Riedel, Frank: Optimal Stopping under Ambiguity in Continuous Time. In: . Jg.429. 2010
Inhalt
- Introduction
- The Optimal Stopping Problem for ambiguity--averse agents
- The Structure of Optimal Stopping Times
- Worst--Case Priors and Duality
- The Markov Case: Hamilton--Jacobi--Bellman Equation
- Infinite Time Horizon
- Examples and Applications
- Conclusion
- A Characterization of g--Supermartingales
- The Structure of Optimal Stopping Times: Proof of Theorem 3.1
- Reflected Backward Stochastic Differential Equations
- Markovian Models: Proof of Theorem 3.6
- Infinite Time Horizon: Proof of Theorem 3.7
- Right--Continuous Versions of g--Supermartingales
- Barrier Options
- Details for the American Straddle