|
EconStor >
Universität Bielefeld >
Institute of Mathematical Economics (IMW), Universität Bielefeld >
Working Papers, Institute of Mathematical Economics, Universität Bielefeld >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/43762
|
| | |
| Title: | | Optimal stopping under ambiguity in continuous time  |
| Authors: | | Riedel, Frank |
| Issue Date: | | 2010 |
| Series/Report no.: | | Working papers // Institute of Mathematical Economics 429 |
| Abstract: | | We develop a theory of optimal stopping problems under ambiguity in continuous time. Using results from (backward) stochastic calculus, we characterize the value function as the smallest (nonlinear) supermartingale dominating the payoff process. For Markovian models, we derive an adjusted Hamilton-Jacobi-Bellman equation involving a nonlinear drift term that stems from the agent's ambiguity aversion. We show how to use these general results for search problems and American Options. |
| Subjects: | | Optimal stopping Ambiguity Uncertainty aversion Robustness Continuous time Optimal control |
| JEL: | | D81 C61 G11 |
| Persistent Identifier of the first edition: | | urn:nbn:de:hbz:361-16765 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Working Papers, Institute of Mathematical Economics, Universität Bielefeld
|
| Files in This Item:
| |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/43762
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|