Optimal Stopping With Multiple Priors
From MaRDI portal
Recommendations
- Optimal multiple stopping problems under g-expectation
- Optimal stopping under ambiguity in continuous time
- A class of solvable multidimensional stopping problems in the presence of Knightian uncertainty
- Optimal stopping with dynamic variational preferences
- Optimal stopping under uncertainty in drift and jump intensity
Cited in
(73)- Option implied ambiguity and its information content: evidence from the subprime crisis
- Ambiguous partially observable Markov decision processes: structural results and applications
- On optimal stopping and free boundary problems under ambiguity
- Robust valuation, arbitrage ambiguity and profit \& loss analysis
- Asset prices in an ambiguous economy
- The K-armed bandit problem with multiple priors
- An optimal stopping problem with a reward constraint
- Investment under ambiguity with the best and worst in mind
- Optimal stopping under ambiguity in continuous time
- Accounting for risk aversion in derivatives purchase timing
- Optimal stopping under probability distortion
- Existence conditions for extremal probability measures on Polish spaces and some of their properties
- Robust bidding and revenue in descending price auctions
- Gittins' theorem under uncertainty
- Robust classical-impulse stochastic control problems in an infinite horizon
- A competitive optimal stopping game
- Optimal multiple stopping problems under g-expectation
- Robust experimentation in the continuous time bandit problem
- Solving optimal stopping problems under model uncertainty via empirical dual optimisation
- Individual antecedents of real options appraisal: the role of national culture and ambiguity
- Robust best choice problem
- (Not) delegating decisions to experts: the effect of uncertainty
- Sequential auctions with ambiguity
- Quantifying ambiguity bounds via time-consistent sets of indistinguishable models
- Optimal reinsurance under risk and uncertainty
- Upper and lower bounds of optimal stopping for a random sequence: the case of finite horizon
- On the uniqueness of the optional decomposition of semimartingales
- On the controller-stopper problems with controlled jumps
- Aggregating infinitely many probability measures
- Optimal stopping with random maturity under nonlinear expectations
- Optimal decision under ambiguity for diffusion processes
- Intertemporal equilibria with Knightian uncertainty
- Choquet-based European option pricing with stochastic (and fixed) strikes
- A Dynkin game under Knightian uncertainty
- On a generalized optional decomposition theorem
- Optimal stopping under model uncertainty and the regularity of lower Snell envelopes
- Portfolios of American options under general preferences: results and counterexamples
- Optimal stopping under model uncertainty: randomized stopping times approach
- Good deals and benchmarks in robust portfolio selection
- Optimal Portfolio Choice Based on α-MEU Under Ambiguity
- The best choice problem under ambiguity
- Optimal consumption-leisure, portfolio and retirement selection based on \(\alpha\)-maxmin expected CES utility with ambiguity
- Financial markets with volatility uncertainty
- Nash equilibria for game contingent claims with utility-based hedging
- Anscombe's model for sequential clinical trials revisited
- The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices
- Risk measures for processes and BSDEs
- A closed-form solution for options with ambiguity about stochastic volatility
- Portfolio choices: comparative statics under both expected return and volatility uncertainty
- A class of solvable multidimensional stopping problems in the presence of Knightian uncertainty
- Optimal stopping under uncertainty in drift and jump intensity
- On the lower arbitrage bound of American contingent claims
- A Doob-Meyer decomposition under model ambiguity: the case of compactness
- Distributionally Robust Inventory Control When Demand Is a Martingale
- Hunting for superstars
- Convergence of utility indifference prices to the superreplication price in a multiple‐priors framework
- Optimal stopping under model ambiguity: A time‐consistent equilibrium approach
- On utility maximization under model uncertainty in discrete‐time markets
- Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space
- Nonparametric learning for impulse control problems -- exploration vs. exploitation
- Optimal stopping with expectation constraints
- The worst case for real options
- Reflected backward stochastic difference equations and optimal stopping problems under \(g\)-expectation
- Multiple-prior valuation of cash flows subject to capital requirements
- Risk, uncertainty, and option exercise
- Optimal stopping with dynamic variational preferences
- Optimal arbitrage under model uncertainty
- Optimal stopping: Bermudan strategies meet non-linear evaluations
- Stochastic representation under filtration-consistent nonlinear expectations
- An iterative method for the multiple stopping problem under Knightian uncertainty
- Title not available (Why is no real title available?)
- Optimal stopping under model uncertainty in a general setting
- Optimal stopping under adverse nonlinear expectation and related games
This page was built for publication: Optimal Stopping With Multiple Priors
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3644914)