Optimal stopping under model uncertainty: randomized stopping times approach

DOI10.1214/15-AAP1116zbMath1339.60043arXiv1405.2240MaRDI QIDQ292928

Denis Belomestny, Volker Krätschmer

Publication date: 9 June 2016

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.2240

zbMATH Keywords

dynamic programmingoptimal stoppingthin setsmodel uncertaintyMonte Carlo algorithmsadditive dual representationconditional convex risk measuresoptimized certainty equivalentsprimal representationrandomized stopping times

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Dynamic programming in optimal control and differential games (49L20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

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