Riedel, Frank: Optimal Stopping under Ambiguity. In: . Jg.390. 2007
Inhalt
- Introduction
- Ambiguity and Optimal Stopping
- Finite Horizon: Backward Induction and Time Consistency
- Time--Consistency
- Minimax Martingale Theory
- Generalized Snell Envelope, Optimal Stopping Times, and Duality
- Infinite Time Horizon
- Examples
- Conclusion
- Equivalent Descriptions of Time--Consistency
- Properties of Minimax Expected Values
- Minimax Martingale Theory
- Proof of Theorem 5.1