40 citations · 40 across the 3 of their papers we have counts for
6 papers
With or without replacement? Sampling uncertainty in Shepp's urn scheme
Kristoffer Glover
We introduce a variant of Shepp's classical urn problem in which the optimal stopper does not know whether sampling from the urn is done with or without replacement. By considering…
Short Selling with Margin Risk and Recall Risk
Kristoffer Glover, Hardy Hulley
Short sales are regarded as negative purchases in textbook asset pricing theory. In reality, however, the symmetry between purchases and short sales is broken by a variety of costs…
Optimally Stopping a Brownian Bridge with an Unknown Pinning Time: A Bayesian Approach
Kristoffer Glover
We consider the problem of optimally stopping a Brownian bridge with an unknown pinning time so as to maximise the value of the process upon stopping. Adopting a Bayesian approach,…
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…
Optimal Prediction of the Last-Passage Time of a Transient Diffusion
Kristoffer Glover, Hardy Hulley
We identify the integrable stopping time with minimal -distance to the last-passage time to a given level , for an arbitrary non-negative time-homogeneous tra…
Three-dimensional Brownian motion and the golden ratio rule
Kristoffer Glover, Hardy Hulley, Goran Peskir
Let be a transient diffusion process in with the diffusion coefficient and the scale function such that as $t\righta…