Optimal Stopping Under Probability Distortions

DOI10.1287/MOOR.2016.0828zbMATH Open1378.60067OpenAlexW2595182025MaRDI QIDQ5359121FDOQ5359121

Authors: D. Belomestny, Volker Krätschmer 

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

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zbMATH Keywords

average value-at-riskoptimal stoppingtime-consistencycoherent risk measures

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)

Cited In (17)

• Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces
• Probability weighting, stop-loss and the disposition effect
• Optimal stopping: Bermudan strategies meet non-linear evaluations
• Optimal stopping in a shock model
• Characterisation of optimal dual measures via distortion
• Optimal Stopping Under Uncertainty in Drift and Jump Intensity
• Representations for optimal stopping under dynamic monetary utility functionals
• Optimal stopping with private information
• Optimal stopping under probability distortion
• Utility Maximization with Discretionary Stopping
• General stopping behaviors of naïve and noncommitted sophisticated agents, with application to probability distortion
• Never stop or never start? Optimal stopping under a mixture of CPT and EUT preferences
• Behaviorally consistent optimal stopping rules
• Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping
• Minimax theorems for American options without time-consistency
• Optimality of myopic stopping times for geometric discounting
• Computation of distorted probabilities for diffusion processes via stochastic control methods.

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