Optimal Stopping under Ambiguity in Continuous Time

Riedel F (2010) Working Papers. Institute of Mathematical Economics; 429.
Bielefeld: Universität Bielefeld.

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Diskussionspapier | Veröffentlicht | Englisch
Abstract / Bemerkung
We develop a theory of optimal stopping problems under ambiguity in continuous time. Using results from (backward) stochastic calculus, we characterize the value function as the smallest (nonlinear) supermartingale dominating the payoff process. For Markovian models, we derive an adjusted Hamilton-Jacobi-Bellman equation involving a nonlinear drift term that stems from the agent's ambiguity aversion. We show how to use these general results for search problems and American Options.
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Riedel F. Optimal Stopping under Ambiguity in Continuous Time. Working Papers. Institute of Mathematical Economics. Vol 429. Bielefeld: Universität Bielefeld; 2010.
Riedel, F. (2010). Optimal Stopping under Ambiguity in Continuous Time (Working Papers. Institute of Mathematical Economics, 429). Bielefeld: Universität Bielefeld.
Riedel, F. (2010). Optimal Stopping under Ambiguity in Continuous Time. Working Papers. Institute of Mathematical Economics, 429, Bielefeld: Universität Bielefeld.
Riedel, F., 2010. Optimal Stopping under Ambiguity in Continuous Time, Working Papers. Institute of Mathematical Economics, no.429, Bielefeld: Universität Bielefeld.
F. Riedel, Optimal Stopping under Ambiguity in Continuous Time, Working Papers. Institute of Mathematical Economics, vol. 429, Bielefeld: Universität Bielefeld, 2010.
Riedel, F.: Optimal Stopping under Ambiguity in Continuous Time. Working Papers. Institute of Mathematical Economics, 429. Universität Bielefeld, Bielefeld (2010).
Riedel, Frank. Optimal Stopping under Ambiguity in Continuous Time. Bielefeld: Universität Bielefeld, 2010. Working Papers. Institute of Mathematical Economics. 429.
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