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math.PR2023
Optimal Stopping with Randomly Arriving Stopping Opportunities
Josha A. Dekker, Roger J. A. Laeven, John G. M. Schoenmakers +1
We develop simulation-based methods to solve general optimal stopping problems with opportunities to stop that arrive randomly. Such problems occur naturally in a wide variety of a…
math.PR2023
Delayed Hawkes birth-death processes
Justin Baars, Roger J. A. Laeven, Michel Mandjes
We introduce, and formally establish, a variant of the Hawkes-fed birth-death process -- the delayed Hawkes birth-death process -- in which the conditional intensity does not incre…