3 citations · 5 across the 3 of their papers we have counts for
3 papers
q-fin.MF2019
A Solvable Two-dimensional Optimal Stopping Problem in the Presence of Ambiguity
Sören Christensen, Luis H. R. Alvarez E
According to conventional wisdom, ambiguity accelerates optimal timing by decreasing the value of waiting in comparison with the unambiguous benchmark case. We study this mechanism…
math.PR2015★ 3 cited
Expected Supremum Representation of the Value of a Singular Stochastic Control Problem
Luis H. R. Alvarez E., Pekka Matomäki
We consider the problem of representing the value of singular stochastic control problems of linear diffusions as expected suprema. Setting the value accrued from following a stand…
math.PR2015★ 2 cited
Expected Supremum Representation and Optimal Stopping
Luis H. R. Alvarez E., Pekka Matomäki
We consider the representation of the value of an optimal stopping problem of a linear diffusion as an expected supremum of a known function. We establish an explicit integral repr…