Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/39291 
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dc.contributor.authorKrätschmer, Volkeren
dc.contributor.authorSchoenmakers, John G. M.en
dc.date.accessioned2009-12-08-
dc.date.accessioned2010-08-26T11:56:47Z-
dc.date.available2010-08-26T11:56:47Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2009,055en
dc.subject.jelC61en
dc.subject.jelC63en
dc.subject.jelG12en
dc.subject.jelG13en
dc.subject.ddc330en
dc.subject.keywordmonetary utility functionalsen
dc.subject.keywordoptimal stoppingen
dc.subject.keyworddualityen
dc.subject.keywordpolicy iterationen
dc.subject.stwRisikoen
dc.subject.stwBewertungen
dc.subject.stwNutzenfunktionen
dc.subject.stwSuchtheorieen
dc.subject.stwOptionspreistheorieen
dc.subject.stwTheorieen
dc.titleRepresentations for optimal stopping under dynamic monetary utility functionals-
dc.type|aWorking Paperen
dc.identifier.ppn61445719Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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