extensions of the classical case. Specifically, we consider the case of a random post-change dri…
Density symmetries for a class of 2-D diffusions with applications to finance
Konstantinos Dareiotis, Erik Ekström
We study densities of two-dimensional diffusion processes with one non-negative component. For such diffusions, the density may explode at the boundary, thus making a precise speci…
Optimal stopping of a Brownian bridge with an unknown pinning point
Erik Ekström, Juozas Vaicenavicius
The problem of stopping a Brownian bridge with an unknown pinning point to maximise the expected value at the stopping time is studied. A few general properties, such as continuity…
The dividend problem with a finite horizon
Tiziano De Angelis, Erik Ekström
We characterise the value function of the optimal dividend problem with a finite time horizon as the unique classical solution of a suitable Hamilton-Jacobi-Bellman equation. The o…
Optimal liquidation of an asset under drift uncertainty
Erik Ekström, Juozas Vaicenavicius
We study a problem of finding an optimal stopping strategy to liquidate an asset with unknown drift. Taking a Bayesian approach, we model the initial beliefs of an individual about…
Bayesian sequential testing of the drift of a Brownian motion
Erik Ekström, Juozas Vaicenavicius
We study a classical Bayesian statistics problem of sequentially testing the sign of the drift of an arithmetic Brownian motion with the - loss function and a constant cost o…
The inverse first-passage problem and optimal stopping
Erik Ekström, Svante Janson
Given a survival distribution on the positive half-axis and a Brownian motion, a solution of the inverse first-passage problem consists of a boundary so that the first passage time…
Recovering a time-homogeneous stock price process from perpetual option prices
Erik Ekström, David Hobson
It is well known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion. In the present paper we consider the invers…
On the value of optimal stopping games
Erik Ekström, Stephane Villeneuve
We show, under weaker assumptions than in the previous literature, that a perpetual optimal stopping game always has a value. We also show that there exists an optimal stopping tim…