Optimal Stopping Under Uncertainty in Drift and Jump Intensity (Q5219694)

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scientific article; zbMATH DE number 7179907
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Optimal Stopping Under Uncertainty in Drift and Jump Intensity
scientific article; zbMATH DE number 7179907

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    Optimal Stopping Under Uncertainty in Drift and Jump Intensity (English)
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    12 March 2020
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    optimal stopping
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    model uncertainty
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    robustness
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    convex risk measures
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    ambiguity aversion
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    duality
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    BSDEs
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    Monte Carlo simulation
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    regression
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    relative entropy
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