Optimal stopping under model uncertainty: randomized stopping times approach (Q292928)
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scientific article; zbMATH DE number 6590335
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal stopping under model uncertainty: randomized stopping times approach |
scientific article; zbMATH DE number 6590335 |
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Optimal stopping under model uncertainty: randomized stopping times approach (English)
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9 June 2016
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optimal stopping
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randomized stopping times
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conditional convex risk measures
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model uncertainty
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optimized certainty equivalents
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primal representation
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additive dual representation
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dynamic programming
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thin sets
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Monte Carlo algorithms
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0.9394715
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0.9364375
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0.9192914
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0.91925937
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0.9115455
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0.90932924
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