Optimal decision under ambiguity for diffusion processes

DOI10.1007/s00186-012-0425-2zbMath1281.60040arXiv1110.3897MaRDI QIDQ2392786

Sören Christensen

Publication date: 2 August 2013

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1110.3897

zbMATH Keywords

optimal stopping; diffusion processes; ambiguity aversion; Dynkin games; crash-scenario

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

60J60: Diffusion processes

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