Welcome to the 'Optimal Stopping Theory: Methods and Techniques' Reading Seminar, run by the students of Columbia University.
This Spring we will continue studying Optimal Stopping Theory by reading various papers. Our talks will be held in-person in Columbia University on Fridays at 4:30 pm, the place will be announced later.
This seminar is the logical continuation of the seminar held in Spring 2024 - Optimal Stopping Theory: Methods and Techniques - Spring 2024.
If you would like to come or to be added on the mailing list, please email gg2793@columbia.edu.
| Date and time | Speaker | Title and abstract |
|---|---|---|
| Friday, September 13, 4:30 p.m. EDT | Georgy Gaitsgori | Solving non-linear optimal stopping problems by the method of time-change
We will discuss the paper ``Solving non-linear optimal stopping problems by the method of time-change'' by Pederson and Peskir. We will show how time-change method can be applied in OS problems first in general, and then on two examples: optimal stopping of Brownian motion in the presence of square-root time cost, and (veterans must remember) a continuous version of the so-called optimal stopping problem of dishonest statistician introduced by Chow and Robbins and solved by Shepp. |
| Date and time | Speaker | Title and abstract |
|---|