Optimal stopping with dynamic variational preferences (Q643275)

From MaRDI portal
Revision as of 08:42, 30 January 2024 by Import240129110113 (talk | contribs) (Added link to MaRDI item.)
scientific article
Language Label Description Also known as
English
Optimal stopping with dynamic variational preferences
scientific article

    Statements

    Optimal stopping with dynamic variational preferences (English)
    0 references
    0 references
    28 October 2011
    0 references
    In the classical optimal stopping problems (see [\textit{Y. S.~Chow, H.~Robbins} and \textit{D.~Siegmund}, Great expectations: the theory of optimal stopping. Boston etc.: Houghton Mifflin Company (1971; Zbl 0233.60044); \textit{G.~Peskir} and \textit{A.~Shiryaev}, Optimal stopping and free-boundary problems. Basel: Birkhäuser (2006; Zbl 1115.60001)]), the decision maker is searching for the stopping time \(\tau\) in some class which minimizes (or maximizes) the expected gain \(\operatorname{E}g(X_\tau)\), where \(g\) is a given utility function and \(\{X_t\}_{t\geq 0}\) is a well-defined stochastic process. This paper is devoted to the generalization of the optimal stopping problem when the underlined process is not fixed. Based on \textit{F. Riedel}'s [Econometrica 77, No. 3, 857--908 (2009; Zbl 1181.60064)] results the concept of variational supermartingales and variational Snell envelopes with an accompanying theory is introduced. The theory is illustrated by examples.
    0 references
    optimal stopping
    0 references
    uncertainty aversion
    0 references
    dynamic variational preferences
    0 references
    dynamic convex risk measures
    0 references
    dynamic penalty
    0 references
    time consistency
    0 references
    multiplier preferences
    0 references
    entropic risk
    0 references
    average value at risk
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references