60 citations · 87 across the 11 of their papers we have counts for
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math.ST2017
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…
math.PR2017
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…
math.PR2017
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…