Optimal Stopping Under Uncertainty in Drift and Jump Intensity (Q5219694)
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scientific article; zbMATH DE number 7179907
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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