Representations for optimal stopping under dynamic monetary utility functionals

DOI10.1137/090775841MaRDI QIDQ3055873zbMATHOpenAlexFDO

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

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)

Recommendations

• Optimal stopping with dynamic variational preferences
• scientific article; zbMATH DE number 1379223
• Optimal Stopping Under Probability Distortions
• scientific article; zbMATH DE number 1054896
• Optimal stopping for non-linear expectations. I

Cited in

(11)

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

This page was built for publication: Representations for optimal stopping under dynamic monetary utility functionals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3055873)