Arbeitspapier
Optimal stopping under ambiguity in continuous time
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.
- Language
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Englisch
- Bibliographic citation
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Series: Working Papers ; No. 429
- Classification
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Wirtschaft
Criteria for Decision-Making under Risk and Uncertainty
Optimization Techniques; Programming Models; Dynamic Analysis
Portfolio Choice; Investment Decisions
- Subject
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Optimal stopping
Ambiguity
Uncertainty aversion
Robustness
Continuous time
Optimal control
Entscheidung bei Unsicherheit
Suchtheorie
Risikoaversion
Theorie
- Event
-
Geistige Schöpfung
- (who)
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Riedel, Frank
- Event
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Veröffentlichung
- (who)
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Bielefeld University, Institute of Mathematical Economics (IMW)
- (where)
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Bielefeld
- (when)
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2010
- Handle
- URN
-
urn:nbn:de:hbz:361-16765
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Riedel, Frank
- Bielefeld University, Institute of Mathematical Economics (IMW)
Time of origin
- 2010
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Optimal consumption choice for ratchet investors
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Optimal consumption choice with intolerance for declining standard of living
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