Optimal Stopping under Ambiguity in Continuous Time
Riedel F (2010) Working Papers. Institute of Mathematical Economics; 429.
Bielefeld: Universität Bielefeld.
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| Veröffentlicht | Englisch
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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.
Stichworte
Optimal stopping;
Uncertainty aversion;
Robustness;
Optimal control;
Continuous time;
Ambiguity
Erscheinungsjahr
2010
Serientitel
Working Papers. Institute of Mathematical Economics
Band
429
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/1943934
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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, Frank. 2010. Optimal Stopping under Ambiguity in Continuous Time. Vol. 429. Working Papers. Institute of Mathematical Economics. 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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