On expected utility in optimal stopping of diffusions

DOI10.1016/j.orl.2020.10.001OpenAlexW3092841098MaRDI QIDQ2661572

Jetlir Duraj

Publication date: 7 April 2021

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2020.10.001

zbMATH Keywords

optimal stoppingdiffusionsexpected utilitydynamic consistency

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Cites Work

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• Randomized strategies and prospect theory in a dynamic context
• Betweenness satisfying preferences and dynamic choice
• Consequentialist foundations for expected utility
• Advances in prospect theory: cumulative representation of uncertainty
• Time-consistent stopping under decreasing impatience
• Optimal stopping under probability distortion
• Finite, integrable and bounded time embeddings for diffusions
• "Making Book Against Oneself," The Independence Axiom, and Nonlinear Utility Theory
• General stopping behaviors of naïve and noncommitted sophisticated agents, with application to probability distortion

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