Optimal stopping under model ambiguity: A time‐consistent equilibrium approach

DOI10.1111/MAFI.12312zbMath1530.91599arXiv1906.01232OpenAlexW3125965162MaRDI QIDQ6054370

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Publication date: 28 September 2023

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1906.01232

zbMATH Keywords

optimal stoppingtime inconsistencymodel ambiguityambiguity attitudereal options valuationequilibrium stopping policiesgeneralized measurable projection theorem

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (9)

A time-inconsistent Dynkin game: from intra-personal to inter-personal equilibria ⋮ Stability of Equilibria in Time-Inconsistent Stopping Problems ⋮ Solving optimal stopping problems under model uncertainty via empirical dual optimisation ⋮ Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes ⋮ Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions ⋮ Equilibrium investment with random risk aversion ⋮ Robust retirement and life insurance with inflation risk and model ambiguity ⋮ Optimal Equilibria for Multidimensional Time-Inconsistent Stopping Problems ⋮ Short Communication: Stability of Time-Inconsistent Stopping for One-Dimensional Diffusions

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