Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/43837 
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dc.contributor.authorRiedel, Franken
dc.date.accessioned2008-07-23-
dc.date.accessioned2011-01-24T10:24:02Z-
dc.date.available2011-01-24T10:24:02Z-
dc.date.issued2007-
dc.identifier.piurn:nbn:de:hbz:361-10784en
dc.identifier.urihttp://hdl.handle.net/10419/43837-
dc.description.abstractWe consider optimal stopping problems for ambiguity averse decision makers with multiple priors. In general, backward induction fails. If, however, the class of priors is time-consistent, we establish a generalization of the classical theory of optimal stopping. To this end, we develop first steps of a martingale theory for multiple priors. We define minimax (super)martingales, provide a Doob-Meyer decomposition, and characterize minimax martingales. This allows us to extend the standard backward induction procedure to ambiguous, time-consistent preferences. The value function is the smallest process that is a minimax supermartingale and dominates the payoff process. It is optimal to stop when the current payoff is equal to the value function. Moving on, we study the infinite horizon case. We show that the value process satisfies the same backward recursion (Bellman equation) as in the finite horizon case. The finite horizon solutions converge to the infinite horizon solution. Finally, we characterize completely the set of time-consistent multiple priors in the binomial tree. We solve two classes of examples: the so-called independent and indistinguishable case (the parking problem) and the case of American Options (Cox-Ross-Rubinstein model).en
dc.language.isoengen
dc.publisher|aBielefeld University, Institute of Mathematical Economics (IMW) |cBielefelden
dc.relation.ispartofseries|aWorking Papers |x390en
dc.subject.jelD81en
dc.subject.jelC61en
dc.subject.jelG11en
dc.subject.ddc330en
dc.subject.keywordOptimal stoppingen
dc.subject.keywordAmbiguityen
dc.subject.keywordUncertainty aversionen
dc.subject.stwEntscheidung bei Unsicherheiten
dc.subject.stwSuchtheorieen
dc.subject.stwRisikoaversionen
dc.subject.stwOptionspreistheorieen
dc.subject.stwTheorieen
dc.titleOptimal stopping under ambiguity-
dc.typeWorking Paperen
dc.identifier.ppn572379609en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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