Representations for optimal stopping under dynamic monetary utility functionals

DOI10.1137/090775841MaRDI QIDQ3055873zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

dualitymonetary utility functionalsoptimal stoppingpolicy iteration

Mathematics Subject Classification ID

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

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• Optimal stopping: Bermudan strategies meet non-linear evaluations

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