39 citations · 116 across the 25 of their papers we have counts for
31 papers
A construction of the left-curtain coupling
David Hobson, Dominykas Norgilas
In a martingale optimal transport (MOT) problem mass distributed according to the law is transported to the law in such a way that the martingale property is respected. Bei…
The potential of the shadow measure
Mathias Beiglböck, David Hobson, Dominykas Norgilas
It is well known that given two probability measures and on in convex order there exists a discrete-time martingale with these marginals. Several solutions are…
An elementary approach to the Merton problem
Martin Herdegen, David Hobson, Joseph Jerome
In this article we consider the infinite-horizon Merton investment-consumption problem in a constant-parameter Black - Scholes - Merton market for an agent with constant relative r…
The shape of the value function under Poisson optimal stopping
David Hobson
In a classical problem for the stopping of a diffusion process , where the goal is to maximise the expected discounted value of a function of the stopped process…
Constrained Optimal Stopping, Liquidity and Effort
David Hobson, Matthew Zeng
In a classical optimal stopping problem in continuous time, the agent can choose any stopping time without constraint. Dupuis and Wang (Optimal stopping with random intervention ti…
The left-curtain martingale coupling in the presence of atoms
David G. Hobson, Dominykas Norgilas
Beiglböck and Juillet ("On a problem of optimal transport under marginal martingale constraints") introduced the left-curtain martingale coupling of probability measures and $ν…