Erik Ekström

List of publications

  • A detection problem with a monotone observation rate.
    (With Alessandro Milazzo.) pdf
    Submitted (2023).

  • Hiring and firing - a signaling game.
    (With Topias Tolonen.) pdf
    Submitted (2023).

  • Monotonicity of implied volatility for perpetual put options.
    (With Ebba Mellquist.)
    To appear in Journal of Applied Probability 61(1), (2024).

  • Stopping problems with an unknown state.
    (With Yuqiong Wang.)
    To appear in Journal of Applied Probability (2024).

  • The maximality principle in singular control with absorption and its applications to the dividend problem.
    (With Tiziano De Angelis and Marcus Olofsson.) pdf
    To appear in SIAM Journal on Control and Optimization (2023).

  • The de Finetti problem with uncertain competition.
    (With Alessandro Milazzo and Marcus Olofsson.) pdf
    SIAM Journal on Control and Optimization 61 (2023), no. 5, 2997-3017.

  • A sequential estimation problem with control and discretionary stopping.
    (With Ioannis Karatzas.)
    Probability, Uncertainty and Quantitative Risk 7(3) (2022), 151-168 .

  • Bayesian sequential composite hypothesis testing in discrete time.
    (With Yuqiong Wang.)
    ESAIM: Probability and Statistics 26 (2022), 265-282.

  • De Finetti's control problem with competition.
    (With Kristoffer Lindensjö.)
    Applied Mathematics and Optimization 87, Article number: 16 (2023).

  • How to detect a salami slicer: a stochastic controller-and-stopper game with unknown competition.
    (With Kristoffer Lindensjö and Marcus Olofsson.)
    SIAM Journal on Control and Optimization 60 (2022), no. 1, 545-574.

  • Multi-dimensional sequential testing and detection.
    (With Yuqiong Wang.)
    Stochastics 94 (2022), no. 5, 789-806.

  • Disorder detection with costly observations.
    (With Erhan Bayraktar and Jia Guo.)
    Journal of Applied Probability 59 (2022), no. 2, 338-349.

  • Auctions with an invitation cost.
    (With Carl Lindberg.)
    International Game Theory Review 23 (2021), no. 1, 2050014, 16 pp.

  • Playing with ghosts in a Dynkin game.
    (With Tiziano De Angelis.)
    Stochastic Processes and their Applications 130 (2020), no. 10, 6133-6156.

  • Bayesian sequential least-squares estimation for the drift of a Wiener process.
    (With Ioannis Karatzas and Juozas Vaicenavicius.)
    Stochastic Processes and their Applications 145 (2022), 335-352.

  • Dynkin games with incomplete and asymmetric information.
    (With Tiziano De Angelis and Kristoffer Glover.)
    Mathematics of Operations Research 47 (2022) no. 1, 560-586.

  • A renewal theory approach to two-state switching problems.
    (With Marcus Olofsson and Martin Vannestål.)
    Journal of Applied Probability 57(1), (2020), 1-18.

  • Optimal stopping of a Brownian bridge with unknown pinning point.
    (With Juozas Vaicenavicius.)
    Stochastic Processes and their Applications 130 (2020), no. 2, 806-823.

  • Monotonicity and robustness in Wiener disorder detection.
    (With Juozas Vaicenavicius.)
    Sequential Analysis. Design Methods and Applications 38(1), (2019), 57-68.

  • Density symmetries for a class of 2-d diffusions with applications to finance.
    (With Konstantinos Dareiotis.)
    Stochastic Processes and their Applications 129(2), (2019), 452-472.

  • American options and incomplete information.
    (With Martin Vannestål.)
    International Journal of Theoretical and Applied Finance 22 (2019) no. 6, 1950035, 14 pp.

  • Sequential testing of a Wiener process with costly observations.
    (With Hannah Dyrssen.)
    Sequential Analysis. Design Methods and Applications 37(1), (2018), 47-58.

  • The dividend problem with a finite horizon.
    (With Tiziano De Angelis.)
    Annals of Applied Probability 27(6), (2017), 3525-3546.

  • Dynkin games with heterogeneous beliefs.
    (With Kristoffer Glover and Marta Leniec.)
    Journal of Applied Probability 54(1), (2017).

  • The inverse first-passage problem and optimal stopping.
    (With Svante Janson.)
    Annals of Applied Probability 26(5), (2016), 3154-3177.

  • Optimal liquidation of an asset under drift uncertainty.
    (With Juozas Vaicenavicius.)
    SIAM Journal on Financial Mathematics 7(1), (2016), 357-381.

  • Momentum liquidation under partial information.
    (With Martin Vannestål.)
    Journal of Applied Probability 53(2) (2016), 341-359.

  • Bayesian sequential testing of the drift of a Brownian motion.
    (With Juozas Vaicenavicius.)
    ESAIM: Probability and Statistics 19 (2015), 626-648.

  • Feynman-Kac theorems for generalized diffusions.
    (With Svante Janson and Johan Tysk.)
    Transactions of the AMS 367 (2015), 8051-8070.

  • Short-time implied volatility in exponential Levy models.
    (With Bing Lu.)
    International Journal of Theoretical and Applied Finance 18(4), (2015).

  • Pricing equations in jump-to-default models.
    (With Hannah Dyrssen and Johan Tysk.)
    International Journal of Theoretical and Applied Finance 17(3), (2014).

  • The optimal dividend problem in the dual model.
    (With Bing Lu.)
    Advances in Applied Probability 46.3 (2014), 746-765.

  • Optimal closing of a momentum trade.
    (With Carl Lindberg.)
    Journal of Applied Probability 50, (2013), 374-387.

  • Boundary behaviour of densities for non-negative diffusions.
    (With Johan Tysk.) (2011) pdf
    Preprint.

  • Can time-homogeneous diffusions produce any distribution?
    (With David Hobson, Svante Janson and Johan Tysk.
    Probability Theory and Related Fields 155(3), (2013), 493-520.

  • Dupire's equation for bubbles.
    (With Johan Tysk .)
    International Journal of Theoretical and Applied Finance 15(6) (2012).

  • Comparison of two methods for superreplication.
    (With Johan Tysk .)
    Applied Mathematical Finance 19 (2012), 181-193.

  • Optimal selling of an asset under incomplete information.
    (With Bing Lu.)
    International Journal of Stochastic Analysis vol. 2011, Article ID 543590, (2011).

  • Optimal liquidation of a pairs trade.
    (With Carl Lindberg and Johan Tysk.)
    Advanced Mathematical Methods in Finance, Di Nunno, Oksendal (eds.), 247-255, Springer-Verlag 2011.

  • Recovering a time-homogeneous stock price process from perpetual option prices.
    (With David Hobson.) pdf
    Annals of Applied Probability 21 (2011) 1102-1135.

  • Boundary conditions for the single-factor term structure equation.
    (With Johan Tysk.) pdf
    Annals of Applied Probability 21 (2011) 332-350.

  • Numerical option pricing in the presence of bubbles.
    (With Per Lötstedt, Lina von Sydow and Johan Tysk.)
    Quantitative Finance 11 (2011), 1125-1128.

  • Optimal liquidation of a call spread.
    (With Carl Lindberg, Johan Tysk and Henrik Wanntorp.)
    Journal of Applied Probability 47:2 (2010), 586-593.

  • Optimal stopping of a Brownian bridge.
    (With Henrik Wanntorp.)
    J. Appl. Probab. 46 (2009), 170-180.

  • The Black-Scholes equation in stochastic volatility models.
    (With Johan Tysk.)
    Journal of Mathematical Analysis and Applications 368 (2010), 498-507.

  • Boundary values and finite difference methods for the single factor term structure equation.
    (With Per Lötstedt and Johan Tysk.)
    Appl. Math. Finance 16 (2009), 252-259.

  • Margin call stock loans.
    (With Henrik Wanntorp.) (2008) pdf
    Manuscript.

  • Bubbles, convexity and the Black-Scholes equation.
    (With Johan Tysk.)
    Ann. Appl. Probab. 19 (2009), 1369-1384.

  • Convexity theory for the term structure equation.
    (With Johan Tysk.)
    Finance Stoch. 12 (2008), 117-147.

  • Optimal stopping games for Markov processes.
    (With Goran Peskir.)
    SIAM J. Control Optim. 47 (2008), 684-702.

  • Convexity preserving jump-diffusion models for option pricing.
    (With Johan Tysk.)
    J. Math. Anal. Appl. 330 (2007), 715-728.

  • Bounds for perpetual American option prices in a jump-diffusion model.
    J. Appl. Probab. 43:3 (2006), 867-873.

  • On the value of optimal stopping games.
    (With Stephane Villeneuve.)
    Ann. Appl. Probab. 16:3 (2006), 1576-1596.

  • Properties of option prices in models with jumps.
    (With Johan Tysk.)
    Math. Finance 17:3 (2007), 381-397.

  • A boundary point lemma for Black-Scholes type equations.
    (With Johan Tysk.)
    Commun. Pure Appl. Anal.5:3 (2006), 505-514.

  • The American put is log-concave in the log-price.
    (With Johan Tysk.)
    J. Math. Anal. Appl. 314:2 (2006), 710-723.

  • Properties of game options.
    Math. Methods Oper. Res.63:2 (2006), 221-238.

  • Convexity of the optimal stopping boundary for the American put option.
    J. Math. Anal. Appl. 299:1 (2004), 147-156.

  • Superreplication of options on several underlying assets.
    (With Svante Janson and Johan Tysk.)
    J. Appl. Probab. 42:1 (2005), 27-38.

  • Options written on stocks with known dividends.
    (With Johan Tysk.)
    Int. J. Theor. Appl. Finance 7:7 (2004). 901-907.

  • Russian options with a finite time horizon.
    J. Appl. Probab. 41:2 (2004), 313-326.

  • Properties of American option prices.
    Stochastic Process. Appl. 114:2 (2004), 265-278.

  • Perpetual American put options in a level-dependent volatility model.
    J. Appl. Probab. 40:3 (2003), 783-789.