Optimal decision under ambiguity for diffusion processes (Q2392786)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal decision under ambiguity for diffusion processes |
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Optimal decision under ambiguity for diffusion processes (English)
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2 August 2013
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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.
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optimal stopping
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ambiguity aversion
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crash-scenario
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Dynkin games
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diffusion processes
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