60 citations · 87 across the 11 of their papers we have counts for
11 papers · 1 filter
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…
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…
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…
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…
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…