Optimal decision under ambiguity for diffusion processes

DOI10.1007/s00186-012-0425-2zbMath1281.60040arXiv1110.3897OpenAlexW3102577113MaRDI QIDQ2392786

Sören Christensen

Publication date: 2 August 2013

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1110.3897

zbMATH Keywords

optimal stoppingdiffusion processesambiguity aversionDynkin gamescrash-scenario

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items (4)

Nonparametric learning for impulse control problems -- exploration vs. exploitation ⋮ Multidimensional investment problem ⋮ A Knightian irreversible investment problem ⋮ A class of solvable multidimensional stopping problems in the presence of Knightian uncertainty

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• Game options

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