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Optimal Stopping under Ambiguity in Continuous Time
The Structure of Optimal Stopping Times: Proof of Theorem 3.1
Introduction
The Optimal Stopping Problem for ambiguity--averse agents
Variational Expectations
Properties of g--Expectations, g--Martingales
The Structure of Optimal Stopping Times
Worst--Case Priors and Duality
The Markov Case: Hamilton--Jacobi--Bellman Equation
Infinite Time Horizon
Examples and Applications
Monotone Markov Problems under --ambiguity
Non--Monotone and Path--Dependent Payoffs
Barrier Options
American Straddle
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
Working Paper
Optimal Stopping under Ambiguity in Continuous Time
Place and Date of Creation
2010
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