Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/39291
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dc.contributor.authorKrätschmer, Volkeren_US
dc.contributor.authorSchoenmakers, John G. M.en_US
dc.date.accessioned2009-12-08en_US
dc.date.accessioned2010-08-26T11:56:47Z-
dc.date.available2010-08-26T11:56:47Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/39291-
dc.description.abstractIn 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.en_US
dc.language.isoengen_US
dc.publisher|aSFB 649, Economic Risk |cBerlinen_US
dc.relation.ispartofseries|aSFB 649 discussion paper |x2009,055en_US
dc.subject.jelC61en_US
dc.subject.jelC63en_US
dc.subject.jelG12en_US
dc.subject.jelG13en_US
dc.subject.ddc330en_US
dc.subject.keywordmonetary utility functionalsen_US
dc.subject.keywordoptimal stoppingen_US
dc.subject.keyworddualityen_US
dc.subject.keywordpolicy iterationen_US
dc.subject.stwRisikoen_US
dc.subject.stwBewertungen_US
dc.subject.stwNutzenfunktionen_US
dc.subject.stwSuchtheorieen_US
dc.subject.stwOptionspreistheorieen_US
dc.subject.stwTheorieen_US
dc.titleRepresentations for optimal stopping under dynamic monetary utility functionalsen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn61445719Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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