Optimal Stopping Under Probability Distortions

DOI10.1287/MOOR.2016.0828zbMath1378.60067OpenAlexW2595182025MaRDI QIDQ5359121

Volker Krätschmer, Denis Belomestny

Publication date: 22 September 2017

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

Full work available at URL: https://doi.org/10.1287/moor.2016.0828

zbMATH Keywords

optimal stoppingcoherent risk measuresaverage value-at-risktime-consistency

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Decision theory (91B06) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

Related Items (4)

Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping ⋮ Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces ⋮ Minimax theorems for American options without time-consistency ⋮ Optimal Stopping Under Uncertainty in Drift and Jump Intensity

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