Optimal stopping under probability distortion
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Publication:1948688
DOI10.1214/11-AAP838zbMath1286.60038arXiv1103.1755MaRDI 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 stopping; Skorokhod embedding; probability distortion; Choquet expectation; \(S\)-shaped function; probability distribution/quantile function; reverse \(S\)-shaped function
60G40: Stopping times; optimal stopping problems; gambling theory
91G80: Financial applications of other theories
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