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math.PR2019
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,…
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.PR2013★ 40 cited
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…