Talks and Poster Presentations (without Proceedings-Entry):

M. Beiglböck:
"Geometry of distribution constraint optimal stopping problems";
Talk: Mathematical and Computational Finance Seminar, Mathematical Institute University of Oxford, UK (invited); 2016-10-20.

English abstract:
We show how to adapt methods originally developed in
model-independent finance / martingale optimal transport to give a
geometric description of optimal stopping times tau of Brownian Motion
subject to the constraint that the distribution of tau is a given
distribution. The methods work for a large class of cost processes.
(At a minimum we need the cost process to be adapted. Continuity
assumptions can be used to guarantee existence of solutions.) We find
that for many of the cost processes one can come up with, the solution
is given by the first hitting time of a barrier in a suitable phase
space. As a by-product we thus recover Anulova's classical solution of
the inverse first passage time problem.

Electronic version of the publication:

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