Representations for Optimal Stopping under Dynamic Monetary Utility Functionals

DOI10.1137/090775841zbMath1200.91104MaRDI QIDQ3055873

Volker Krätschmer, John G. M. Schoenmakers

Publication date: 10 November 2010

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/090775841

zbMATH Keywords

optimal stopping; duality; policy iteration; monetary utility functionals

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

91B16: Utility theory

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