Optimal stopping under uncertainty in drift and jump intensity (Q5219694)
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scientific article; zbMATH DE number 7179907
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| default for all languages | No label defined |
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| English | Optimal stopping under uncertainty in drift and jump intensity |
scientific article; zbMATH DE number 7179907 |
Statements
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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0.8475620746612549
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0.8220210075378418
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0.8185980916023254
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0.8086615204811096
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0.7984737157821655
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