Representations for optimal stopping under dynamic monetary utility functionals

DOI10.1137/090775841zbMATH Open1200.91104OpenAlexW2089156345MaRDI QIDQ3055873FDOQ3055873

Authors: Volker Krätschmer, John 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

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zbMATH Keywords

dualityoptimal stoppingpolicy iterationmonetary utility functionals

Mathematics Subject Classification ID

Utility theory (91B16) Dynamic programming in optimal control and differential games (49L20) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (11)

• On the controller-stopper problems with controlled jumps
• Multidimensional investment problem
• Optimal stopping with dynamic variational preferences
• Optimal stopping: Bermudan strategies meet non-linear evaluations
• Portfolios of American options under general preferences: results and counterexamples
• Optimal stopping under model uncertainty: randomized stopping times approach
• Discrete-time risk-aware optimal switching with non-adapted costs
• A unified approach to multiple stopping and duality
• Solving optimal stopping problems under model uncertainty via empirical dual optimisation
• Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping
• Optimal stopping under uncertainty in drift and jump intensity

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