60 citations · 87 across the 11 of their papers we have counts for
Showing 2015Show all
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q-fin.MF2015★ 1 cited
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…
math.PR2015
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…
math.PR2015
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…