5 papers
When should one stop the most exciting game? Sequential Inference for win-martingales
Steven Campbell, Karl Kristian Engelund
Prediction markets have become a prominent way of aggregating beliefs about binary future events, and their price processes are often interpreted as evolving win probabilities, or…
Embedding martingale diffusions as binary posteriors in sequential inference
Steven Campbell, Karl Kristian Engelund
Posterior probabilities are bounded martingales, but this fact alone does not identify the experiment that generates them. We show that every time-homogeneous martingale diffusion…
Portfolio Choice with Competing Precautionary and Accumulation Goals
Steven Campbell, Agostino Capponi, Ananya Parashar
We study optimal portfolio choice for a household simultaneously managing a random-deadline goal, such as a medical emergency or job loss, and a fixed-deadline goal such as retirem…
A Sequential Testing Problem with Signal Control
Steven Campbell, Georgy Gaitsgori, Richard Groenewald
We study a controlled version of the Bayesian sequential testing problem for the drift of a Wiener process, in which the observer exercises discretion over the signal intensity. Th…
Grab It Before It's Gone: Testing Uncertain Rewards under a Stochastic Deadline
Steven Campbell, Georgy Gaitsgori, Richard Groenewald +1
We study a sequential estimation problem for an unknown reward in the presence of a random horizon. The reward takes one of two predetermined values that can be inferred from the d…