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math.PR2013
From minimal embeddings to minimal diffusions
Alexander M. G. Cox, Martin Klimmek
There is a natural connection between the class of diffusions, and a certain class of solutions to the Skorokhod Embedding Problem (SEP). We show that the important concept of mini…
math.PR2013
Parameter dependent optimal thresholds, indifference levels and inverse optimal stopping problems
Martin Klimmek
Consider the classic infinite-horizon problem of stopping a one-dimensional diffusion to optimise between running and terminal rewards and suppose we are given a parametrised famil…