Optimal stopping under ambiguity in continuous time
Cheng X, Riedel F (2012)
Mathematics and Financial Economics 7(1): 29-68.
Zeitschriftenaufsatz
| Veröffentlicht | Englisch
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Autor*in
Cheng, Xue;
Riedel, FrankUniBi 
Einrichtung
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.
Erscheinungsjahr
2012
Zeitschriftentitel
Mathematics and Financial Economics
Band
7
Ausgabe
1
Seite(n)
29-68
ISSN
1862-9679
eISSN
1862-9660
Page URI
https://pub.uni-bielefeld.de/record/2682881
Zitieren
Cheng X, Riedel F. Optimal stopping under ambiguity in continuous time. Mathematics and Financial Economics. 2012;7(1):29-68.
Cheng, X., & Riedel, F. (2012). Optimal stopping under ambiguity in continuous time. Mathematics and Financial Economics, 7(1), 29-68. doi:10.1007/s11579-012-0081-6
Cheng, Xue, and Riedel, Frank. 2012. “Optimal stopping under ambiguity in continuous time”. Mathematics and Financial Economics 7 (1): 29-68.
Cheng, X., and Riedel, F. (2012). Optimal stopping under ambiguity in continuous time. Mathematics and Financial Economics 7, 29-68.
Cheng, X., & Riedel, F., 2012. Optimal stopping under ambiguity in continuous time. Mathematics and Financial Economics, 7(1), p 29-68.
X. Cheng and F. Riedel, “Optimal stopping under ambiguity in continuous time”, Mathematics and Financial Economics, vol. 7, 2012, pp. 29-68.
Cheng, X., Riedel, F.: Optimal stopping under ambiguity in continuous time. Mathematics and Financial Economics. 7, 29-68 (2012).
Cheng, Xue, and Riedel, Frank. “Optimal stopping under ambiguity in continuous time”. Mathematics and Financial Economics 7.1 (2012): 29-68.
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