Addendum to: ``Optimal stopping under model uncertainty: randomized stopping times approach.

DOI10.1214/16-AAP1226zbMATH Open1418.60032OpenAlexW2619590844MaRDI QIDQ2013583FDOQ2013583

Volker Krätschmer, D. Belomestny

Publication date: 8 August 2017

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aoap/1495764379

zbMATH Keywords

optimal stoppingadditive dual representationoptimized certainty equivalentsprimal representationrandomized stopping timesthin sets

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

Cited In (5)

• Optimal stopping: Bermudan strategies meet non-linear evaluations
• Optimal stopping under model uncertainty: randomized stopping times approach
• Optimal stopping under model ambiguity: A time‐consistent equilibrium approach
• Solving optimal stopping problems under model uncertainty via empirical dual optimisation
• Minimax theorems for American options without time-consistency

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