Optimal stopping under probability distortion
From MaRDI portal
Publication:1948688
DOI10.1214/11-AAP838zbMath1286.60038arXiv1103.1755OpenAlexW3123137989MaRDI QIDQ1948688
Publication date: 24 April 2013
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1103.1755
optimal stoppingSkorokhod embeddingprobability distortionChoquet expectation\(S\)-shaped functionprobability distribution/quantile functionreverse \(S\)-shaped function
Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)
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