60 citations · 87 across the 11 of their papers we have counts for
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math.PR2022★ 1 cited
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…
math.OC2022
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…