Optimal decision under ambiguity for diffusion processes (Q2392786): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claim: reviewed by (P1447): Item:Q692740 |
||
| Property / reviewed by | |||
| Property / reviewed by: Wan-yang Dai / rank | |||
Revision as of 09:53, 20 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal decision under ambiguity for diffusion processes |
scientific article |
Statements
Optimal decision under ambiguity for diffusion processes (English)
0 references
2 August 2013
0 references
The author studies the optimal stopping problems for one-dimensional diffusion processes with drift ambiguity. Then, by combining the studied problems with one Dynkin game, he solves the optimal stopping problems when the underlying process may crash down.
0 references
optimal stopping
0 references
ambiguity aversion
0 references
crash-scenario
0 references
Dynkin games
0 references
diffusion processes
0 references
