Optimal Stopping under Ambiguity in Continuous Time
| Autor: | Frank Riedel |
|---|---|
| Rok vydání: | 2010 |
| Předmět: |
Ambiguity
Mathematics::Optimization and Control Risikoaversion Suchtheorie Optimal control D81 C61 Continuous time Entscheidung bei Unsicherheit Optimal stopping Uncertainty aversion Robustness Optimal control Continuous time Ambiguity Uncertainty aversion ddc:330 Optimal stopping G11 Robustness Theorie |
| Zdroj: | PUB-Publications at Bielefeld University |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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