3 papers
math.PR2019
A Class of Solvable Multidimensional Stopping Problems in the Presence of Knightian Uncertainty
Luis H. R. Alvarez E., Sören Christensen
We investigate the impact of Knightian uncertainty on the optimal timing policy of an ambiguity averse decision maker in the case where the underlying factor dynamics follow a mult…
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…
stat.ME2017
Anscombe's Model for Sequential Clinical Trials Revisited
Sebastian Jobjörnsson, Sören Christensen
In Anscombe's classical model, the objective is to find the optimal sequential rule for learning about the difference between two alternative treatments and subsequently selecting…