39 citations · 45 across the 12 of their papers we have counts for
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math.PR2020
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…
q-fin.MF2020
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…
math.PR2020
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…