EconStor >
Universit├Ąt Bielefeld >
Center for Mathematical Economics (IMW), Bielefeld University >
Working Papers, Center for Mathematical Economics (IMW), Bielefeld University >

Please use this identifier to cite or link to this item:
Title:Optimal stopping under ambiguity in continuous time PDF Logo
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
Uncertainty aversion
Continuous time
Optimal control
Persistent Identifier of the first edition:urn:nbn:de:hbz:361-16765
Document Type:Working Paper
Appears in Collections:Working Papers, Center for Mathematical Economics (IMW), Bielefeld University

Files in This Item:
File Description SizeFormat
626369193.pdf508.41 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.