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

DOI10.1214/16-AAP1226MaRDI QIDQ2013583zbMATH OpenOpenAlexFDO

Authors D. Belomestny, Volker Krätschmer

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

additive dual representationoptimal stoppingoptimized 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)

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

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