Optimal Stopping under Ambiguity in Continuous Time

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

Diskussionspapier | Veröffentlicht | Englisch
 
Download
OA
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
Band
429
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/1943934

Zitieren

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.
Alle Dateien verfügbar unter der/den folgenden Lizenz(en):
Copyright Statement:
This Item is protected by copyright and/or related rights. [...]
Volltext(e)
Access Level
OA Open Access
Zuletzt Hochgeladen
2019-09-06T08:57:13Z
MD5 Prüfsumme
4baef817210220638178a08eaa393ebe

Export

Markieren/ Markierung löschen
Markierte Publikationen

Open Data PUB

Suchen in

Google Scholar