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math.PR2018
Dynkin games with incomplete and asymmetric information
Tiziano De Angelis, Erik Ekström, Kristoffer Glover
We study the value and the optimal strategies for a two-player zero-sum optimal stopping game with incomplete and asymmetric information. In our Bayesian set-up, the drift of the u…
math.PR2011★ 3 cited
Can time-homogeneous diffusions produce any distribution?
Erik Ekström, David Hobson, Svante Janson +1
Given a centred distribution, can one find a time-homogeneous martingale diffusion starting at zero which has the given law at time 1? We answer the question affirmatively if gener…