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Title:Representations for optimal stopping under dynamic monetary utility functionals PDF Logo
Authors:Krätschmer, Volker
Schoenmakers, John G. M.
Issue Date:2009
Series/Report no.:SFB 649 discussion paper 2009,055
Abstract:In this paper we consider the optimal stopping problem for general dynamic monetary utility functionals. Sufficient conditions for the Bellman principle and the existence of optimal stopping times are provided. Particular attention is payed to representations which allow for a numerical treatment in real situations. To this aim, generalizations of standard evaluation methods like policy iteration, dual and consumption based approaches are developed in the context of general dynamic monetary utility functionals. As a result, it turns out that the possibility of a particular generalization depends on specific properties of the utility functional under consideration.
Subjects:monetary utility functionals
optimal stopping
duality
policy iteration
JEL:C61
C63
G12
G13
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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