Optimal Stopping for Dynamic Convex Risk Measures

We use martingale and stochastic analysis techniques to study a continuous-time optimal stopping problem, in which the decision maker uses a dynamic convex risk measure to evaluate future rewards. We also find a saddle point for an equivalent zero-sum game of control and stopping, between an agent (the "stopper") who chooses the termination time of the game, and an agent (the "controller", or "Nature") who selects the probability measure

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Year of publication:	2016
Authors:	Bayraktar, Erhan
Other Persons:	Karatzas, Ioannis (contributor) ; Yao, Song (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Risiko \| Risk \| Messung \| Measurement \| Suchtheorie \| Search theory \| Entscheidung unter Risiko \| Decision under risk \| Zeitkonsistenz \| Time consistency

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Extent:	1 Online-Ressource (43 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Illinois Journal of Mathematics, 54, 1025-1067, 2010 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 27, 2009 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013006730